Geneviève Gauthier

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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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A new factor-based representation of implied volatility surfaces is proposed. The factors adequately capture the moneyness and maturity slopes, the smile att...

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In recent years, we have witnessed a mini-revolution around early-stage financing. In some places, like the UK, more money is raised on Equity Crowdfunding...

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Generally, the semiclosed-form option pricing formula for complex financial models depends on unobservable factors such as stochastic volatility and jump int...

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We propose the option realized variance as a new observable covariate that integrates high frequency option prices in the inference of option pricing models....

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Security prices are important inputs for estimating credit risk models. Yet, to obtain an accurate firm-specific credit risk assessment, one needs a reliable...

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The Great Recession has shaken the foundations of the financial industry and led to tighter solvency monitoring of both the banking and insurance industries....

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Portfolio credit risk models are very often constructed with correlation matrices serving as proxies for interrelations in the creditworthiness of each compa...

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Credit spreads and CDS premiums are investigated before, during and after the financial crisis with a flexible credit risk model. The latter is designed to c...

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A dynamic global hedging procedure making use of futures contracts is developed for a retailer of the electricity market facing price, load and basis risk. S...

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This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capita...

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We develop a flexible discrete-time hedging methodology that miminizes the expected value of any desired penalty function of the hedging error within a gener...

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In this paper, we derive and empirically test a regime-shifting dynamic term structure model for pricing interest rate caps. The central state variables are...

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This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. This strategy has two elements: first, for low ...

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This paper presents a framework where many existing structural credit risk models can be made hybrid by using a transformation of leverage to define the defa...

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This paper develops a dynamic model to determine a firm's optimal risk management strategy when it faces uncertainty about its future profitability and inves...

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We propose a simple modification of lattice schemes reducing the bias of lattice option prices with respect to continuous time and state option prices. The m...

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Moody's KMV method is a popular commercial implementation of the structural credit risk model pioneered by Merton (1974). It is an algorithm for estimating...

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In Duan, Gauthier and Simonato (1999), analytical formulas to approximate the price European options in the GARCH framework were developed. These formulas a...

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One critical difficulty in implementing Merton’s (1974) credit risk model is that the underlying asset value cannot be directly observed. The model requires...

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