Frédéric Godin
Frédéric Godin
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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
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
Equal risk pricing of derivatives with deep hedging
A Carbonneau, F Godin
Quantitative Finance 21 (4), 593-608, 2021
Minimizing CVaR in global dynamic hedging with transaction costs
F Godin
Quantitative Finance 16 (3), 461-475, 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
Short-term hedging for an electricity retailer
DJ Dupuis, G Gauthier, F Godin
The Energy Journal 37 (2), 31-60, 2016
Option pricing under regime-switching models: Novel approaches removing path-dependence
F Godin, DA Trottier
Insurance: Mathematics and Economics 87, 130-142, 2019
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
Deep equal risk pricing of financial derivatives with multiple hedging instruments
A Carbonneau, F Godin
arXiv preprint arXiv:2102.12694, 2021
Option pricing in regime-switching frameworks with the Extended Girsanov Principle
F Godin, DA Trottier
Insurance: Mathematics and Economics 99, 116-129, 2021
On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
DA Trottier, F Godin, E Hamel
Risks 6 (3), 78, 2018
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
A characterization of CAT bond performance indices
DA Trottier, F Godin
Finance Research Letters 28, 431-437, 2019
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
Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
A Carbonneau, F Godin
Risks 11 (8), 140, 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
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
The discrete-time arbitrage-free Nelson-Siegel model: a closed-form solution and applications to mixed funds representation
R Eghbalzadeh, F Godin, P Gaillardetz
Annals of Actuarial Science, 1-32, 2022
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
Bias-corrected peaks-over-threshold estimation of the cvar
D Troop, F Godin, JY Yu
Uncertainty in Artificial Intelligence, 1809-1818, 2021
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