Jean-François Bégin : Publications : GERAD

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

Jan 2022

Do jumps matter in the long term? A tale of two horizons

Jean-François Bégin and Mathieu Boudreault

North American Actuarial Journal , 26(1), 82–101, 2022 BibTeX reference

Sep 2021

Practical Application of “Do Jumps Matter in the Long Term? A Tale of Two Horizons”

Jean-François Bégin, Mathieu Boudreault, David R. Cantor, and Kailan Shang

North American Actuarial Journal Practical Application, 1–7, 2021 BibTeX reference

Aug 2021

A discrete-time hedging framework with multiple factors and fat tails: On what matters

Maciej Augustyniak, Alexandru Badescu, and Jean-François Bégin

To appear in: Journal of Econometrics, 2021 BibTeX reference

Apr 2021

Likelihood evaluation of jump-diffusion models using deterministic nonlinear filters

Jean-François Bégin and Mathieu Boudreault

Journal of Computational and Graphical Statistics, 30(2), 452–466, 2021 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

Oct 2020

Redistribution in collective pension arrangements without a sponsor guarantee: Hidden versus explicit risk transactions

Lu Yi, Barbara Sanders, and Jean-François Bégin

To appear in: Journal of Pension Economics & Finance, 2020 BibTeX reference

Sep 2020

Levelling the playing field: A VIX-linked structure for funded pension schemes

Jean-François Bégin

Insurance: Mathematics and Economics, 94, 58–78, 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

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

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

Articles