Profile
College / Department
Teaching areas
Probability, actuarial mathematics, financial mathematics, mathematics for business
Research areas
financial mathematics, stochastic processes, superprocesses
Education
PhD, Carleton University, Canada, 1995
MSc, Montreal University, Canada, 1991
BSc, Montreal University, Canada, 1989
Professional experience
Associate Professor of Mathematics , American University of Sharjah, 2011-present
Assistant Professor of Mathematics, American University of Sharjah, 2004-2011
CDPQ/Standard Life/Morneau Sobeco, Montreal, Canada, 1997-2004
Contact
+971 6 515 2341
Dr. Guillaume Leduc
Associate Professor
PhD in Mathematics, Carleton University, Ottawa, Canada
Guillaume Leduc has taught mathematics for more than seven years, teaching at the University of Quebec at Montreal, Canada and AUS. His areas of research and teaching interest are stochastic processes and, in particular, superprocesses, actuarial mathematics and financial mathematics. Prior to his academic career, he worked for seven years for financial institutions, actuarial consulting firms and insurance companies.
Publications
Leduc, Guillaume, and Zeng, Xiangchen. "Convergence rate of regime-switching trees." Journal of Computational and Applied Mathematics 319 (2017): 56-76. doi: 10.1016/j.cam.2016.12.033. [Comment: ISSN# 0377-0427. ]
Leduc, Guillaume, and Gergely Orosi. "A Robust Method to Retrieve Option Implied Risk Neutral Densities for Defaultable Assets." International Journal of Financial Markets and Derivatives 5, no. 2/3/4 (2016): 212-224. doi: 10.1504/IJFMD.2016.081704.
Al-Khazali, Osamah, Guillaume Leduc, and Mohammad Saleh Alsayed. "A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices." Emerging Markets Finance and Trade 52, no. 7 (2016): 1587-1605.
Leduc, Guillaume. "Option convergence rate with geometric random walks approximations." Stochastic Analysis and Applications (2016)
Leduc, Guillaume. "The Randomized American Option as a Classical Solution to the Penalized Problem." Journal of Function Spaces 2015 (2015): 5.
Leduc, Guillaume. "Can high order convergence of European option prices be achieved with common CRR-type binomial trees?" Bulletin of the Malaysian Mathematical Sciences Society 39, no. 4 (2016): 1329–1342.
Leduc, Guillaume. "A European Option Binomial Scheme General First Order Error Formula." ANZIAM Journal 54, no. 4 (August, 2013): 248-272.
Leduc, Guillaume. "Convergence rate of the binomial tree scheme for continuously paying options." Annales des sciences mathématiques du Québec 36, no. 2 (December, 2012): 381–394.
Leduc, Guillaume. "Smooth Superprocess Evolution Equation Solutions." International Mathematical Forum 3, no. 14 (October, 2008): 645-660.
Leduc Guillaume, Exercisability Randomization of the American Option, Stochastic Analysis and Applications 26 (June, 2008), no. 4, 832-855.
Alkhazali, Osamah, Guillaume Leduc, and Pyun, Chong Soo. "Market efficiency of floating exchange rate systems: Some evidence from Pacific-Asian countries." Global Finance Journal 22, no. 2 (October, 2011): 154–168.
Leduc Guillaume, "Martingale problem for superprocesses with non-classical branching functional", Stochastic Processes and their Applications 116 (2006), no. 10, 1468-1495.
Leduc Guillaume, "The complete characterization of a general class of superprocesses", Probability Theory and Related Fields 116 (2000), no. 3, 317-358.
D.A. Dawson, K. Fleischmann, and Guillaume Leduc, "Continuous dependence of a class of superprocesses on branching parameters and applications", Annals of Probability 26 (1998), no. 2, 562-601.
D. Sankoff, Guillaume Leduc, N. Antoine, B. Paquin, B.F. Lang, and R. Cedergren, "Gene order comparisons for phylogenetic inference: Evolution of the mitochondrial genome", Proceedings of the National Academy of Sciences of the United States of America 89 (1992), no. 14, 6575-6579
Conference Presentations
Leduc, Guillaume. "From Discrete to Continuous Regime Switching Models." Paper presented at the 3rd International Conference on Computational Mathematics and Engineering Sciences (CMES2018), Girne, Cyprus, May 4-6, 2018.
Leduc, Guillaume. "Efficient Tree methods in Regime switching models." Paper presented at the International Conference on Mathematics and Engineering (ICOME-2017), Istanbul, Turkey, May 10-12, 2017.
Leduc, Guillaume. "Convergence of option prices under discrete time models." Paper presented at the Numerical methods in equity and FX option pricing, Melbourne, Australia, August 1, 2016.
Leduc, Guillaume. "Analysis of the speed convergence from discrete to continuous time finance in option pricing." Paper presented at the ICMPAS 2016, International Conference on Mathematics, Physics & Allied Sciences, Goa, India, March 3 -5, 2016.
Leduc, Guillaume. "Random Walks and Option Pricing for European and American Options." In Proceedings of the 17th International Conference on Mathematics, Statistics and Scientific Computing: ICMSSC 2015, Kuala Lumpur, Malaysia, Feb 12-13, 2015.
Leduc, Guillaume. "High Order Option Convergence with CRR-type Schemes." Paper presented at the International Symposium on Differential Equations and Stochastic Analysis in Mathematical Finance, Sanya, China, July 15-22, 2014.
Leduc, Guillaume. "General random walk approximation of underlying assets & option convergence." Paper presented at the 12th UAE MathDay, Dubai, UAE, April 19, 2014.
Leduc, Guillaume. "Explicit error formula for option values under general binomial scheme approximations of the Black-Scholes model." Paper presented at the 3rd Annual International Conference on Computational Mathematics, Computational Geometry & Statistics, Singapore, Republic of Singapore, February 3-4, 2014.
Leduc, Guillaume. "A closed form approximation of the American put option." Paper presented at the 11th UAE MathDay, Al Ain, Abu Dhabi, UAE, April 27, 2013.
Alkhazali, Osamah, and Guillaume Leduc. "Hypothesis of Stock Returns in the Emerging Markets." Paper presented at the Middle East Economic Association Conference, Barcelona, Spain, June 23-24, 2011.
Alkhazali, Osamah, Guillaume Leduc, Pyun, and Chong Soo. "The Random Walk vs. the Martingale Difference Hypotheses: Testing the Efficiency of Foreign Exchange under the Floating Regime." Paper presented at the International Conference on Economics and Business Information, Bangkok, Thailand, May 28-29, 2011.
Leduc, Guillaume. "Continuously paying and randomly exercisable options." Paper presented at the 9th UAE MathDay, Ajman, UAE, April 9-10, 2011.
Leduc, Guillaume. "Convergence rate of the binomial tree scheme for continuously paying options." Paper presented at the Probability Theory, Statistical Physics and Applications Workshop, Abu Dhabi, UAE, January 16-20, 2011.
Awards and Honors
Doctoral Prize of the Ottawa-Carleton Institute of Mathematics. Awarded to Dr. Guillaume Leduc by Ottawa-Carleton Institute of Mathematics.
1995 Carleton University medal for Outstanding Work. Awarded to Dr. Guillaume Leduc by Carleton University.
