Clarence Simard

UQAM

Professor

Montreal, Québec H3C 3P8

Canada

http://www.uqam.ca

SCHOLARLY PAPERS

5

DOWNLOADS

710

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

Forecasting Time Series with Multivariate Copulas

Number of pages: 30 Posted: 19 Jul 2013 Last Revised: 15 May 2015
Clarence Simard and Bruno Remillard
UQAM and Department of Decision Sciences, HEC Montreal
Downloads 339 (90,253)

Abstract:

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copulas, time series, forecasting, realized volatility

2.

Option Pricing in a Discrete Time Model for the Limit Order Book

Number of pages: 48 Posted: 06 Aug 2014
Clarence Simard and Bruno Remillard
UQAM and Department of Decision Sciences, HEC Montreal
Downloads 109 (255,601)
Citation 1

Abstract:

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limit order book; discrete time; option pricing; non arbitrage

3.

Assessing the Effectiveness of Local and Global Quadratic Hedging Under GARCH Models

Number of pages: 34 Posted: 16 Jun 2016 Last Revised: 26 Oct 2019
Maciej Augustyniak, Frédéric Godin and Clarence Simard
University of Montreal - Department of Mathematics and Statistics, Concordia University, Quebec - Department of Mathematics & Statistics and UQAM
Downloads 101 (269,412)
Citation 2

Abstract:

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risk-minimization, quadratic hedging, variance-optimal hedging, mean-variance hedging, GARCH, model risk, LEAPS, dynamic programming

4.

General Model for Limit Order Books and Market Orders

Number of pages: 21 Posted: 11 May 2014 Last Revised: 05 Aug 2014
Clarence Simard
UQAM
Downloads 94 (282,384)
Citation 1

Abstract:

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Illiquid markets, limit order book, first fundamental theorem, calibration, semimartingales with space parameters

5.

A Profitable Modification to Global Quadratic Hedging

Journal of Economic Dynamics and Control, Vol. 104, 2019
Number of pages: 43 Posted: 22 Jun 2018 Last Revised: 26 Oct 2019
Maciej Augustyniak, Frédéric Godin and Clarence Simard
University of Montreal - Department of Mathematics and Statistics, Concordia University, Quebec - Department of Mathematics & Statistics and UQAM
Downloads 67 (344,935)
Citation 1

Abstract:

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Risk Management, Variance-Optimal Hedging, Mean-Variance Hedging, Global Risk-Minimization, LEAPS