| Equal risk pricing of derivatives with deep hedging A Carbonneau, F Godin Quantitative Finance 21 (4), 593-608, 2021 | 37 | 2021 |
| 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 | 37 | 2014 |
| Local hedging of variable annuities in the presence of basis risk DA Trottier, F Godin, E Hamel ASTIN Bulletin: The Journal of the IAA 48 (2), 611-646, 2018 | 32 | 2018 |
| Minimizing CVaR in global dynamic hedging with transaction costs F Godin Quantitative Finance 16 (3), 461-475, 2016 | 31 | 2016 |
| Short-term hedging for an electricity retailer D Dupuis, G Gauthier, F Godin The Energy Journal 37 (2), 2016 | 26 | 2016 |
| Contingent claim pricing using a normal inverse Gaussian probability distortion operator F Godin, S Mayoral, M Morales Journal of Risk and Insurance 79 (3), 841-866, 2012 | 26 | 2012 |
| Assessing the effectiveness of local and global quadratic hedging under GARCH models M Augustyniak, F Godin, C Simard Quantitative Finance 17 (9), 1305-1318, 2017 | 24 | 2017 |
| Option pricing under regime-switching models: Novel approaches removing path-dependence F Godin, DA Trottier Insurance: Mathematics and Economics 87, 130-142, 2019 | 22 | 2019 |
| Deep equal risk pricing of financial derivatives with multiple hedging instruments A Carbonneau, F Godin arXiv preprint arXiv:2102.12694, 2021 | 10 | 2021 |
| Deep equal risk pricing of financial derivatives with non-translation invariant risk measures A Carbonneau, F Godin Risks 11 (8), 140, 2023 | 8 | 2023 |
| Risk allocation through shapley decompositions, with applications to variable annuities F Godin, E Hamel, P Gaillardetz, EHM Ng ASTIN Bulletin: The Journal of the IAA 53 (2), 311-331, 2023 | 8 | 2023 |
| Bias-corrected peaks-over-threshold estimation of the cvar D Troop, F Godin, JY Yu Uncertainty in Artificial Intelligence, 1809-1818, 2021 | 8 | 2021 |
| Option pricing in regime-switching frameworks with the Extended Girsanov Principle F Godin, DA Trottier Insurance: Mathematics and Economics 99, 116-129, 2021 | 8 | 2021 |
| A mixed bond and equity fund model for the valuation of variable annuities M Augustyniak, F Godin, E Hamel ASTIN Bulletin: The Journal of the IAA 51 (1), 131-159, 2021 | 7 | 2021 |
| A general class of distortion operators for pricing contingent claims with applications to CAT bonds F Godin, VS Lai, DA Trottier Scandinavian Actuarial Journal 2019 (7), 558-584, 2019 | 7 | 2019 |
| A characterization of CAT bond performance indices DA Trottier, F Godin Finance Research Letters 28, 431-437, 2019 | 7 | 2019 |
| On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics DA Trottier, F Godin, E Hamel Risks 6 (3), 78, 2018 | 7 | 2018 |
| Joint dynamics for the underlying asset and its implied volatility surface: a new methodology for option risk management P Francois, R Galarneau-Vincent, G Gauthier, F Godin Available at SSRN 4319972, 2023 | 5 | 2023 |
| Tweedie double GLM loss triangles with dependence within and across business lines CA Araiza Iturria, F Godin, M Mailhot European Actuarial Journal 11 (2), 619-653, 2021 | 5 | 2021 |
| A closed-form solution for the global quadratic hedging of options under geometric Gaussian random walks F Godin Journal of Derivatives 26 (3), 97-107, 2019 | 5 | 2019 |
Geneviève GauthierProfesseur, HEC MontréalVerified email at hec.ca
