Professor, Department of Decision Sciences, HEC Montréal
Three HEC Montréal students, members of GERAD, have been chosen to take part in the NSERC–CREATE Program on Machine Learning in Quantitative Finance and Business Analytics (Fin-ML FONCER).
- Audrey Leduc, MSc in gestion – business intelligence, supervised by Denis Larocque
- Rémi Galarneau-Vincent, PhD in administration – financial engineering, supervised by Geneviève Gauthier
Congratulations to Rémi Galarneau-Vincent, Ph.D. student at HEC Montréal, who has been awarded the Canadian Derivatives Scholarship by the TMX Montréal Exchange. The scholarship is $25 000.
He is directed by professor Geneviève Gauthier of Department of Decision Science from HEC Montréal.
Nir Vulkan – Said Business School, Worcester College & The Oxford Man Institute, Oxford University
Mathieu Boudreault – Professor, Department of Mathematics, Université du Québec à Montréal
Frédéric Vrins – Université catholique de Louvain
Cahiers du GERAD
We propose the option realized variance as a new observable covariate that integrates high frequency option prices in the inference of option pricing models....BibTeX reference