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 » Pricing of derivatives

In progress :

Yaovi Gassesse Siliadin, Ph.D., Administration, HEC. Numerical methods for pricing multidimensional products.

Mbaye Ndoye, Ph.D. Administration, HEC. Derivatives pricing.

Saad Serghini Idrissi, Ph.D. Administration, HEC. Spectral approximation methods. 

Chedly Baraket, Ph.D. Administration, HEC. Fourier methods for option pricing.   

Completed :

Ali Boudhina, Ph.D. Administration, HEC. Three essays on the valuation of exotic options: American Options, Segregated Funds and Options on Electricity (2013).

Alexandre Cléroux-Perrault, M.Sc. Ingénierie financière, HEC. Pricing convertible bonds (2013).

Rami Jrad, M.Sc. Ingénierie financière, HEC. Hybrid spectral and finite element interpolation methods to price derivatives (2013).

Axel Siliadin, Master mathematical engineering, École Polytechnique de Tunisie. Dynamic Programming and Spectral Methods for Pricing Bonds with Embedded Options (2012).

Tiguéné Nabassaga, Master modélisation, École Polytechnique de Tunisie. Pricing bermudian quanto options (2011).

Amine Radhouane, M.Sc. Financial engineering, HEC. Non-gaussian GARCH models (2011).

Axel Siliadin, Undergraduate project, École Polytechnique de Tunisie. A dynamic Programming approach using Tchebychev interpolation for pricing bonds with embedded options under the two factor Vasicek model (2011). Best thesis award 2011.

Fares Ben Mahmoud, M.Sc., financial engineefing, HEC. Pricing of Implicit Options (2010).

Mourad El-Hila, M.Sc. Financial engineering, HEC. Empirical investigation of option prices under GARCH. Co-supervision with Lars Stentoft (2010). IFM2 Best M.Sc. thesis award 2011.

Tiguéné Nabassaga, Undergraduate project, École Polytechnique de Tunisie. Quasi-Monte Carlo methods (2010).

Neji Mlouka , Undergraduate project, École Polytechnique de Tunisie. Spectral approximation for embedded options (2010).

Judith Toupin, M.Sc., financial engineefing, HEC. Valuation and hedging of segregated funds (2009)

Alia Sellami, undergraduate project, École Polytechnique de Tunisie. Pricing derivatives using prospective Dynamic Programming (2009)

Saad Serghini Idrissi, M.Sc., financial engineefing, HEC. Pricing options under GARCH. (2009)

Ali Boudhina, M.Sc., financial engineefing, HEC. Mortgage backed securities. (2009)

Ramzi Ben Abdallah, Ph.D., administration, HEC, Essays on the Valuation of Derivatives on Long Maturity Treasury Bonds. Joint direction with H. Ben Ameur. (2008)) Best Thesis Award, HEC 2008

Yahya Rhissa, M.Sc., financial engineering, HEC. Families of regressors in the LS procedure. Joint direction with H. Ben Ameur. (2008)

Salah Ben Khalil, undergraduate project, École Polytechnique de Tunisie. Pricing barrier options under GARCH. Joint direction with Hatem Ben Ameur (2008).

Amine Radhouane, undergraduate project, École Polytechnique de Tunisie. GARCH Models with non-gaussian innovations. Joint direction with H. Ben Ameur

 Guiseppe Iafigliola, M.Sc. financial engineering, HEC. Implementation of Black's model for normally distributed interest rates. Joint supervision with Hatem Ben Ameur (2007).

Karim Drira, Ph.D., administration, HEC. Three Essays on the Valuation of Embedded Derivatives in Financial Contracts (2006).

Sarah Bounab, M.Sc., financial engineering, HEC. Valuing corporate debt using dynamic programming. Joint supervision with Pascal François (2005).

Mario Spino, M.Sc., financial engineering, HEC. Pricing swing options on electricity using dynamic programming (2003).

Ramzi Ben Abdallah, M.Sc., financial engineering, HEC. Identification of the cheapest-to-deliver in the CBOT T-bond market. Joint supervision with Hatem Ben Ameur (2003).

Jean-François Giroux, M.Sc. financial engineering, HEC. Pricing "lookback" American options with dynamic programming (2003).

Lotfi Karoui, M.Sc., financial engineering, HEC. Pricing implicit options in bonds using dynamic programming and finite elements methods. Joint direction with H. Ben Ameur (2003).

Hatem Ben Ameur, Ph.D., administration, HEC. Simulation and numerical procedures for option pricing. Joint direction with P. L’Écuyer. Best thesis award, HEC Montréal (2002).

Mohamed Mokhtari, M.Sc. financial engineering, HEC. Pricing American options on the natural gas market using quasi-analytic methods. Joint direction with Pascal François (2002).

Jacqueline Mukamurenzi, M.Sc., financial engineering, HEC. Pricing a convertible, callable and putable bond (the LYON case) (2000).

 » Investment and risk

Completed :

Oussama Marzouk, Undergraduate project, École Polytechnique de Tunisie. CVA valuation for american options (2012).

Christopher McLaren, M.Sc. financial engineering, HEC. Credit and debit value adjustment (2011).

Ali Boudhina, M.Sc. financial engineering, HEC. Refinancing risk and mortgage credit (2009).

Tammam Mouakhar, Ph.D. administration, HEC, Three essays on strategic and tactical asset allocation (2007).

Ali Boudhina, undergraduate project, École Polytechnique de Tunisie, Refinancing risk and mortgage credit (2007).

Tarek Masmoudi, Ph.D. administration, HEC, Portfolio management delegation: choice of investment and management fees in a continuous time framework (2006).

Valérie Lemieux, M.Sc. finance, HEC. Determinants of hedge funds performance (2006).

Jean-Jacques Chouinard, M.Sc. financial engineering, HEC, Risk management of pension plans (2001).

Éric Springuel, M.Sc., financial engineering, HEC, A dynamic stochastic minimax algorithm for the solution of a portfolio optimization problem. Best thesis award (2000).

Quoc-Xuan Trinh, M.Sc., financial engineering, HEC. Analytic solution to price corporate bonds. Joint supervision with Minh Chau To (1999).

Mounira Boussetta, M.Sc., financial engineering, HEC. Investment strategies using distressed companies stocks. Joint supervision with Minh Chau To (1999).

Gabriel Veilleux, M.Sc., finance, HEC. Risk management model for interest in inflation rates in the management of pension funds. Joint direction with P. Laroche (1999).

Kafui Aithnard, M.Sc.,financial engineering, HEC, Optimizing the asset-liability spread for a pension fund. Joint direction with Pierre Laroche (1999).

Anta Niasse, M.Sc., operations research, HEC, Using fuzzy optimization to analyse investment strategies. Joint direction with P. Laroche (1998).

Anthony Vallée, M.Sc., financial engineering, HEC, Impact of derivatives on the efficient frontier. Joint direction with Pierre Laroche (1998).

Claude Khalil, M.Sc., financial engineering, HEC, Portfolio rebalancing. Joint direction with Pierre Laroche (1998).

Arnold Ngouana, M.Sc., operations research, HEC, Portfolio optimization with asymmetrical risk criteria (1997).

Sophie Leblanc, M.Sc., operations research, HEC, Optimal portfolio with managers (1996).

François-David Lessard, undergraduate project, DIRO, Université de Montréal. Dynamic stochastic optimization software (1995).

 » Models in finance

In progress :

Jean-Paul Olivier Ahouassou, M.Sc. financial engineering, HEC. Syndicated loans.

Mohamed Moufid Eyitayo, M.Sc. financial engineering, HEC. Interbank payment systems.

Completed :

Sahar Guesmi, undergraduate project, École Polytechnique de Tunisie. Simulation of the HuRLO market (2013).

Marouen Baccouche, undergraduate project, École Polytechnique de Tunisie. Optimal leverage and risky debt structure (2013).

Michaël Pednault, M.Sc. financial engineering, HEC. MATLAB implementation of a pricing method for risky debt (2012).

Jean-Paul Ahouassou, undergraduate project, École Polytechnique de Tunisie. Coalition formation models for syndicated loans (2012).

Laeticia Wong, HEC Montréal. Syndicated loan data analysis (2011). 

Amira Annabi, Ph.D. administration, HEC, Capital Structure and Chapter 11 Reorganization. Joint supervision with Pascal François (2009)

Sébastien Forté, M.Sc. financial engineering, HEC. Arbitrage strategy on swap rates term structure. Joint supervision with Tarek Masmoudi (CDPQ) (2008).

Amine Bouassida, undergraduate project, École Polytechnique de Tunisie, Forecasting the term structure of government bonds (2007).

Florent Kopdejpo, M.Sc. Financial engineering, HEC, Comparison of various estimation methods by gaussian mixtures for financial series (2002).

Giorgio Pavesio, M.Sc. financial engineering, HEC, Evolution of interest rate spreads for various credit ratings (2002).

Karine Béguin, M.Sc. Financial engineering, HEC, Average time between margin calls for term contracts. Joint direction with Hatem Ben Ameur (2001).

Christian Rhéaume, M.Sc., operations research, HEC, Sensitivity of the binomial implicit model of Barle and Cakici: volatility structure and non-constant dividends. Joint direction with Pierre Laroche (1997).

 » Environment

In progress :

Claire Bernard, postdoctoral trainee. Viable exploitation and sustainable development. Joint supervision with Georges Zaccour.

Samar Garrab,Ph.D., administration, HEC. Stability of international environmental agreements.

Fatemeh Behzadnejad, Ph.D. Economie, McGill. Economics of renewable ressources. Joint supervision with Hassan Benchekroun.

Completed :

Yevenunye Keoula, Ph.D., administration. Four essays in natural resource economics and carbon markets finance (2011).

 Fuzhan Nasiri, postdoctoral fellow. Multicriteria optimization models. Joint supervision with Georges Zaccour (2009).

Lucia Sbragia, Postdoctoral fellow, Dynamic games in environment. Joint direction with G. Zaccour (2008).

Amina Graja, undergraduate project, École Polytechnique de Tunisie. Stability of international environmental agreements: a MERGE approach. Joint direction with Olivier Bahn and Georges Zaccour.

Denis Claude, postdoctoral fellow. Stable agreements and strategic alliances. Joint supervision withGeorges Zaccour and Hassan Benchekroun (2005).

Karima Fredj, Ph.D. administration, HEC. Application of Game Theory to Global Environmental Problems. Joint direction with G. Zaccour (2004).Best thesis award, HEC 2005

Mehdi Zahaf, Ph.D. administration, HEC. Joint Implementation of Enviromental Projects: A Game Theory Approach. Joint direction with G. Zaccour (2004).

 » Business and economics

In progress :

Completed :

Fereshteh Mafakheri, Ph.D., administration, HEC. Project management and risk analysis (2010).

Laure-Cristelle Sawadogo, M.Sc. financial engineering, HEC. Financial analyst trainee (2010).

Si-Yang Wu, M.Sc. financial engineefing, HEC. Financial analyst trainee (2010).

Salmata Ouedraogo, Ph.D. administration, HEC, Three essays on empirical economics: Health, Education and Gender.

Joint direction with D. Vencatachellum.

Jonathan Trépanier, M.Sc., operations research, HEC, Investment problem of competing firms in the context of R&D (2005)

Abdalla Turki, Ph.D., administration, HEC, Dynamic Games of R& D (2004)

Maurice Bijo, M.Sc. business intelligence, HEC, Demographic and macroeconomic determinants of charitable donations levels of Canadian (2003).

Iryna Golovan, M.Sc. operations research, HEC, Dynamics of revenue inequality and direct taxation. Joint direction with D. Vencatachellum (2002).

Dominic Binette, M.Sc. financial engineering, HEC, Uncertainty in real exchange rates and a strategic advantage for multinational firms (2001).

Nagi Haddad, operations research, HEC, Dynamic optimization in publicity with competition. Joint direction with G. Zaccour (1998).

 » Energy

In progress :

Hossein Mizrapour, Ph.D. administration, HEC. Strategic actions and price subventions in energy producing countries.

Completed :

Mohammed Kharbach, Ph.D., administration, Essays on Utility Regulation (2012).

Jean-Guy Demers, Ph.D., financial engineering, HEC, Prevision models for energy prices.

Su Bin, DESS, HEC. Reservoir and river optimization in Sechuan (2004).

Chang Siwu, DESS, HEC. Dynamic optimized operation mode of hydropower station (2004).

Abdelghani Hammadia, Ph.D., applied mathematics, Polytechnique. Contribution to the optimization, in real time and short term, of the hydroelectric resources of a river (2001).

Pierre-Olivier Pineau, Ph.D., administration, HEC. Electricity market reforms: institutional developments, investment dynamics and game modeling. Joint direction with G. Zaccour. Best thesis award, HEC Montréal (2000). Award of excellence, IREC (2000).

Saloua Ouassil, Engineering, École nationale supérieure d’informatique et d’analyse des systèmes, Maroc. Optimal unit loading in a hydroplant (1998).

Anne Mercier, M.Sc., operations research, HEC, Modelling international oil agreements (1997).

Abdelghani Hammadia, Engineering, École nationale supérieure d'informatique et d'analyse des systèmes, Maroc. Optimal unit loading in hydroelectric plants (1996).

Lamjed Hadiji, DESS, HEC. Financial evaluation of an oil field in the development phase (1995).

Mohamed Khediri, DESS, HEC. A model for the STIR refinery (1995).

Mongi Harouni, DESS, HEC. Optimizing the use of pump equipment at the El Borma field (1995).

Khaled Becheikh, DESS, HEC. Energy models (1990).

Joël Nkoto-Angoula, DESS, HEC. Optimization of transportation and distribution of petroleum products in Cameroon (1990).

Mohamed Othmani, DESS, HEC. Optimization of refinery processes by linear programming (1990).

Malalanirina Ratomaharo, DESS, HEC. Models for the evaluation of reserves (1990).

Onesphore Harakandi, DESS, HEC. Forecasting demand, transportation and distribution of oil products in Burundi (1989).

Ezzedine Khalfallah, DESS, HEC. Optimizing transportation of oil products in Tunisia (1989).

El-Hassen Salem, DESS, HEC. Risk analysis, gas field production project (1989).

Said Oualaalou, DESS, HEC. Optimization of refinery processes by linear programming (1989).

Khaled Kaddour, DESS, HEC. Increasing the recuperation at El-Borma (1988).

Soriba Touré, DESS, HEC. Optimizing transportation of petroleum products in the republic of Guinea (1988).