René Ferland

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Verified

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• Doctor of Philosophy (Ph. D.)
• Adjunct Professor at University of Quebec in Montreal

The inclusion of hedge funds in large institutional portfolios is controversial. We use a disappointment aversion utility-based framework to investigate this issue. We empirically model the end-of-period wealth directly as opposed to the joint return distribution. This approach captures the interconnections between different asset categories withou...

In this paper, we consider the yearly influenza epidemic, as reflected in the seasonal surveillance data compiled by the CDC (Center for Disease Control and Prevention, USA) and we explore a new methodology for comparing specific features of these data. In particular, we focus on the ten HHS (Health and Human Services) regions, and how the incidenc...

We look at whether monetary decisions constitute a significant macro-finance risk for interest rate options and related implied volatilities. We devise an option-pricing model based on the dynamics of the Federal Reserve's target rate via a regime-shift approach modeled as discrete Markov chain capturing the timing of Federal Open Market Committee...

In this work, we study the goal-achieving probabilities of a multiperiod mean-variance financial strategy under a \emph{switch-when-safe} stopping time rule. This stopping time is defined as the first moment, if it occurs, where the investor's cumulative wealth, at this point, can be safely reinvested in a simple bank account in order to meet his f...

In this paper, we propose a flexible model for cyclic abundance data, that takes into account predator–prey interactions. The idea is to incorporate a predator–prey dynamical model into a non homogeneous Poisson process of periodic intensity rate. Further, we devise an easy to implement estimation method and derive asymptotic confidence intervals....

In this paper, we derive and empirically test a regime-shifting dynamic term structure model for pricing interest rate caps. The central state variables are the target rate of the Federal Reserve and its latent regime in which it fluctuates. These state variables are driven by a discrete time inhomogeneous Markov chain that captures the timing of F...

We consider a system of Markov processes of finitely-many particles which exchange their energies in pairs at random times. A law of large numbers for this system means that the empirical measures of the processes may be approximated (as the number of particles increases) by the solution of a nonlinear evolution equation (the so-called McKean-Vlaso...

The paper proposes in a regime-shift framework, an arbitrage-free term structure model based on the target and Fed Funds Rates. Empirical observations suggest that a three-state regime-shift environment associated with FOMC monetary actions is justified. Then, a closed-form solution for zero-coupon bonds is derived where regime-shift risk is priced...

We study a mean–variance investment problem in a continuous-time framework where the interest rates follow Cox–Ingersoll–Ross dynamics. We construct a mean–variance efficient portfolio through the solutions of backward stochastic differential equations. We also give sufficient conditions under which an explicit analytic expression is available for...

We prove that the global spectral gap, for any Dirichlet-Kac random motion, is equal to the convergence rate of the limit motion.

A continuous-time utility portfolio selection problem is studied in a market in which the interest rate, appreciation rates and volatility coefficients are driven by Brownian motion. We construct an optimal portfolio using results from forward-backward stochastic differential equations (FBSDE) theory. As an illustration, exact computation of the op...

We describe the random meeting motion of a finite number of investors in markets with friction as a Markov pure-jump process with interactions. Using a sequence of these, we prove a functional law of large numbers relating the large motions with the finite market of the so-called continuum of agents.

We describe the random meeting motion of a finite number of investors in markets with friction as a Markov pure-jump process with interactions. Using a sequence of these, we prove a functional law of large numbers relating the large motions with the finite market of the so-called continuum of agents.

An integer-valued analogue of the classical generalized autoregressive conditional heteroskedastic (GARCH) (p,q) model with Poisson deviates is proposed and a condition for the existence of such a process is given. For the case p = 1, q = 1, it is explicitly shown that an integer-valued GARCH process is a standard autoregressive moving average (1,...

This study examines two important issues underlying realized volatility and correlation estimators. First, an empirical inquiry is conducted to assess whether Bax and Eurodollar futures tick-by-tick data can be characterized as marked-point processes. Second, ARMA, neural network, GARCH-BEKK, and naive volatility and correlation forecasts are compa...

In this paper we introduce a minimum distance estimator of the weights in a finite mixture when the data are censored. Our estimator is a natural extension of the estimator of Choi and Bulgren (1968). In order to check the robustness of this minimum distance estimator we perform a simulation study.

We build a system composed of a large number of randomly interacting particles in such a way that the empirical laws converge (when the number of particles tends to infinity) to a weak solution of a nonlinear evolution equation, which is a relaxed kinetic equation related to scalar conservation laws.

Consider the simple problem of providing an estimator for θ, θ > 0, from observations (Xn), where (X1,…,Xn,…) is a sequence of independent r.v., Xn ∼ Bernoulli (pn), with , 0 < an ↓ 0. It is intuitively clear that if an → 0 fast enough, there exists no consistent estimator for θ; on the other hand, if an → 0 very slowly, such a consistent estimator...

Under mild initial assumptions, a functional central limit theorem is obtained for a system of randomly interacting particles regulated by a binomial kernel of interaction. This system is related to a nonlinear Boltzmann-type equation.

In this paper, we develop a new approach to obtain the compactness of the fluctuation processes for Boltzmann dynamics. Our method is applicable to Kac's model, already studied by Uchiyama, but it covers many other cases. A novelty worth mentioning is the use of the weak topology of a Hilbert space

Kac [22] a montré, pour sa caricature d'un gaz de Boltzmann, que la solution de l'équation de Boltzmann généralisée correspondante peut être obtenue comme limite d'une suite de lois empiriques induites par des processus markoviens . Pour un entier n donné, le processus ( X ⁿ ( t )) t ≥0 décrit le comportement d'un gaz à n molécules où des collision...

While constructing a large class of Roltzmarm processes, we show that the variables' laws in each process converge to the equilibrium along regular test functions at an exponential rate.

Using an approach similar to Tanaka's we prove the convergence toward equilibrium for general classes of models which correspond to Boltzmann equations of the cutoff type. A major step consists in showing a convex inequality involving the Kantorovich-Vasherstein metric. This requires assumptions on the interacting kernels. These assumptions are ver...

McKean (1966), Tanaka (1978), and Sznitman (1984) have obtained existence, uniqueness and asymptotic results for the solution of a Boltzmann type equation, for the cases of Kac’s caricature, Maxwell’s gas and Boltzmann’s gas, respectively. Their methods use Wild’s sums. Here we adapt Tanaka’s method for his asymptotic result to show, with the help...

This study empirically examines the competitiveness of different forecasting sets of re-alized volatilities and correlations using linear and nonlinear specifications of time series based on high frequency data. The linear specification uses lagged explanatory variables to explain fractionally integrated series of realized volatilities and correlat...