Past and Ongoing Research: At the Crossroads between Financial Mathematics and Actuarial Science
Over the years, my research interest have diversified and they now span a wide range of theoretical and applied questions in the fields of Insurance Ruin Theory and Mathematical Finance. Non-Gaussian Option Pricing Models, Lévy Insurance Risk Models, Financial Econometric Regime-switching Models and Axiomatic Risk Measures are some of my research interests nowadays. These are some examples of my research.
COURSES AND STUDENT SUPERVISION
I am currently an Associate Professor in the Department of Mathematics and Statistics at the University of Montreal.
My specialization is in Financial and Actuarial Mathematics and my general research interests are in the fields of Mathematical Finance and Risk Theory.
More specifically, current topics of interest to me now go beyond classical Ruin Theory, ranging from novel applications of Learning Algorithms in Finance to Micro-structural Modeling in High Frequency Finance.
Since 2011, I am the Graduate Director of the M.Sc. program in Financial and Computational Mathematics.
Courses and Graduate Supervision: Building a Research and Training Program
I actively participate in developing our programs in actuarial and financial mathematics, both at at the undergraduate and graduate level. I also organize various activities to promote and diversify research and professional opportunities for our students. As for graduate supervision, I have built a team of Master's and Ph.D. students with whom I work on a wide range of projects in Insurance Mathematics and Mathematical Finance.
Research Contracts: Applied Projects in Partnership with Industry
Having started my career studying applications of Lévy processes in finance and insurance I now have a particular interests in Statistical Learning Algorithms and High-Frequency Modeling in Finance. Although I continue to work on classical problems in Ruin Theory, I now also have research projects in partnership with key industrial quantitative research teams in the finance sector. These projects are carried out under industry-funded research contracts that were possible thanks to a professional network that I built over the years and that now allows me to explore applied directions in new exciting fields. These are some examples of this research.
Teaching and training activities in computational finance and actuarial mathematics programs
Department of Mathematics and Statistics
University of Montreal
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