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.
Cahiers du GERAD
Statistical learning models are proposed for the prediction of the probability of a spike in the electricity DART (day-ahead minus real-time price) spread. A...BibTeX reference
A new factor-based representation of implied volatility surfaces is proposed. The factors adequately capture the moneyness and maturity slopes, the smile att...BibTeX reference