Geneviève Gauthier
Geneviève Gauthier
Professeur, HEC Montréal
Adresse e-mail validée de hec.ca
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On the equivalence of the KMV and maximum likelihood methods for structural credit risk models
JC Duan, G Gauthier, JG Simonato
Groupe d'études et de recherche en analyse des décisions, 2005
1332005
An analytical approximation for the GARCH option pricing model
JC Duan, G Gauthier, JG Simonato
École des hautes études commerciales, Groupe de recherche en finance, 1997
1201997
Estimating Merton's model by maximum likelihood with survivorship consideration
JC Duan, JG Simonato, G Gauthier, S Zaanoun
EFA 2004 Maastricht Meetings Paper, 2004
732004
Approximating the GJR-GARCH and EGARCH option pricing models analytically
J Duan, G Gauthier, J Simonato, C Sasseville
Journal of Computational Finance 9 (3), 41, 2006
702006
Branching processes with immigration and integer-valued time series
J Dion, G Gauthier, A Latour
Serdica Mathematical Journal 21 (2), 123p-136p, 1995
531995
Default risk in corporate yield spreads
G Dionne, G Gauthier, K Hammami, M Maurice, JG Simonato
Financial Management 39 (2), 707-731, 2010
522010
Pricing discretely monitored barrier options by a Markov chain
JC Duan, E Dudley, G Gauthier, JG Simonato
The Journal of Derivatives 10 (4), 9-31, 2003
522003
A reduced form model of default spreads with Markov-switching macroeconomic factors
G Dionne, G Gauthier, K Hammami, M Maurice, JG Simonato
Journal of Banking & Finance 35 (8), 1984-2000, 2011
442011
Convergence forte des estimateurs des parametres d’un processus GENAR (p)
G Gauthier, A Latour
Annales des Sciences Mathématiques du Québec 18 (1), 49-71, 1994
411994
Approximating American option prices in the GARCH framework
JC Duan, G Gauthier, C Sasseville, JG Simonato
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2003
352003
Asymptotic distribution of the EMS option price estimator
JC Duan, G Gauthier, JG Simonato
Management Science 47 (8), 1122-1132, 2001
342001
The performance of analytical approximations for the computation of asian quanto-basket option prices
JY Datey, G Gauthier, JG Simonato
Multinational Finance Journal 7 (1/2), 55-82, 2003
302003
Optimal hedging when the underlying asset follows a regime-switching Markov process
P François, G Gauthier, F Godin
European Journal of Operational Research 237 (1), 312-322, 2014
222014
Idiosyncratic jump risk matters: Evidence from equity returns and options
JF Bégin, C Dorion, G Gauthier
The Review of Financial Studies 33 (1), 155-211, 2020
192020
Heterogeneous basket options pricing using analytical approximations
G Dionne, G Gauthier, N Ouertani, N Tahani
HEC Montréal, Centre de recherche en e-finance, 2006
19*2006
Recovery rate risk and credit spreads in a hybrid credit risk model
M Boudreault, G Gauthier, T Thomassin
The Journal of Credit Risk 9 (3), 3, 2013
15*2013
Maximum likelihood estimation of structural credit spread models–deterministic and stochastic interest rates
JC Duan, G Gauthier, JG Simonato, S Zaanoun
Unpublished working paper, University of Toronto, Toronto, Canada, 2003
132003
Contagion effect on bond portfolio risk measures in a hybrid credit risk model
M Boudreault, G Gauthier, T Thomassin
Finance Research Letters 11 (2), 131-139, 2014
122014
Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates
G Gauthier, JG Simonato
European Journal of Operational Research 219 (2), 442-451, 2012
122012
Short-term hedging for an electricity retailer
D Dupuis, G Gauthier, F Godin
The Energy Journal 37 (2), 2016
102016
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