Group for Research in Decision Analysis

Publications

Geneviève Gauthier

Articles

Idiosyncratic jump risk matters: Evidence from equity returns and options
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To appear in: Review of Financial Studies, 2018 BibTeX reference
Recovery rate risk and credit spreads in a hybrid credit risk model
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Journal of Credit Risk, 9(3), 3–39, 2013 BibTeX reference
Risk management of non-standard basket options with different underlying assets
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Journal of Futures Markets, 33(4), 299–326, 2013 BibTeX reference
La modélisation des risques, peut-on dompter le hasard?
Insurance and Risk Management, 80, 35–52, 2012 BibTeX reference
Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
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European Journal of Operational Research, 219, 442–451, 2012 BibTeX reference
Heterogeneous Basket Options Pricing Using Analytical Approximations
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Multinational Finance Journal, 15(1-2), 47–85, 2011 BibTeX reference
A reduced form model of default spreads with markov switching macroeconomic factors
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Journal of Banking and Finance, 35, 1984–2000, 2011 BibTeX reference
Default risk in corporate bond spreads
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Financial Management, 707–731, 2010 BibTeX reference
Swap rate movements via the target rate: A no-arbitrage regime switch approach
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Finance Research Letters, 7, 103–109, 2010 BibTeX reference
Approximating the GJR-GARCH and EGARCH option pricing models analytically
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Journal of Computational Finance, 9(3), 41–70, 2006 BibTeX reference
Approximating american option prices in the garch framework
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Journal of Futures Markets, 23(10), 915–929, 2003 BibTeX reference
Parameter estimation in a multilevel hierarchy of SDEs
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Comptes rendus mathématiques de l'académie des sciences /Mathematical Report of the Academy of Science, 25(3), 94–96, 2003 BibTeX reference
Pricing discretely monitored barrier options by a Markov chain
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Journal of Derivatives, 10(4), 9–32, 2003 BibTeX reference
The performance of analytical approximations for the computation of asian quanto-basket option prices
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Multinational Finance Journal, 7, 55–82, 2003 BibTeX reference
Asymptotic Distribution of the EMS Option Price Estimator
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Management Science, 47(8), 1122–1132, 2001 BibTeX reference
An Analytical Approximation for the GARCH Option Pricing Model
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Journal of Computational Finance, 2, 75–116, 2000 BibTeX reference
Branching Processes with Immigration and Integer-Valued Times Series
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Serdica Mathematical Journal, 21(2), 123–136, 1995 BibTeX reference
Convergence forte des estimateurs des paramètres d'un processus GENAR(p)
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Annales des sciences mathématiques du Québec, 18, 49–71, 1994 BibTeX reference

Book chapters

A Markov chain method for pricing contingent claims
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Eds Yao, DD, Zhang, H, Zhou, XY, Stochastic Modeling and Optimization, Springer, 333–362, 2003 BibTeX reference