Cahiers : GERAD

Mar 2018

Wrong-way risk of interest-rate instruments

Ramzi Ben Abdallah, Michèle Breton, and Oussama Marzouk

G-2018-14

Mar 2018

Counterparty risk: CVA variability and value at risk

Michèle Breton and Oussama Marzouk

G-2018-13

Sep 2017

An optimal execution problem in finance with acquisition and liquidation objectives: An MFG formulation

Dena Firoozi and Peter E. Caines

G-2017-76

Jul 2017

Analytical valuation of compound options under regime switching dynamics

Michèle Breton and Mbaye Ndoye

G-2017-61

Jun 2017

A structural model for valuing exchangeable bonds

Malek Ben-Abdellatif, Hatem Ben-Ameur, and Bruno Rémillard

G-2017-48

Jun 2017

Global hedging through post-decision state variables

Michèle Breton and Frédéric Godin

G-2017-52

Jan 2017

Mean Field Game \(\epsilon\)-Nash equilibria for partially observed optimal execution problems in finance

Dena Firoozi and Peter E. Caines

G-2017-01

Dec 2016

A two-factor structural model for valuing corporate securities

Malek Ben-Abdellatif, Hatem Ben-Ameur, and Bruno Rémillard

G-2016-119

Aug 2016

Extracting latent states with high frequency option prices

Diego Amaya, Jean-François Bégin, and Geneviève Gauthier

G-2016-66

Aug 2016

"Dice"-sion making under uncertainty: When can a random decision reduce risk?

Erick Delage, Daniel Kuhn, and Wolfram Wiesemann

G-2016-64

Jul 2016

Firm-specific credit risk modelling in the presence of statistical regimes and noisy prices

Jean-François Bégin, Mathieu Boudreault, and Geneviève Gauthier

G-2016-56

Jun 2016

Dynamic programming and parallel computing for valuing two-dimensional american-style options

Hatem Ben-Ameur, Malek Ben-Abdellatif, and Bruno Rémillard

G-2016-48

Apr 2016

Time is money: An empirical investigation of delivery behavior in the U.S. T-bond futures market

Ramzi Ben Abdallah and Michèle Breton

G-2016-23

Jan 2016

History is repeating itself: Get ready for a long dry spell

Ramzi Ben Abdallah and Michèle Breton

G-2016-03

Dec 2015

Welfare implication of reforming energy consumption subsidies

Michèle Breton and Hossein Mirzapour

G-2015-129

Nov 2015

The rise and fall of the squeeze propensity in the U.S. T-bond futures market - An ex-post analysis of the CME group's solution to the 5-year-gap issue

Ramzi Ben Abdallah and Michèle Breton

G-2015-120

Oct 2015

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

G-2015-114

Oct 2015

Realized peaks over threshold: A high-frequency extreme value approach for financial time series

Marco Bee, Debbie J. Dupuis, and Luca Trapin

G-2015-104

Aug 2015

Dynamic portfolio choices by simulation-and-regression: Revisiting the issue of value function vs portfolio weight recursions

Michel Denault and Jean-Guy Simonato

G-2015-75

Jun 2015

Evaluation of counterparty risk for derivatives with early exercise features

Michèle Breton and Oussama Marzouk

G-2015-62

Apr 2015

A profit-maximizing approach for transmission expansion planning using a revenue-cap incentive mechanism

Mohammad Reza Hesamzadeh, Juan Rosellón, and Steven A. Gabriel

G-2015-30

Oct 2012

American-style options in jump-diffusion models: Estimation and evaluation

Hatem Ben-Ameur, Rim Chérif, and Bruno Rémillard

G-2012-58

Feb 2015

A simple and tractable time-series model of electricity prices

Jean-Guy Simonato and Michel Denault

G-2015-08

Dec 2014

Estimation of correlations in portfolio credit risk models based on noisy security prices

Mathieu Boudreault, Geneviève Gauthier, and Tommy Thomassin

G-2014-109

Nov 2014

The impact of product substitution and retail capacity on the timing and depth of price promotions: Theory and evidence

Mehmet Gumus, Philip Kaminsky, and Sameer Mathur

G-2014-102

Nov 2014

United we stand or divided we stand? Strategic supplier alliances under order default risk

Xiao Huang, Tamer Boyaci, Mehmet Gumus, Saibal Ray, and Dan Zhang

G-2014-101

Nov 2014

Joint procurement and demand-side bidding strategies under price volatility

Xiaofeng Nie, Tamer Boyaci, Mehmet Gumus, Saibal Ray, and Dan Zhang

G-2014-100

Feb 2013

To squeeze or not to squeeze? That is no longer the question

Ramzi Ben Abdallah and Michèle Breton

G-2013-16

Nov 2014

Credit risk in corporate spreads during the financial crisis of 2008: A regime-switching approach

Jean-François Bégin, Mathieu Boudreault, and Geneviève Gauthier

G-2014-77

Dec 2013

Short-Term Hedging for an Electricity Retailer

Debbie J. Dupuis, Geneviève Gauthier, and Frédéric Godin

G-2013-88

Jun 2014

A simulation-and-regression approach for dynamic programming, and its application to portfolio choice

Erick Delage, Michel Denault, and Jean-Guy Simonato

G-2014-42

May 2014

An efficient method to price counterparty risk

Michèle Breton and Oussama Marzouk

G-2014-29

Dec 2013

Goal Achieving Probabilities of Cone-Constrained Mean-variance Portfolios

Chantal Labbé and François Watier

G-2013-92

Dec 2013

Switch-when-Safe Multiperiod Mean-Variance Strategies

René Ferland and François Watier

G-2013-91

Nov 2013

Forecasting Time Series with Multivariate Copulas

Clarence Simard and Bruno Rémillard

G-2013-85

Sep 2013

A Dynamic Program for Valuing Corporate Securities

Mohamed Ayadi, Hatem Ben-Ameur, and Tarek Fakhfakh

G-2013-53

Apr 2013

An Efficient Numerical Method for Pricing Long-Maturity American Put Options

Ali Boudhina and Michèle Breton

G-2013-30

Apr 2013

A Column Generation Heuristic for Districting the Price of a Financial Product

Pierre de Fréminville, Guy Desaulniers, Louis-Martin Rousseau, and Sylvain Perron

G-2013-22

Jan 2013

A Stochastic Dynamic Program for Valuing Options on Futures

Mohamed Ayadi, Hatem Ben-Ameur, Tymur Kirillov, and Robert Welch

G-2013-03

Aug 2012

Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model

Mathieu Boudreault, Geneviève Gauthier, and Tommy Thomassin

G-2012-45

Aug 2012

Optimal Hedging when the Underlying Asset Follows a Regime-Switching Markov Process

Pascal François, Geneviève Gauthier, and Frédéric Godin

G-2012-44

Jun 2012

Monetary Policy and Interest Rate Caps: A Regime-Shift Approach

René Ferland, Geneviève Gauthier, and Simon Lalancette

G-2012-32

Apr 2012

Dynamic Risk Management: Investment, Capital Structure, and Hedging in the Presence of Financial Frictions

Diego Amaya, Geneviève Gauthier, and Thomas-Olivier Léautier

G-2012-18

Dec 2011

Approximation of Dynamic Programs

Michèle Breton and Javier de Frutos

G-2011-83

Dec 2011

Cooperating Firms in Inventive and Absorptive Research

Slim Ben Youssef, Michèle Breton, and Georges Zaccour

G-2011-72

May 2011

Game Theoretic Analysis of Negotiations Under Bankruptcy

Amira Annabi, Michèle Breton, and Pascal François

G-2011-25

May 2011

Trade-Off Between Robust Risk Measurement and Market Principals

Hirbod Assa

G-2011-22

Mar 2011

Resolution of Financial Distress under Chapter 11

Amira Annabi, Michèle Breton, and Pascal François

G-2011-12

Feb 2011

Canadian Investors and the Discount on Closed-End Funds

Mohamed Ayadi, Hatem Ben-Ameur, Skander Lazrak, and Yan Wang

G-2011-06

Feb 2011

Pricing Interest Rate Derivatives With Multilinear Interpolations and Transition Densities

Hatem Ben-Ameur, Walid Mnif, and Lotfi Karoui

G-2011-04

Feb 2011

Luck Versus Skill in the Cross-Section of Ethical Mutual Funds

Mohamed Ayadi, Hatem Ben-Ameur, and L. Kryzanowski

G-2011-07

Dec 2010

Pricing By Fourier Transform: An Overview

Chedly Baraket and Michèle Breton

G-2010-72

Nov 2010

The endogenous determination of retirement age and Social Security benefits

Francisco Cabo and Ana Garcia-Gonzalez

G-2010-65

Jul 2010

Credit Risk Model: On the Non-Linear Relationship Between Default Intensity and Leverage

Mathieu Boudreault and Geneviève Gauthier

G-2010-40

May 2010

Dynamic Risk Management: Investment, Capital Structure, and Hedging

Diego Amaya, Geneviève Gauthier, and Thomas-Olivier Léautier

G-2010-32

May 2010

Fully Endogenous Growth with Increasing Returns and Exhaustible Resources: Existence and Stability

Francisco Cabo, Guiomar Martín-Herrán, and María Pilar Martínez-García

G-2010-33

Mar 2010

Dynamic Copulas

Bruno Rémillard, Nicolas Papageorgiou, and Frédéric Soustra

G-2010-18

Nov 2009

Optimal Hedging in Discrete and Continuous Time

Bruno Rémillard and Sylvain Rubenthaler

G-2009-77

Sep 2009

Good Deals and Compatible Modification of Risk and Pricing Rule: A Regulatory Treatment

Hirbod Assa, Alejandro Balbás, and Raquel Balbás

G-2009-54

Sep 2009

The Gerber-Shiu Function and the Generalized Cramér-Lundberg Model

Chantal Labbé, Hristo S. Sendov, and Kristina P. Sendova

G-2009-49

Sep 2009

A Simple Discretization Scheme for Nonnegative Diffusion Processes, with Applications in Option Pricing

Chantal Labbé, Bruno Rémillard, and Jean-François Renaud

G-2009-48

Mar 2009

Lebesgue Property of Risk Measures for Bounded Càdlàg Processes and Applications

Hirbod Assa

G-2009-16

Dec 2008

Forest Conservation and CO₂ Emissions: A Viable Approach

Pablo Andrés Domenech, Patrick Saint-Pierre, and Georges Zaccour

G-2008-86

Dec 2008

Complementarity of Hydro and Wind Power: Improving the Risk Profile of Energy Inflows

Michel Denault, Debbie J. Dupuis, and Sébastien Couture-Cardinal

G-2008-85

Sep 2008

Option Pricing under GARCH Processes by PDE Methods

Michèle Breton and Javier de Frutos

G-2008-65

Aug 2008

Quasi-Monte Carlo Methods with Applications in Finance

Pierre L'Ecuyer

G-2008-55

Feb 2008

Mutual Fund Competition in the Presence of Dynamic Flows

Michèle Breton, Julien N. Hugonnier, and Tarek Masmoudi

G-2008-10

Nov 2007

A New Multi-Objective Approach for the Portfolio Selection Problem with Skewness

Walid Zghal, Charles Audet, and Gilles Savard

G-2007-86

Sep 2007

Upper and Lower Bounds for Convex Value Functions of Derivative Contracts

Hatem Ben-Ameur, Javier de Frutos, Tarek Fakhfakh, and V Diaby

G-2007-63

Aug 2007

An Analysis of the True Notional Bond System Applied to the CBOT T-Bond Futures

Ramzi Ben Abdallah, Hatem Ben-Ameur, and Michèle Breton

G-2007-60

Dec 2006

Pricing the CBOT T-Bonds Futures

Ramzi Ben Abdallah, Hatem Ben-Ameur, and Michèle Breton

G-2006-77

Apr 2006

Empirical Study of Dependence of Credit Default Data and Equity Prices

Debbie J. Dupuis, Nicolas Papageorgiou, Éric Jacquier, and Bruno Rémillard

G-2006-28

Mar 2006

A Dynamic Programming Approach for Pricing CDS and CDS Options

Hatem Ben-Ameur, Damiano Brigo, and Eymen Errais

G-2006-17

Aug 2005

Improving Lattice Schemes Through Bias Reduction

Michel Denault, Geneviève Gauthier, and Jean-Guy Simonato

G-2005-64

May 2005

Pricing ASX Installment Warrants under GARCH

Hatem Ben-Ameur, Michèle Breton, and Pascal François

G-2005-42

Mar 2005

A Dynamic Programming Approach for Pricing Options in the GARCH Model

Hatem Ben-Ameur, Michèle Breton, and Juan-Manuel Martinez

G-2005-31

Feb 2005

Credit Migration and Derivatives Pricing Using Copulas

T Berrada, Debbie J. Dupuis, Éric Jacquier, Nicolas Papageorgiou, and Bruno Rémillard

G-2005-23

Jan 2005

On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models

Jin-Chuan Duan, Geneviève Gauthier, and Jean-Guy Simonato

G-2005-06

Nov 2004

Analytical Approximations for the GJR-GARCH and EGARCH Option Pricing Models

Jin-Chuan Duan, Geneviève Gauthier, Caroline Sasseville, and Jean-Guy Simonato

G-2004-82

Nov 2004

Estimating Merton’s Model by Maximum Likelihood with Survivorship Consideration

Jin-Chuan Duan, Geneviève Gauthier, Jean-Guy Simonato, and Sophia Zaanoun

G-2004-81

Nov 2004

Numerical Pricing of Contingent Claims on Multiple Assets and/or Factors - A Low-Discrepancy Markov Chain Approach

Jin-Chuan Duan, Geneviève Gauthier, and Jean-Guy Simonato

G-2004-80

Jul 2004

Pricing Variance Options in a GARCH Setting

Geneviève Gauthier, Bruno Rémillard, and David Turcotte

G-2004-57

Apr 2004

A Dynamic Programming Approach for Pricing Options Embedded in Bonds

Hatem Ben-Ameur, Michèle Breton, Lotfi Karoui, and Pierre L'Ecuyer

G-2004-35

Cahiers du GERAD

Finance and Econometrics

Annual Reports