Jan 2019 Performance of the mathematical programming approach in credit scoring Yassine Mektoubi, Badreddine Benyacoub, Mohamed Ouzineb, and Issmail El Hallaoui G-2019-06
Oct 2018 Generalization bounds for regularized portfolio selection with market side information Thierry Bazier-Matte and Erick Delage G-2018-77
Nov 2018 Could chapter 11 redeem itself? Wealth and welfare effects of the redemption option Amira Annabi, Michèle Breton, and Pascal François G-2018-97
Nov 2018 A hybrid optimal control approach to mean field games with applications in optimal execution problems Dena Firoozi, Ali Pakniyat, and Peter E. Caines G-2018-95
Sep 2018 Valuing corporate securities when the firm's assets are illiquid Hatem Ben-Ameur, Tarek Fakhfakh, and Alexandre Roch G-2018-68
Jul 2018 Price bias and common practice in option pricing Jean-François Bégin and Geneviève Gauthier G-2018-56
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
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 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
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
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
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
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