Jul 2018 Price bias and common practice in option pricing Jean-François Bégin and Geneviève Gauthier G-2018-56
Aug 2016 Extracting latent states with high frequency option prices Diego Amaya, Jean-François Bégin, and Geneviève Gauthier G-2016-66
Jul 2016 Firm-specific credit risk modelling in the presence of statistical regimes and noisy prices Jean-François Bégin, Mathieu Boudreault, and Geneviève Gauthier G-2016-56
Oct 2015 Credit and systemic risks in the financial services sector: Evidence from the 2008 global crisis Jean-François Bégin, Mathieu Boudreault, Delia-Alexandra Doljanu, and Geneviève Gauthier G-2015-114
Dec 2014 Estimation of correlations in portfolio credit risk models based on noisy security prices Mathieu Boudreault, Geneviève Gauthier, and Tommy Thomassin G-2014-109
Nov 2014 Credit risk in corporate spreads during the financial crisis of 2008: A regime-switching approach Jean-François Bégin, Mathieu Boudreault, and Geneviève Gauthier G-2014-77
Dec 2013 Short-Term Hedging for an Electricity Retailer Debbie J. Dupuis, Geneviève Gauthier, and Frédéric Godin G-2013-88
Aug 2012 Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model Mathieu Boudreault, Geneviève Gauthier, and Tommy Thomassin G-2012-45
Aug 2012 Optimal Hedging when the Underlying Asset Follows a Regime-Switching Markov Process Pascal François, Geneviève Gauthier, and Frédéric Godin G-2012-44
Jun 2012 Monetary Policy and Interest Rate Caps: A Regime-Shift Approach René Ferland, Geneviève Gauthier, and Simon Lalancette G-2012-32
Apr 2012 Dynamic Risk Management: Investment, Capital Structure, and Hedging in the Presence of Financial Frictions Diego Amaya, Geneviève Gauthier, and Thomas-Olivier Léautier G-2012-18
Jul 2010 Credit Risk Model: On the Non-Linear Relationship Between Default Intensity and Leverage Mathieu Boudreault and Geneviève Gauthier G-2010-40
May 2010 Dynamic Risk Management: Investment, Capital Structure, and Hedging Diego Amaya, Geneviève Gauthier, and Thomas-Olivier Léautier G-2010-32
Aug 2005 Improving Lattice Schemes Through Bias Reduction Michel Denault, Geneviève Gauthier, and Jean-Guy Simonato G-2005-64
Jan 2005 On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models Jin-Chuan Duan, Geneviève Gauthier, and Jean-Guy Simonato G-2005-06
Nov 2004 Analytical Approximations for the GJR-GARCH and EGARCH Option Pricing Models Jin-Chuan Duan, Geneviève Gauthier, Caroline Sasseville, and Jean-Guy Simonato G-2004-82
Nov 2004 Estimating Merton’s Model by Maximum Likelihood with Survivorship Consideration Jin-Chuan Duan, Geneviève Gauthier, Jean-Guy Simonato, and Sophia Zaanoun G-2004-81
Nov 2004 Numerical Pricing of Contingent Claims on Multiple Assets and/or Factors - A Low-Discrepancy Markov Chain Approach Jin-Chuan Duan, Geneviève Gauthier, and Jean-Guy Simonato G-2004-80
Jul 2004 Pricing Variance Options in a GARCH Setting Geneviève Gauthier, Bruno Rémillard, and David Turcotte G-2004-57