• Academic Title: PhD in Administration
• Grade: Assistant Professor
• Field of Expertise:  Finance
• Teaching Department: Law, Accounting, Finance
• Function/mission:  Head of the Department of Law, Accounting, Finance 
• E-mail:  p.rostan@supco-montpellier.fr
• Tel.: +33 4 67 10 28 05

Diploma

• 2003:  PhD in Administration (University of Quebec in Montreal, Canada)
• 1998:  Master in Business Administration (University of Quebec in Montreal, Canada)   

Bio

Dr. Pierre Rostan, Assistant Professor at GSCM, arrived in May 2010. He is Head of the Department of Law, Accounting, and Finance. He holds a PhD in Administration (2003: University of Quebec in Montreal, Canada). Major topics of research are the pricing of derivative products with numerical methods, the forecasting of the interest-rate yield curve, the modelling of stochastic volatility, estimation methods of Value at Risk, and the role of Central Banks to mitigate the vulnerability of the financial system. His research has been published in journals such as the Journal of Theoretical Accounting Research, Insurance & Risk Management, Policy Options, L'Actualité Economique, etc., and with editors such as Palgrave-MacMillan.

Publications

Peer Reviewed Journal Articles (PRJ)

• Ben-Ameur H., Bouafi H., Rostan P., Théoret R. & Trabelsi S. 2008. Assessing bankrupt probability on American firms: A logit approach. Journal of Theoretical Accounting Research, 3(2): 425-435.

• Théoret R. & Rostan P. 2005. The Bank of Canada and the vulnerability of the financial system. Policy Options, 27(2): 100-104.

• Théoret R. & Rostan P. 2005. Les bandes de Bollinger comme technique de réduction de la variance des prix d'options sur obligations obtenus par la simulation de Monte Carlo. L'Actualité économique, 81(4): 693-724.

• Théoret R., Rostan P. & Zabré L. 2004. Difficulté de calculer les swaps de volatilité. Assurance et Gestion de Risque, 72(2): 301-321.

• Théoret R. & Rostan P. 2004. De la réhabilitation du modèle de Black: tests empiriques de modèles d'options sur taux d'intérêt. Luxembourg Economic Papers, 18: 69-85.

PhD Thesis & Books

• Rostan P. 2003. Empirical foundations of interest rate options models: The case of Fong & Vasicek. PhD dissertation (University of Quebec in Montreal, Canada).  

• Rostan P. 2001. Produits dérivés et Visual Basic: Les premiers outils de l'ingénierie financière. Montreal (Canada), Guérin.

Book Chapters

• Théoret R., Rostan P. & El Moussadek A. 2006. An essay on stochastic volatility and the yield curve. In Gregoriou G. (Ed.), Advances in Risk Management: 251-274. London (U.K.), Palgrave-MacMillan.

Conference papers

• Théoret R., Rostan P., El Moussadek A. & Djebaili O. 2006. Forecasting the yield curve: The validation of the Nelson-Siegel model. The 34th Administrative Sciences Association of Canada Conference, June, Banff, AB, Canada. [Proceedings]

• Théoret R., Rostan P., El Moussadek A. & Djebaili, O. 2005. Forecasting the yield curve: a Monte Carlo simulation approach. 18^th Australasian Finance and Banking Conference, December, Sydney, Australia. [Proceedings]