Cahiers : GERAD

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

Cahiers du GERAD

Geneviève Gauthier

Annual Reports