Jean-François Bégin
Associated member, GERAD
Assistant Professor, Department of Statistics and Actuarial Science, Simon Fraser University, Canada
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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.
Title: Four essays on applications of filtering methods in finance
Jean-François Bégin, PhD student at HEC Montréal, receives a honorable mention at the 51st Actuarial Research Conference for his presentation "The Pricing of Idiosyncratic Risk in Option Markets". He is supervised by Professor Geneviève Gauthier.