Jean-Guy Simonato

HEC Montréal

3000, chemin de la Cote-Sainte-Catherine

Service de l'enseignement de la finance

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

19

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3,109

SSRN CITATIONS
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Top 27,821

in Total Papers Citations

17

CROSSREF CITATIONS

15

Scholarly Papers (19)

1.

Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration

Number of pages: 25 Posted: 23 Jun 2004
National University of Singapore (NUS) - Business School and Risk Management Institute, HEC Montréal, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and HEC Montreal
Downloads 791 (46,603)
Citation 24

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2.

Default Risk in Corporate Yield Spreads

Canada Research Chair in Risk Management Working Paper No. 05-08
Number of pages: 36 Posted: 08 Nov 2010
HEC Montreal - Department of Finance, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 549 (74,861)
Citation 3

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Corporate yield spread, default risk, estimation period, generator, recovery rate, data filtration, confidence intervals

3.

Linearized Nelson-Siegel and Svensson Models for the Estimation of Spot Interest Rates

Number of pages: 43 Posted: 10 Jul 2008 Last Revised: 24 Nov 2010
Geneviève Gauthier and Jean-Guy Simonato
Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and HEC Montréal
Downloads 524 (79,244)
Citation 1

Abstract:

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Nelson-Siegel, Svensson, Term structure of interest rates, Local optima, Prior information

4.

Default Risk, Default Risk Premiums, and Corporate Yield Spreads

EFA 2006 Zurich Meetings
Number of pages: 39 Posted: 01 Mar 2006
HEC Montreal - Department of Finance, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 408 (106,676)
Citation 1

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Corporate yield spread, default risk, default risk premium, credit spread level puzzle, macroeconomic risk premium

5.

Johnson Binomial Trees

Number of pages: 32 Posted: 19 Feb 2009
Jean-Guy Simonato
HEC Montréal
Downloads 215 (207,336)

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Binomial tree, skewness, kurtosis, Johnson distribution, American option, Jump diffusion, GARCH

6.

A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors

Number of pages: 53 Posted: 09 Nov 2010
HEC Montreal - Department of Finance, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 121 (333,284)
Citation 2

Abstract:

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Credit Spread, Default Spread, Markov Switching, Macroeconomic Factors, Reduced Form Model of Default, Random Subjective Discount Factor, Credit Default Swap, CDS

7.

GARCH Processes with Skewed and Leptokurtic Innovations: Revisiting the Johnson SU Case

Number of pages: 11 Posted: 18 May 2012
Jean-Guy Simonato
HEC Montréal
Downloads 101 (377,389)
Citation 1

Abstract:

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GARCH, Johnson distributions, skewness, kurtosis

8.

Forecasting Expected Shortfall: Should We Use a Multivariate Model for Stock Market Factors?

Number of pages: 44 Posted: 18 Jul 2018 Last Revised: 07 Dec 2021
Alain-Philippe Fortin, Jean-Guy Simonato and Georges Dionne
HEC Montreal, HEC Montréal and HEC Montreal - Department of Finance
Downloads 100 (379,840)
Citation 1

Abstract:

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Fama-French and momentum factors, Value-at-Risk, Expected Shortfall, Condi- tional Value-at-Risk, Elicitability, Model comparison, Backtesting, Comparative predictive ac- curacy, Model confidence set

9.

American Option Pricing Under GARCH With Non-Normal Innovations

Number of pages: 29 Posted: 06 May 2018
Jean-Guy Simonato
HEC Montréal
Downloads 70 (469,026)
Citation 1

Abstract:

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American Options, GARCH, Non-Normal Distribution, Quadrature

Approximating the Multivariate Distribution of Time-Aggregated Stock Returns Under GARCH

Number of pages: 27 Posted: 28 May 2012 Last Revised: 11 May 2013
Jean-Guy Simonato
HEC Montréal
Downloads 61 (514,766)

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GARCH, multivariate distribution, time-aggregated return, value at risk, Johnson distributions

Approximating the Multivariate Distribution of Time-Aggregated Stock Returns Under GARCH

Journal of Risk, Vol. 16, No. 2, 2013
Number of pages: 26 Posted: 07 Jun 2016
Jean-Guy Simonato
HEC Montréal
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time aggregated stock returns, multivariate distribution, GARCH

11.

Dynamic Asset Allocation With Event Risk, Transaction Costs and Predictable Returns

Number of pages: 36 Posted: 04 May 2018
Jean-Guy Simonato
HEC Montréal
Downloads 47 (564,766)

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dynamic asset allocation, event risk, jumps, transaction costs, return predictability

12.

Maximizing the Probability to Reach the Goal: An Exploration Exercise in Goal-Based Wealth Management

Number of pages: 32 Posted: 02 Jun 2022 Last Revised: 19 Sep 2022
Jean-Guy Simonato
HEC Montréal
Downloads 39 (606,880)

Abstract:

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goal-based wealth management, mean-variance portfolio optimization

13.

New Warrant Issues Valuation with Leverage and Noisy Equity Values

Number of pages: 27 Posted: 12 May 2013
Jean-Guy Simonato
HEC Montréal
Downloads 38 (612,485)
Citation 1

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Warrants, structural model, extended Kalman filter

14.

The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices

Multinational Finance Journal, Vol. 7, No. 1/2, p. 55-82, 2003
Number of pages: 27 Posted: 07 Jul 2015
Jean-Yves Datey, Geneviève Gauthier and Jean-Guy Simonato
Commission scolaire de Montréal (CSDM), HEC Montreal and HEC Montréal
Downloads 37 (618,191)

Abstract:

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analytical approximation; Asian option; basket option; option pricing; quanto option

15.

The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation

European Financial Management, Vol. 23, Issue 2, pp. 325-354, 2017
Number of pages: 30 Posted: 19 May 2020
Simon Lalancette and Jean-Guy Simonato
HEC Montreal and HEC Montréal
Downloads 7 (864,643)

Abstract:

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VIX, GARCH, skewness, kurtosis, risk‐neutral valuation

16.

A Simplified Quadrature Approach for Computing Bermudan Option Prices

International Review of Finance, Vol. 16, Issue 4, pp. 647-658, 2016
Number of pages: 12 Posted: 07 Dec 2016
Jean-Guy Simonato
HEC Montréal
Downloads 1 (938,947)

Abstract:

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VaR, Expected Shortfall, Johnson distributions

18.

Pricing Discretely Monitored Barrier Options by a Markov Chain

Journal of Derivatives, Vol. 10, 2003
Posted: 08 Oct 2013
National University of Singapore (NUS) - Business School and Risk Management Institute, Queen's University - Smith School of Business, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and HEC Montréal

Abstract:

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Barrier option, Markov chain

19.

Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter

Posted: 20 Apr 2000
Jin-Chuan Duan and Jean-Guy Simonato
National University of Singapore (NUS) - Business School and Risk Management Institute and HEC Montréal

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