Research Scholarship in Derivative Instruments

Montréal Exchange is no longer accepting applications for its 2024 Research Scholarship in Derivative Instruments!

Are you conducting an innovative research project on a problem related to derivatives? Have an interest in current issues and emerging trends impacting the financial services industry including fintech, cryptocurrencies, NFTs, sustainable finance, ESG factors, or big data analytics?

Apply now for the opportunity to receive a scholarship for research in derivatives valuing up to $25,000. The application deadline is Thursday, February 29, 2024, at 5:00 p.m. (ET).

The Montréal Exchange (MX) provides university students, through its Research Scholarship program, a forum to gain in-depth understanding and knowledge of the derivatives markets as well as funding for students' graduate studies at the doctorate level.

Eligibility requirements

To be eligible for the Research Scholarship in Derivative Instruments, students must:

1. Be enrolled full-time in a PhD program at a Canadian university in finance, mathematics, economics, financial engineering, accounting, actuarial science or any other related discipline.
2. Conduct a research project on derivatives, exchange-traded products, or another topic related to the activities of the Montréal Exchange.

Application file

• Duly completed registration form
• Research project outline (2,000-word maximum)
• Cover letter / Letter of motivation (one pager)
• Curriculum vitae
• Official transcript of entire university career
• Proof of full-time enrollment in a PhD program
• Two letters of recommendation. One letter must be signed by your thesis supervisor or the chair of the thesis committee, and the other by a professor or an employer.

The deadline for receipt of application and supporting documents is Thursday, February 29, 2024, at 5:00 p.m. (ET).

Application and supporting documents must be sent via the Application Form.

Selection criteria

1. A comprehensive plan for the research project that describes:
   • The applicant's motivation in completing the research project within a predetermined and realistic timeframe and objectives;
   • The relevance of the research project to both financial markets in general and, ideally, exchange-traded derivatives markets;
   • The contribution that will be made by the research project, set in terms of previous studies;
   • The research methodology employed (theoretical or empirical), including the steps to be followed, the data that will be considered, and the timeframe for completing each step;
   • How use of the scholarship amount will help the project (e.g., purchase of data, relief from responsibilities, living expenses).
2. Innovation and enthusiasm for the chosen subject
3. Leadership and initiative in academic or professional activities
4. Superior academic performance

Research Scholarship in Derivative Instruments - Selection Committee

• Etienne Ménard, Head of Product, Equity Derivatives, Montréal Exchange
• Miruna Minea-Burga, Examiner, Regulatory Division, Montréal Exchange
• Philippe Raymond, Investigator, Regulatory Division, Montréal Exchange
• Maher Kooli, Caisse de dépôt et placement du Québec (CDPQ) Research Chair in Portfolio Management, École des sciences de la gestion (ESG) UQAM
• Andriy Shkilko, Professor of Finance, Canada Research Chair in Financial Markets, Wilfrid Laurier University

The Selection Committee will evaluate and rank applications on the basis of merit. A scholarship will be awarded based on the quality of the application. The Selection Committee reserves the right to modify the offer. Applicants are not bound to exclusivity with the Montréal Exchange and may receive additional scholarships.

Questions? Contact us.

About the scholarship program

As part of its financial educational initiatives, in February 2012, Montréal Exchange launched the Canadian Derivatives Exchange Scholars Program. Today, we continue our efforts to engage and offer PhD students the opportunity to expand and showcase their knowledge through our Research Scholarship in Derivative Instruments program.

Recipients of the Research Scholarship in Derivative Instruments

• 2024

  Yuhan Song, HEC Montréal

  In her research project, Yuhan will apply a conditional factor model with non-parametric option return exposures to analyze the risk factors and associated premia of ultra-short-maturity (USM) options, and further investigate their contribution to market completeness.

• 2022 - 2023

  Borel Ahonon, McGill University

  Titled Sovereign Risk and Exchange Rates: Unfolding the Economic Drivers, Borel's research project aims to identify global economic risks driving the relationship between sovereign risk and exchange rates, construct quanto spreads measures from exchange-traded options, and evaluate the implications for exchange rates and currency options.

• 2021 - 2022

  Constant Aka, Université Laval

  Dans son étude intitulée Performance de modèles à sauts dans l'évaluation des options sur futures : cas du marché des commodités, l'objectif de Constant est de construire deux modèles à sauts pour les prix des contrats futures sur matières premières. Le premier modèle est un modèle à saut unique dans les rendements des contrats futures dont l'intensité est constante. Le second modèle que nous proposons est un modèle à doubles sauts fait sur mesure pour modéliser des contrats futures. L'étude inclura une brève revue de littérature sur l'évaluation d'options sur le marché des titres et des commodités, la modélisation et le processus de calibration des paramètres, les bases de données utilisées, leurs sources ainsi que quelques statistiques descriptives et les résultats empiriques : paramètres estimés et performances.

  Etienne Bacon, HEC Montréal

  In Weighted Likelihood and Estimation of Financial Models, Étienne's proposed research project fills an important gap in literature by assessing the impact of subjective choices regarding the estimation of financial models commonly used in option pricing and risk management. It focuses on two different aspects: the error specification and the importance of each type of observation in the estimation. With respect to the former, the impact of both the loss function and the probability distribution on the likelihood function will be explored. He will also determine what kind of dependence structure is needed to incorporate these errors in the likelihood. This step will be achieved by investigating correlation in the time series—from one day to the other—and in the cross series of observations—for a given day. With the latter, the impact of including many different signals in the estimation will be investigated. Specifically, the weighted likelihood estimator of Hu and Zidek (2002) will be adapted to account for the dependence among the observations—based on the first step of this project. This will require a formal derivation of the estimator. Then, it will be tested in the context of joint estimation using Monte Carlo experiments.

  Within this controlled environment, he will be able to assess theoretically and empirically the impact of using different data (e.g. option prices, intraday summaries, VIX and other option-related quantities) on the parameter estimates, the latent variable estimates, and their precision. He will also assess the fit from both in- and out-of-sample perspectives.