Frédéric Godin, Concordia University

Research

Hedging quantitative risk management financial mathematics reinforcement learning options and financial derivatives portfolio optimization variable annuities and life insurance financial time series

Latest funding

Risk-aware reinforcement learning for financial portfolio optimization
NSERC · 2024 · Principal investigator
$31,000
Global hedging in incomplete markets
NSERC · 2017 · Principal investigator
$133,000

All 2 grants and awards

Risk-aware reinforcement learning for financial portfolio optimization

Principal investigatorNSERC2024Discovery Grants Program - Individual

Principal investigators: Godin, Frédéric

Keywords: quantitative risk management; financial mathematics; reinforcement learning; options and financial derivatives; hedging; portfolio optimization; variable annuities and life insurance; financial time series

$31,000

Global hedging in incomplete markets

Principal investigatorNSERC2017Discovery Grants Program - Individual

Principal investigators: Godin, Frédéric

Keywords: Derivatives; Dynamic programming; GARCH processes; Hedging; Incomplete markets; Non-Gaussian financial modeling; Numerical methods; Risk management; Robustness and model risk; Stochastic modeling

$133,000

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

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Applying for

Mention their NSERC grant from 2024

Subject: Prospective PhD student: Hedging Dear Professor Godin, 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 hedging 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 "Risk-aware reinforcement learning for financial portfolio optimization" (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]