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Profile
College / Department
Teaching areas
Probability, actuarial mathematics, financial mathematics, mathematics for business
Research areas
financial mathematics, stochastic processes, superprocesses
Education
PhD, Probability, Carleton University, Canada, 1995
MS, Mathematics, University of Montreal, Canada, 1991
BA, Pure Mathematics, University of Montreal, Canada, 1989
Professional experience
Associate Professor, Mathematics, American University of Sharjah, Sharjah, United Arab Emirates, 2011 - Present
Assistant Professor, Mathematics, American University of Sharjah, Sharjah, United Arab Emirates, 2004 - 2011
I Work In The Private Sector For A Financial Institution In The Department Of Risk And Performance And In Actuarial Science (insurance Company And Actuarial Consulting Firm), 1997 - 2004
Memberships
American Mathematical Society, March 2016
Contact
+971 6 515 2341
Dr. Guillaume Leduc
Associate Professor
PhD, Carleton University, 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
Guillaume Leduc. The Boyle–Romberg Trinomial Tree, a Highly Efficient Method for Double Barrier Option Pricing, Mathematics, 24 March 2024
Guillaume Leduc And Kenneth Palmer. The convergence rate of option prices in trinomial trees, Risks, 6 March 2023
Guillaume Leduc And Kenneth Palmer. What a difference one probability makes in the convergence of binomial trees, International Journal Of Theoretical And Applied Finance, September 2020
Guillaume Leduc, Merima Nurkanovic Hot And Ralf Korn. Joshi's Split Tree for Option Pricing, Risks, August 2020
Guillaume Leduc And Kenneth Palmer. Path independence of exotic options and convergence of binomial approximations, Journal Of Computational Finance, 5 September 2019
Guillaume Leduc And Xiangchen Zeng. Convergence rate of regime-switching trees, Journal Of Computational And Applied Mathematics, 1 August 2017
Guillaume Leduc And Gergely Orosi. A Robust Method to Retrieve Option Implied Risk Neutral Densities for Defaultable Assets, International Journal Of Financial Markets And Derivatives, 1 December 2016
Guillaume Leduc. Can high order convergence of European option prices be achieved with common CRR-type binomial trees?, Bulletin Of The Malaysian Mathematical Sciences Society, 1 September 2016
Guillaume Leduc. Option convergence rate with geometric random walks approximations, Stochastic Analysis And Applications, 1 July (3rd Quarter/Summer) 2016
Guillaume Leduc. A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices, Emerging Markets Finance And Trade, 1 July (3rd Quarter/Summer) 2016
Guillaume Leduc. The Randomized American Option as a Classical Solution to the Penalized Problem, Journal Of Function Spaces, 1 October (4th Quarter/Autumn) 2015
Guillaume Leduc. A European Option Binomial Scheme General First Order Error Formula, Anziam Journal, 1 August 2013
Guillaume Leduc. Convergence rate of the binomial tree scheme for continuously paying options, Annales Des Sciences Mathématiques Du Québec (now: Annales Mathématiques Du Québec), 1 December 2012
Osamah Al-khazali, Guillaume Leduc And Chong Soo Pyun. Market efficiency of floating exchange rate systems: Some evidence from Pacific-Asian countries, Global Finance Journal, 1 October (4th Quarter/Autumn) 2011
Guillaume Leduc. Exercisability Randomization of the American Option, Stochastic Analysis And Applications, 1 June 2008
Guillaume Leduc. Martingale problem for superprocesses with non-classical branching functional, Stochastic Processes And Their Applications, 1 October (4th Quarter/Autumn) 2006
Guillaume Leduc. The complete characterization of a general class of superprocesses, Probability Theory And Related Fields, 1 March 2000
Donald Dawson, Klaus Fleischmann And Guillaume Leduc. Continuous dependence of a class of superprocesses on branching parameters and applications, Annals Of Probability, 1 July (3rd Quarter/Summer) 1998
David Sankoff, Guillaume Leduc, Natalie Antoine, Bruno Paquin, Franz Lang And Robert 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, 1 July (3rd Quarter/Summer) 1992
Conference Presentations
On the convergence speed of Bermudan options to their American limit when the exercisability and maturity is randomized, Smlf 2024 - Stochastic And Machine Learning In Finance, 22 February 2024
The rate of convergence of the Bermudan scheme in the approximation of American options, Iccmm 2024 - International Conference On Computational And Mathematical Modelling, 26 January 2024
Enhancing Barrier Option Pricing: A Tree-Based Approach with Repeated Richardson Extrapolation, Sicms23 - The First Sharjah International Conference On Mathematical Sciences, 6 November 2023
Edgeworth expansion for option prices in trinomial models, Iccf2022 – International Conference On Computational Finance, June 2022
Edgeworth series expansion for option prices, Icra9 – 9th International Conference On Risk Analysis, May 2022
Convergence of lattice valued options to their Black-Scholes limit, The Third International Conference On Mathematics And Statistics (aus-icms `20), February 2020
Smooth convergence in the CRR model obtained by altering the sibling probabilities of one single penultimate node, The Second International Symposium On Differential Equations And Stochastic Analysis In Mathematical Finance, January 2020
Path-Independent Option Price Convergence to Path-Dependent Option Prices with the Cox, Ross, and Rubinstein model, Cmes 2019 - 4th International Conference On Computational Mathematics And Engineering Sciences, April 2019
A Path-Independent Approach to the Convergence of Path-Dependent Options under Tree Approximations, Workshop On Stochastic And Computational Finance, February 2019
Option price error formula in flexible binomial trees, Aims2018 -- 12th Aims Conference On Dynamical Systems, Differential Equations And Applications, July 2018
Efficient Tree methods in Regime switching models, International Conference On Mathematics And Engineering (icome-2017), Istanbul, Turkey., May 2017
Convergence of option prices under discrete time models, Numerical Methods In Equity And Fx Option Pricing, Melbourne, Australia, August 2016
Analysis of the speed convergence from discrete to continuous time finance in option pricing., Icmpas 2016, International Conference On Mathematics, Physics & Allied Sciences, Goa, India, March 2016
Random Walks and Option Pricing for European and American Options, 17th International Conference On Mathematics, Statistics And Scientific Computing (icmssc 2015), Kuala Lumpur, Malaysia, February 2015
High Order Option Convergence with CRR-type Schemes, International Symposium On Differential Equations And Stochastic Analysis In Mathematical Finance, Sanya, China, July 2014
Explicit error formula for option values under general binomial scheme approximations of the Black-Scholes model, 3rd Annual International Conference On Computational Mathematics, Computational Geometry & Statistics, Singapore, Republic Of Singapore., February 2014
A closed form approximation of the American put option, 11th Uae Mathday, Al Ain, Abu Dhabi, Uae, April 2013
The Random Walk vs. the Martingale Difference Hypotheses: Testing the Efficiency of Foreign Exchange under the Floating Regime, International Conference On Economics And Business Information, Bangkok, Thailand, May 2011
Convergence rate of the binomial tree scheme for continuously paying options, Probability Theory, Statistical Physics And Applications Workshop, Abu Dhabi, Uae, January 2011
The rate of convergence of the Binomial Tree Scheme, The First International Conference On Mathematics And Statistics, Sharjah, Uae, March 2010
Grants and sponsorships
Grant, A new comparative analysis of risk-adjusted performance of Islamic and conventional Indices, 1 June 2024 - 31 May 2025
Grant, The Boyle–Romberg Trinomial Tree, a Highly Efficient Method for Double Barrier Option Pricing, 1 May 2024 - 25 July 2024
Grant, Faculty Research Grant 2020 (FRG20-S-S83), American University of Sharjah, 1 June 2020 - 31 July 2023
Awards and Honors
1995 Carleton University medal for Outstanding Work, Carleton University, 30 November 1995
Doctoral Prize of the Ottawa-Carleton Institute of Mathematics, Ottawa-Carleton Institute of Mathematics, 30 November 1995
