Geneviève Gauthier
Member, GERAD
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Professor, Department of Decision Sciences, HEC Montréal
Research Axes
Research Applications
Publications
Statistical learning models are proposed for the prediction of the probability of a spike in the electricity DART (day-ahead minus real-time price) spread. A...
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Three HEC Montréal students, members of GERAD, have been chosen to take part in the NSERC–CREATE Program on Machine Learning in Quantitative Finance and Business Analytics (Fin-ML FONCER).
- Audrey Leduc, MSc in gestion – business intelligence, supervised by Denis Larocque
- Rémi Galarneau-Vincent, PhD in administration – financial engineering, supervised by Geneviève Gauthier
- Ahmadreza Tavasoli, PhD in administration – financial engineering, supervised by Michèle Breton
Michèle Breton, HEC Montréal, from June 1st, 2019 to May 31, 2020
Debbie J. Dupuis, HEC Montréal, from June 1st to December 31, 2019
Geneviève Gauthier, HEC Montréal, from June 1st, 2019 to May 31, 2020
Georges Zaccour, HEC Montréal, from June 1st, 2019 to May 31, 2020
Prizes and awards
Best Discussion Award
CDI 2022, 11th Conference on derivativesResearch Professorship in Financial Engineering
SSC Award for Impact of Applied and Collaborative Work
Best Paper Award on Derivatives
"Extracting Latent States from High Frequency Option Prices" (D. Amaya, J.-F. Bégin, G. Gauthier)Best paper award in the Accounting and Finance section
"Credit spreads, recovery rates and bond portfolio risk measures in a hybrid credit risk model" (M. Boudreault, G. Gauthier, T. Thomassin)Supervision
