Frédéric Godin
Frédéric Godin
Adresse e-mail validée de concordia.ca
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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
242014
Minimizing CVaR in global dynamic hedging with transaction costs
F Godin
Quantitative Finance 16 (3), 461-475, 2016
172016
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
162012
Short-term hedging for an electricity retailer
D Dupuis, G Gauthier, F Godin
The Energy Journal 37 (2), 2016
122016
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
102018
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
102017
Option pricing under regime-switching models: Novel approaches removing path-dependence
F Godin, DA Trottier
Insurance: Mathematics and Economics 87, 130-142, 2019
62019
A characterization of CAT bond performance indices
DA Trottier, F Godin
Finance Research Letters 28, 431-437, 2019
42019
On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
DA Trottier, F Godin, E Hamel
Risks 6 (3), 78, 2018
42018
A profitable modification to global quadratic hedging
M Augustyniak, F Godin, C Simard
Journal of Economic Dynamics and Control 104, 111-131, 2019
22019
Equal risk pricing of derivatives with deep hedging
A Carbonneau, F Godin
Quantitative Finance, 1-16, 2020
12020
Local hedging of variable annuities in the presence of basis risk
DA Trottier, F Godin, E Hamel
Available at SSRN 2997118, 2017
12017
Les produits dérivés des marchés européens du carbone
F Godin
12010
Modeling and measuring incurred claims risk liabilities for a multi-line property and casualty insurer
CAA Iturria, F Godin, M Mailhot
arXiv preprint arXiv:2007.07068, 2020
2020
Modeling and measuring incurred claims risk liabilities for a multi-line property and casualty insurer
C Andrés Araiza Iturria, F Godin, M Mailhot
arXiv e-prints, arXiv: 2007.07068, 2020
2020
Equal risk option pricing with deep reinforcement learning
A Carbonneau, F Godin
arXiv preprint arXiv:2002.08492, 2020
2020
Risk-Averse Action Selection Using Extreme Value Theory Estimates of the CVaR
D Troop, F Godin, JY Yu
arXiv preprint arXiv:1912.01718, 2019
2019
A Mixed Bond and Equity Fund Model for the Valuation of Segregated Fund Policies
M Augustyniak, F Godin, E Hamel
Available at SSRN 3479445, 2019
2019
Option pricing in regime-switching frameworks with the Extended Girsanov Principle
F Godin, DA Trottier
Available at SSRN 3440158, 2019
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
2019
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