Friday, October 10, 2014.
I presented my research "This is how you make a GARCH Smile! - A new estimation method for the NGARCH model". The level of participation by both professors and Ph.D. student was impressive, and stimulating. There were plenty of questions and discussions. This presentation was beneficial to my research, and I would not hesitate to recommend participating in the Friday Research Presentation Series.  

Thanks for the invitation.would not hesitates plenty of discussion. .. 

At this year's IFSID third conference on derivatives, I will discuss a paper by Jackwerth and Vilkov: "Asymmetric Volatility Risk: Evidence from Option Markets". The program can be found here.

At the 2014 annual meeting of the EFA, I had the pleasure of chairing two sessions, discussing an interesting paper, and presenting "Investors’ Reaction to the Government Credibility Problem: A Real Option Analysis of Emission Permit Policy Risk". The EFA is a relatively small conference that is becoming more and more competitive. It is an excellent conference to meet colleagues and future collaborators. I hope to be present at next years conference in New Orleans.

A paper of mine was accepted for the FMA Annual Meeting in Chicago in October 2013. I will present a new and improved version of "The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non linearity". The paper will have new results, but also a new title. The contributions to the research are on two fronts: the methodology and the findings.  The techniques used in this paper can be reused in many other fields of finance.
I will present the paper in the same session as Olfa Maalaoui Chun, who also graduated from HEC Montréal in 2009.

Our work on refining the Least Squares Monte Carlo (LSMC) algorithm was accepted for publication in "Quantitative Finance". The latest version of the paper is available on my SSRN page. In this paper we propose a methodology to reduce the bias of the original method. LSMC is preferred to other numerical methods is the case of complex options with multiple sources of risk. Although LSMC converges in theory, we show how challenging it can be to get precise results even with not so complex optio. We combine a simple technique to impose constraints in the regressions and we show it reduces the bias significantly. Efficient algorithms are available to solve the constrained regressions, making our refined method competitive compared to the original LSMC.

I was surprised to have one of the top 5% most viewed profile on LinkedIn. However, I did work hard to get my profile seen as much as possible. If my profile ended up in the top 5%, it is the result of 3 carefully planned add campaign. The first campaign was early 2012. It was actually just a test to see the potential of add campaigns on LinkedIn. The second campaign was late summer, when the Academic Job Market in Finance starts. Finally, the third campaign was prior to the FMA annual meeting in Atlanta. This one was the most successful.

This whole process was beneficial and ended  positively. I accepted an offer as an Assistant Professor in Finance and I will announce it when I start officially !

Thanks to LinkedIn.

Great news! We just received our response after submitting our revised version of "Refining the Least Square Monte Carlo method by imposing structure": we have one single comment and we should be able to send a final version shortly.

I will proudly present our paper in Florida in April 2013. I will also discuss a paper during the Conference.

I will probably take a couple of days on my own to take advantage of this beautiful resort.

After revising the paper "Refining the Least Squares Monte Carlo Method by Imposing Structure" according to the referee's report, the article was submitted for a second review.