Jean-François Bégin, Simon Fraser University

Research

Filtering techniques Latent variable models Quantitative finance Probabilistic modelling Quantitative risk management Stochastic processes Time-series model derivative pricing

Latest funding

Pricing electricity derivatives: Exploring stochastic volatility jump-diffusion models
NSERC · 2024 · Principal investigator
$25,000
Quantitative Analysis and Modelling of Systemic Risk in the Insurance Sector
NSERC · 2023 · Principal investigator
$25,000
The impacts of climate change on the long-term viability of public and private pension plans
NSERC · 2022 · Co-investigator
$60,000

All 5 grants and awards

Pricing electricity derivatives: Exploring stochastic volatility jump-diffusion models

Principal investigatorNSERC2024Alliance Grants

Principal investigators: Bégin, Jean-François JF

Keywords: derivative pricing; energy sector; filtering techniques; latent variable models; numerical methods; probabilistic modelling; quantitative finance; quantitative risk management; stochastic processes; time-series model

$25,000

Quantitative Analysis and Modelling of Systemic Risk in the Insurance Sector

Principal investigatorNSERC2023Alliance Grants

Principal investigators: Bégin, Jean-François J-F

Keywords: Filtering techniques; Insurance sector; Latent variable models; Probabilistic modelling; Quantitative finance; Quantitative risk management; Stochastic processes; Systemic risk; Time-series model

$25,000

The impacts of climate change on the long-term viability of public and private pension plans

Co-investigatorNSERC2022Alliance Grants

Principal investigators: Boudreault, Mathieu M

Keywords: actuarial science; asset allocation; climate change; demographics; economic scenario generators; mortality and morbidity; pension plans

$60,000

On the Joint Modelling of Financial Assets

Principal investigatorNSERC2018Discovery Launch Supplement

Principal investigators: Bégin, JeanFrançois

$12,500

On the Joint Modelling of Financial Assets

Principal investigatorNSERC2018Discovery Grants Program - Individual

Principal investigators: Bégin, Jean-François

Keywords: Actuarial science; Credit risk; Filtering techniques; Financial mathematics; Inference from stochastic processes; Latent variable models; Option pricing; Quantitative finance; Risk modelling and analysis; Time series and financial econometrics

$147,000

From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.

Write to this professor

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Applying for

Mention their NSERC grant from 2024

Subject: Prospective PhD student: Filtering techniques Dear Professor Bégin, My name is [your name], and I am a [your current degree or role] at [your institution]. I am applying for a PhD position starting in [term and year]. Your research on filtering techniques connects closely to my own work on [your research topic]. [One or two sentences on what you did and what you learned.] I also saw your NSERC-funded project "Pricing electricity derivatives: Exploring stochastic volatility jump-diffusion models" (2024), and I would be glad to contribute to work in that direction. Are you accepting new PhD students for [term and year]? I have attached my CV and transcripts, and I would be glad to talk at a time that suits you. Thank you for your time. Kind regards, [your name]