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
Dec 2020 The informational content of high-frequency option prices Diego Amaya, Jean-François Bégin, and Geneviève Gauthier To appear in: Management Science, 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
Apr 2019 Contingent convertible debt: The impact on equity holders Delphine Boursicot, Geneviève Gauthier, and Farhad Pourkalbassi To appear in: 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
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