Alexandre Roch, Université du Québec à Montréal

Research

Read how they describe their research on their Université du Québec à Montréal profile.

Latest funding

Mathematical models of liquidity risk and applications to finance
NSERC · 2021 · Principal investigator
$72,000
Mathematical Modelling of Liquidity Risk in Financial Markets
NSERC · 2012 · Principal investigator
$102,000

All 2 grants and awards

No publications available.

Mathematical models of liquidity risk and applications to finance

Principal investigatorNSERC2021Discovery Grants Program - Individual

Principal investigators: Roch, Alexandre

Keywords: liquidity risk; optimal control theory; numerical methods; option pricing; limit order books; optimal liquidation; dynamic programming; optimal dividend policy; monte carlo simulations; risk management

$72,000

Mathematical Modelling of Liquidity Risk in Financial Markets

Principal investigatorNSERC2012Discovery Grants Program - Individual

Principal investigators: Roch, Alexandre

$102,000

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 2021

Subject: Prospective PhD student Dear Professor Roch, 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 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 "Mathematical models of liquidity risk and applications to finance" (2021), 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]