Group for Research in Decision Analysis
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Member, GERAD

Professor, Department of Decision Sciences, HEC Montréal, Canada

Cahiers du GERAD

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Idiosyncratic jump risk matters: Evidence from equity returns and options
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To appear in: Review of Financial Studies, 2018 BibTeX reference
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A scientific paper co-authored by Professor Geneviève Gauthier and her colleagues Professors Diego Amaya, of Wilfrid Laurier University, and Jean-François Bégin, of Simon Fraser University, won the Best Paper Award in the "Best Paper on Derivatives" category at the annual Conference of the Northern Finance Association (NFA) in Halifax last month.

The paper, entitled Extracting Latent States from High Frequency Option Prices, was chosen for its scientific quality, beating out dozens of other entries from around the world.

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