Information Technology Finance
Resume:
Education
HEC Montréal (AACSB International, AMBA & EQUIS)
Ph.D. Administration, Finance
Committee : Lars Stentoft, Pascale Valéry, and Christian Dorion, HEC Montréal & Jan Ericsson, McGill University.
HEC Montréal (AACSB International, AMBA & EQUIS)
M.Sc. Administration, Finance
2002-2007 ESG UQAM (EQUIS)
B.B.A. Finance
Research
Refining the Least Squares Monte Carlo Method by Imposing Structure.
Létourneau, Stentoft (2012)
(Second Revision at Quantitative Finance)
The least squares Monte Carlo method of Longstaff and Schwartz (2001) has become a standard numerical method for option pricing with many potential risk factors. An important choice in the method is the number of regressors to use and using too few or too many regressors leads to biased results. This is so particularly when considering multiple risk factors or when simulation is computationally expensive and hence relatively few paths can be used. In this paper we show that by imposing structure in the regression problem we can improve the method by reducing the bias.
The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity.
Létourneau, Valéry (2012)
(Job Market paper)
Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied volatility surface. If so, practitioners cannot identify the price of risk of one market by using a model of another, even if it depends on the same underlying interest rate. We extend the methodology in established literature by incorporating nonlinear effects essential to derivatives pricing. In addition, a simple and intuitive model of the implied volatility surface is provided.
Option pricing using Continuous time NGARCH.
Létourneau (2012)
(Work in progress)
GARCH processes are known to provide a reasonable fit the return processes observed on stock markets. More specifically, the NGARCH model, exhibiting asymmetry is considered in this paper. The continuous time limit of the NGARCH model converges to a stochastic volatility model with two sources of randomness. This second source of randomness can bring more flexibility to the model. One can infer model parameters from estimating the discrete time NGARCH or estimate the model in continuous time using a particle filter. The later will profit from the full flexibility of the model. In this paper, we compare which estimation leads to better performance in terms of fitting the return processes and in terms of pricing the options associated with the stock.
Presentations
The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity.
April 2013
Nov 2012
Nov 2012
May 2012
May 2012
Feb 2012
May 2011
Internal seminar, HEC Montreal, Canada
Seminar, University of Wisconsin - Whitewater, USA
IFM2, Mathematical finance days, Montreal, Canada
CIRPÉE students’ days, Montreal, Canada
IFM2, Mathematical finance days, Montreal, Canada
3 Essays on financial derivatives.
March 2012
May 2012
HEC Finance Days
Dissertation Proposal
Refining the Least-Squares Monte Carlo Method by Imposing Structure.
May 2011
May 2010
April 2010
GERAD 2011, Montreal, Canada
IFM2, Mathematical finance days, Montreal, Canada
Sprott School of Business PhD Symposium, Ottawa, Canada
Scolarships and Awards
2010-2013
2011-2012
2010
2009-2012
2010
2009
2007
Fond Québécois de la recherche sur la société et la culture (FQRSC), Research scholarship
CIRPÉE-HEC Montréal, Excellence Scholarship
Edouard-Montpetit-Standard-Life, Excellence Scholarship
HEC Montréal, Program scholarship
Sprott School of Business PhD symposium “Best Presentation runner-up” for “Improving the Least-Square Monte Carlo method by Imposing Structure”
HEC Montréal, M.S.c. Acceleration scholarship
ESG – UQAM, Dean Honours Roll
Research and Teaching Experience
2010-today
2009-2012
2009
1998 - 2007
Research Assistant of Lars Stentoft, HEC Montréal
Particle filters estimation of continuous time NGARCH models and various research tasks.
Lecturer, HEC Montréal
Introduction to Financial Mathematics (M. Sc.)
Portfolio Management (Specialized Graduate Diploma)
(Ad hoc replacement for 3 sessions)
Teaching for the private sector
System Administration for IT professionals
System Expertise for corporate employees
Professional Experience
2006-today Caisse Desjardins Haut-Richelieu, Elected member of the Board of Director and member of the Audit Committee
(Financial cooperative institution with 64,000 members and overall assets of over $1 billion; member of Desjardins Group, the largest cooperative financial group in Canada, with more than 5.6M members and overall assets of over $190 billion)
• Board of Directors: Attend Board meetings; ensure members satisfaction, establish Caisse’s vision and strategy in order to improve members’ wealth.
• Audit Committee: Oversee financial statements..
1998 - 2007 Groupe Conseil OSI, Information Technology Consultant
Selected mandates:
• Client: Municipality (2007): Managed the IT department with a total budget of $1.75M. Managed a team of 6 employees in a transition period. Analyzed the operational processes and enhanced the client quality service and the communication with other services.
• Client: Insurance (2006): Successfully managed an IT disaster recovery. All system where available 5 times faster than designed in the Disaster Recovery Plan.
• Various clients (1998-2007): Developed various applications and interfaces integrated to multiple databases. Administrated a 24/7 support team for various clients.
Additional Information
Languages: French (native tongue), English (fully fluent)
Computer skills: Smart board, MATLAB, Mathematica, STATA, C#, C++, VB, Bloomberg, LaTeX, SQL, etc.
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