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November 1, 2003 – March 31, 2004
The development activities of the previous year 1 will continue but we also
intend to organize at least one conference on the themes of our program and results covered by our research
program. We will also start integrating the validated procedures into software packages. Increasing our collaboration
with our two new partners [Desjardins GlobalAsset Management, Laurentian Bank of Canada].
April 1, 2004 – March 31, 2005
The development activities of the previous year will continue but we
also intend to organize at least one conference on the themes of our program and results covered by our research
program. We will also start integrating the validated procedures into software packages.
Year 1 : April 1, 2005 – March 31, 2006
The accent will be put on the development of models, procedures and tests in
the various subjects identified above as well as their application to some applied problems and specific data sets.
Year 2 : April 1, 2006 – March 31, 2007
The development activities of Year 1 will continue but we also intend to
organize a first conference on the themes (simulation-based methods in econometrics and finance) and results covered by
our research program. We will also start integrating the validated procedures into software packages.
Years 3 and 4 : April 1, 2007 – March 31, 2009
Besides pursuing our basic research on the topics covered by the
project, we intend to emphasize the development of usable software that will implement the financial and statistical
techniques developed. Most notably, the team intends to build a statistical package including simulation-based estimation
and inference procedures as well as a module for simulation-based dynamic portfolio allocation with constraints and
transaction costs and a module for nonparametric derivative pricing. Another conference on the themes of our research
program will also be organized.
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