Group for Research in Decision Analysis
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Associated member, GERAD

Assistant Professor, Department of Statistics and Actuarial Science, Simon Fraser University, Canada

Other titles and affiliations

Sep 2012 – Dec 2016
HEC Montréal, Canada

Education

Sep 2012 – Nov 2016
Ph.D., Administration Four essays on applications of filtering methods in finance
HEC Montréal – Department of Decision Sciences, Geneviève Gauthier, director

Cahiers du GERAD

See all 6 Cahiers…

Publications

On the estimation of jump-diffusion models using high-frequency data: A filtering-based approach
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To appear in: SIAM Journal on Financial Mathematics, 2020 BibTeX reference
See all 5 publications…

News

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.

See all 6 news postings…