Geneviève Gauthier

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Publications

Articles

Jul 2022

Venturing into uncharted territory: An extensible implied volatility surface model

Pascal François, Rémi Galarneau-Vincent, Geneviève Gauthier, and Frédéric Godin

The Journal of Futures Markets, 1–29, 2022 BibTeX reference

Mar 2022

The informational content of high-frequency option prices

Diego Amaya, Jean-François Bégin, and Geneviève Gauthier

Management Science, 68(3), 2166–2201, 2022 BibTeX reference

Dec 2020

On the estimation of jump-diffusion models using high-frequency data: A filtering-based approach

Diego Amaya, Jean-François Bégin, Marie-Ève Malette Campeau, and Geneviève Gauthier

SIAM Journal on Financial Mathematics, 11(4), 1168–1208, 2020 BibTeX reference

Mar 2020

Price bias and common practice in option pricing

Jean-François Bégin and Geneviève Gauthier

Canadian Journal of Statistics - La revue canadienne de statistique, 48(1), 8–35, 2020 BibTeX reference

Jan 2020

Idiosyncratic jump risk matters: Evidence from equity returns and options

Jean-François Bégin, Christian Dorion, and Geneviève Gauthier

Review of Financial Studies, 33(1), 155–211, 2020 BibTeX reference

Sep 2019

Recovery rates: Uncertainty certainly matters

Paolo Gambetti, Geneviève Gauthier, and Frédéric Vrins

Journal of Banking & Finance, 106, 371–383, 2019 BibTeX reference

Jun 2019

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

Journal of Risk and Insurance, 86(2), 263–296, 2019 BibTeX reference

Jun 2019

Contingent convertible debt: The impact on equity holders

Delphine Boursicot, Geneviève Gauthier, and Farhad Pourkalbassi

Risks, Special Issue "Advances in Credit Risk Modeling and Management", 7(2), 2019 BibTeX reference

Nov 2017

Firm-specific credit risk estimation in the presence of regimes and noisy prices

Jean-François Bégin, Mathieu Boudreault, and Geneviève Gauthier

Finance Research Letters, 23, 306–313, 2017 BibTeX reference

Apr 2016

Short-term hedging for an electricity retailer

Debbie J. Dupuis, Geneviève Gauthier, and Frédéric Godin

Energy Journal, 37(2), 31–59, 2016 BibTeX reference

Jan 2016

The sensitivity of interest rate options to monetary policy decisions: A regime-shift pricing approach

René Ferland, Geneviève Gauthier, and Simon Lalancette

Journal of Futures Markets, 36(1), 66–87, 2016 BibTeX reference

Dec 2015

Estimation of correlations in portfolio credit risk models based on noisy security prices

Mathieu Boudreault, Geneviève Gauthier, and Tommy Thomassin

Journal of Economic Dynamics and Control, 61, 334–349, 2015 BibTeX reference

Jun 2015

Dynamic risk management: Investment, capital structure, and hedging in the presence of financial frictions

Diego Amaya, Geneviève Gauthier, and Thomas-Olivier Léautier

Journal of Risk and Insurance, 82(2), 359–399, 2015 BibTeX reference

May 2015

Comment prédire les prix sans faire appel à votre cartomancienne?

Geneviève Gauthier

Gestion, 40(1), 110–111, 2015 BibTeX reference

Aug 2014

Optimal hedging when the underlying asset follows a regime-switching Markov process

Pascal François, Geneviève Gauthier, and Frédéric Godin

European Journal of Operational Research, 237(1), 312–322, 2014 BibTeX reference

Jun 2014

Contagion effect on bond portfolio risk measures in a hybrid credit risk model

Mathieu Boudreault and Geneviève Gauthier

Finance Research Letters, 11(2), 131–139, 2014 BibTeX reference

Sep 2013

Recovery rate risk and credit spreads in a hybrid credit risk model

Mathieu Boudreault, Geneviève Gauthier, and Tommy Thomassin

Journal of Credit Risk, 9(3), 3–39, 2013 BibTeX reference

Jan 2013

Risk management of non-standard basket options with different underlying assets

Georges Dionne, Nadia Ouertani, and Geneviève Gauthier

Journal of Futures Markets, 33(4), 299–326, 2013 BibTeX reference

Jan 2012

La modélisation des risques, peut-on dompter le hasard?

Geneviève Gauthier

Insurance and Risk Management, 80, 35–52, 2012 BibTeX reference

Jan 2012

Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates

Geneviève Gauthier and Jean-Guy Simonato

European Journal of Operational Research, 219, 442–451, 2012 BibTeX reference

Mar 2011

Heterogeneous Basket Options Pricing Using Analytical Approximations

Georges Dionne, Geneviève Gauthier, Nadia Ouertani, and Nabil Tahani

Multinational Finance Journal, 15(1-2), 47–85, 2011 BibTeX reference

Jan 2011

A reduced form model of default spreads with markov switching macroeconomic factors

Georges Dionne, Geneviève Gauthier, M. Maurice, Khemais Hammami, and Jean-Guy Simonato

Journal of Banking and Finance, 35, 1984–2000, 2011 BibTeX reference

Jan 2010

Default risk in corporate bond spreads

Georges Dionne, Geneviève Gauthier, Maurice Mathieu, Khemais Hammami, and Jean-Guy Simonato

Financial Management, 707–731, 2010 BibTeX reference

Jan 2010

Swap rate movements via the target rate: A no-arbitrage regime switch approach

René Ferland, Geneviève Gauthier, and Simon Lalancette

Finance Research Letters, 7, 103–109, 2010 BibTeX reference

Feb 2009

Estimation of intensity models for default risk

Michel Denault, Geneviève Gauthier, and Jean-Guy Simonato

Journal of Futures Markets, 29(2), 95–113, 2009 BibTeX reference

Aug 2006

Improving lattice schemes through bias reduction

Michel Denault, Geneviève Gauthier, and Jean-Guy Simonato

Journal of Futures Markets, 26(8), 733–757, 2006 BibTeX reference

Jan 2006

Approximating the GJR-GARCH and EGARCH option pricing models analytically

Jin-Chuan Duan, Geneviève Gauthier, Jean-Guy Simonato, and Caroline Sasseville

Journal of Computational Finance, 9(3), 41–70, 2006 BibTeX reference

Jan 2003

Approximating american option prices in the garch framework

Jin-Chuan Duan, Geneviève Gauthier, Caroline Sasseville, and Jean-Guy Simonato

Journal of Futures Markets, 23(10), 915–929, 2003 BibTeX reference

Jan 2003

Parameter estimation in a multilevel hierarchy of SDEs

Geneviève Gauthier, D. Kako, and Jean Vaillancourt

Comptes rendus mathématiques de l'académie des sciences /Mathematical Report of the Academy of Science, 25(3), 94–96, 2003 BibTeX reference

Jan 2003

Pricing discretely monitored barrier options by a Markov chain

Jin-Chuan Duan, E. Dudley, Geneviève Gauthier, and Jean-Guy Simonato

Journal of Derivatives, 10(4), 9–32, 2003 BibTeX reference

Jan 2003

The performance of analytical approximations for the computation of asian quanto-basket option prices

J.-Y. Datey, Geneviève Gauthier, and Jean-Guy Simonato

Multinational Finance Journal, 7, 55–82, 2003 BibTeX reference

Jan 2001

Asymptotic Distribution of the EMS Option Price Estimator

Jin-Chuan Duan, Geneviève Gauthier, and Jean-Guy Simonato

Management Science, 47(8), 1122–1132, 2001 BibTeX reference

Jan 2000

An Analytical Approximation for the GARCH Option Pricing Model

Jin-Chuan Duan, Geneviève Gauthier, and Jean-Guy Simonato

Journal of Computational Finance, 2, 75–116, 2000 BibTeX reference

Apr 1997

Multilevel Bilinear System of Stochastic Differential Equations

Geneviève Gauthier

Stochastic Processes and their Applications, 67(1), 117–138, 1997 BibTeX reference

Jan 1995

Branching Processes with Immigration and Integer-Valued Times Series

Jean-Pierre Dion, Geneviève Gauthier, and Alain Latour

Serdica Mathematical Journal, 21(2), 123–136, 1995 BibTeX reference

Jan 1994

Convergence forte des estimateurs des paramètres d'un processus GENAR(p)

Geneviève Gauthier and Alain Latour

Annales des sciences mathématiques du Québec, 18, 49–71, 1994 BibTeX reference

Book chapters

Sep 2018

Stochastic recovery rate: Impact of pricing measure’s choice and financial consequences on single-name products

Paolo Gambetti, Geneviève Gauthier, and Frédéric Vrins

M. Mili, et al. (eds), New Methods in Fixed Income Modeling, Springer, 181–203, 2018 BibTeX reference

Jan 2003

A Markov chain method for pricing contingent claims

Jin-Chuan Duan, Geneviève Gauthier, and Jean-Guy Simonato

Eds Yao, DD, Zhang, H, Zhou, XY, Stochastic Modeling and Optimization, Springer, 333–362, 2003 BibTeX reference