Geneviève Gauthier
Geneviève Gauthier
Professeur, HEC Montréal
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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
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
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
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
Estimating Merton's model by maximum likelihood with survivorship consideration
JC Duan, JG Simonato, G Gauthier, S Zaanoun
Available at SSRN 557088, 2004
Branching processes with immigration and integer-valued time series
J Dion, G Gauthier, A Latour
Serdica Mathematical Journal 21 (2), 123p-136p, 1995
Default risk in corporate yield spreads
G Dionne, G Gauthier, K Hammami, M Maurice, JG Simonato
Financial Management 39 (2), 707-731, 2010
Pricing discretely monitored barrier options by a Markov chain
J Duan, E Dudley, G Gauthier, J Simonato
Journal of Derivatives 10, 2003
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
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
Recovery rates: Uncertainty certainly matters
P Gambetti, G Gauthier, F Vrins
Journal of Banking & Finance 106, 371-383, 2019
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
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
Asymptotic distribution of the EMS option price estimator
JC Duan, G Gauthier, JG Simonato
Management Science 47 (8), 1122-1132, 2001
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
Dynamic risk management: investment, capital structure, and hedging in the presence of financial frictions
D Amaya, G Gauthier, TO Léautier
Journal of Risk and Insurance 82 (2), 359-399, 2015
Short-term hedging for an electricity retailer
DJ Dupuis, G Gauthier, F Godin
The Energy Journal 37 (2), 31-60, 2016
Credit and systemic risks in the financial services sector: Evidence from the 2008 global crisis
JF Bégin, M Boudreault, DA Doljanu, G Gauthier
Journal of Risk and Insurance 86 (2), 263-296, 2019
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
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
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