College of Business and Economics

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Pascal Letourneau
Associate Professor

Department(s): Finance & Business Law
Office Location: Timothy J Hyland Hall 3519
Phone: (262) 472-3209
Email: letournp@uww.edu

Awards

Name

Date

Sponsor

Description

Excellence Scholarship

CIRPEE-HEC Montreal

2011-2012

FQRSC Research Scholarship

Fond Qeubecois de la recherche sur la societe et la culture

2010-2013

Semi-Finalist for Best Paper award

July 2017

Financial Management Association

"Modifying Real Options' Probability of Exercise", has been identified as a semifinalist for one of five best paper awards to be given at the 2017 FMA Annual Meeting in Boston.

College Research Grant

July 2015

UW-Whitewater College of Business and Economics

Sang Baum Kang (co-P.I.), Lars Stentoft (co-P.I.) and myself received a research grant of $4,500 for the project "A Real Option Analysis of Government Credibility Risk on Agricultural Commodities and Bio-fuel".

Best Presenatation Runner-Up

2010

Sprott School of Business PhD Symposium

for "Improving the Least-Square Monte Carlo Method by Imposing Structure"

Education

Degree

Major

School

Year

Ph.D.

Finance

HEC Montréal (AACSB)

2013

Master es science

Finance

HEC Montréal (AACSB)

2009

BBA

Finance

ESG UQAM (EQUIS)

2007

Associate Degree

Computer Programming

Rosement College, Montreal, Quebec, Canada

1999

Conferences

Title

Co-Author(s)

Abstract

A Novel Approach to Forecasting Equity Option Implied Volatility Surface

This paper present a framework to easily forecast the entire implied volatility surface for equity options. We confirm that S&P500 options contains leading information useful to forecast equity options. We find that level, smirk and term strucure factors ...

Time series and Machine Learning volatility forecasting

Lars Stentoft

This study revisits forecasting of equity volatility in the context of option pricing and option trading.<br>We find that selecting a best model and hyper parameters depends on the metric used.<br>In particular, results show that for simple models, a comp...

Time Series And Machine Learning Volatility Forecasting.

Lars Stentoft

Simulated Greeks for American Options

Lars Stentoft

This paper develops a method to estimate price sensitivities, so-called Greeks, for American style options using flexible simulation methods combined with initially dispersed state variables. The asymptotic properties of the estimators are studied, and co...

Exercising Real Options Sooner or Later? New Insights from Quantile-preserving Spreads on how to Fasten or Delay Exercise.

Sang Baum Kang

Using a general quantile-preserving spread and stochastic dominance, this paper studies how modification of real option characteristic affects the optimal real option holding value and exercise decision. We study under which conditions an increase in ris...

Exercising Real Options Sooner or Later? New Insights from Quantile-preserving Spreads on how to Fasten or Delay Exercise.

Sang Baum Kang

Modifying Real Options' Probability of Exercise

Sang Baum Kang

A critical difference between real options and financial options lies in that real option holders, writers, and even external stakeholders can modify the characteristics of real options. Furthermore, exercising a real option can have repercussions onto...

Modifying Real Options' Probability of Exercise

Sang Baum Kang

Modifying Real Options' Probability of Exercise

Sang Baum Kang

Improved Greeks for American Options using Simulation

Lars Stentoft

This paper studies a new method to value American style option and sensitivities.

Option Exercise Probabilities: Application to Capital Investment and Merton's Structural Model

Sang Baum Kang

This paper studies the modification of the exercise probability of real options. Differently from financial option, real option holders, writers, or even external stakeholders can modify the properties of real options. Model-free general conclusi...

This is How You Make a GARCH smile - An Improved Estimation

This paper proposes an improved estimation and calibration method to a family of GARCH models. The suggested method fixes one parameter such that the unconditional kurtosis of the model matches the sample kurtosis. The method can be used to estimate the ...

Improved Greeks for American Options Using Simulation

Lars Stentoft

This paper revisits the estimation and approximation of the so-called Greeks for American style options and compares various methods in terms of bias, convergence and overall performance. We combine the Initial State Dispersion method with Local Polynomia...

Investors’Reaction to the Government Credibility Problem: A Real Option Analysis of Emission Permit Policy Risk

Sang Baum Kang

In relation to creating a CO2 emission permit market, there are two types of climate change policy risks: 1) It is uncertain whether and when a cap-and-trade system will be implemented; and 2) once a policy is in place, there may be government credibility...

Investors’ Reaction to the Government Credibility Problem: A Real Option Analysis of Emission Permit Policy Risk

Kang, Sang Baum

This research illustrates a rational firm’s optimal decision to build an electric power plant when the firm believes that there is a carbon dioxide (CO2) policy risk. A simplified real option analysis finds that the government credibility problem decrease...

The Cap Market, the Term Structure and the Unspanned Factors: Taking Care of Non-Linearity

Valery

Classical models for fixed income derivatives pricing rely on the identification of a risk neutral measure from the term structure of interest rates. We test if factors unspanned by the term structure affect the prices of caps and the shape of the implied...

The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity

Valery

The Cap Market, the Term Structure and the Unsapnned Factors: Taking care of non-linearity

Valery

The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity

Valery

The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity

Valery

The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity

Valery

The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity

Valery

3 Essays on Financial Derivatives

The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity

Valery

Refining the Least-Squares Monte Carlo Method by Imposing Structure

Stentoft, Lars

The least squares Monte Carlo method of Longstaff and Schwartz (2001) has become a standard numerical method for option pricing with many potential risk factors. An important choice in the method is the number of regressors to use and using too few or too...

The Cap Market, the Term Structure and the Unspanned Factors: Taking care of non-linearity

Valery

Refining the Least-Squares Monte Carlo Method by Imposing Structure

Stentoft, Lars

All Publications

Title

Publisher

Type

Details

Date

Model-free analysis of real option exercise probability and timing

Quantitative Finance

Journal Article, Academic Journal

August 2023

Simulated Greeks for American Options

Quantitative Finance

Journal Article, Academic Journal

Vol. 0 Iss. 0 Pg. 1-24

January (1st Quarter/Winter) 2023

Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method

Journal of Risk and Financial Management

Journal Article, Academic Journal

Vol. 12 Iss. 4 Pg. 190

December 2019

An Improved Estimation Method for a Family of GARCH Models

Journal of Derivatives

Journal Article, Academic Journal

Vol. 27 Iss. 1 Pg. 67-91

July (3rd Quarter/Summer) 2019

A Real Option Analysis on Retiring Existing Coal-fired Electricity Plants in the United States

Journal of Energy Markets

Journal Article, Academic Journal

2018

Is it still economic to build a new coal-fired power plant in the U.S.? A real option analysis

Applied Economic Letters

Journal Article, Academic Journal

Vol. 0 Iss. 0 Pg. 1-5

2018

The Model-Free Equivalence Condition for American Spread Options

Theoretical Economics Letters

Journal Article, Academic Journal

Vol. 7 Pg. 757-763

June 2017

Investors’ Reaction to the Government Credibility Problem: A Real Option Analysis of Emission Permit Policy Risk

Energy Economics

Journal Article, Public or Trade Journal

Vol. 54 Pg. 96-107

February 2016

Refining the Least Square Monte Carlo Method by Adding Structure

Quantitative Finance

Journal Article, Academic Journal

Vol. 14 Iss. 3 Pg. 495-507

2014

Consulting

Organization

Location

Description

Caisse Desjardins Haut-Richelieu

Canada

Elected member of the Board of Directors and member of the Audit Committee

Pascal Letourneau Associate Professor

Awards

Education

Conferences

All Publications

Consulting

Pascal Letourneau
Associate Professor