Assistant Professor, Department of Statistics and Actuarial Science, Simon Fraser University
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A scientific paper co-authored by Professor Geneviève Gauthier and her colleagues Professors Diego Amaya, of Wilfrid Laurier University, and Jean-François Bégin, of Simon Fraser University, won the Best Paper Award in the "Best Paper on Derivatives" category at the annual Conference of the Northern Finance Association (NFA) in Halifax last month.
The paper, entitled Extracting Latent States from High Frequency Option Prices, was chosen for its scientific quality, beating out dozens of other entries from around the world.
Cahiers du GERAD
In this study, we develop a deterministic nonlinear filtering algorithm based on a high-dimensional version of Kitagawa (1987) to evaluate the likelihood fun...BibTeX reference
We propose the option realized variance as a new observable covariate that integrates high frequency option prices in the inference of option pricing models....BibTeX reference