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
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
D Dupuis, G Gauthier, F Godin
The Energy Journal 37 (2), 2016
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
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
Option pricing under regime-switching models: Novel approaches removing path-dependence
F Godin, DA Trottier
Insurance: Mathematics and Economics 87, 130-142, 2019
A characterization of CAT bond performance indices
DA Trottier, F Godin
Finance Research Letters 28, 431-437, 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
A profitable modification to global quadratic hedging
M Augustyniak, F Godin, C Simard
Journal of Economic Dynamics and Control 104, 111-131, 2019
Local hedging of variable annuities in the presence of basis risk
DA Trottier, F Godin, E Hamel
Available at SSRN 2997118, 2017
Les produits dérivés des marchés européens du carbone
F Godin
Equal risk option pricing with deep reinforcement learning
A Carbonneau, F Godin
arXiv preprint arXiv:2002.08492, 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
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
Option pricing in regime-switching frameworks with the Extended Girsanov Principle
F Godin, DA Trottier
Available at SSRN 3440158, 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
A Closed-Form Solution for the Global Quadratic Hedging of Options under Geometric Gaussian Random Walks
F Godin
The Journal of Derivatives 26 (3), 97-107, 2019
On Fund Mapping Regressions Applied to Segregated Funds Hedging Schemes under Regime-Switching Dynamics
DA Trottier, F Godin, E Hamel
Available at SSRN 3155209, 2018
Markov Decision Problems in Finance and High Dimensionality
F Godin
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