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

18

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2,784

SSRN CITATIONS
Rank 27,327

SSRN RANKINGS

Top 27,327

in Total Papers Citations

14

CROSSREF CITATIONS

15

Scholarly Papers (18)

1.

Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration

EFA 2004 Maastricht Meetings Paper No. 4190
Number of pages: 25 Posted: 23 Jun 2004
National University of Singapore (NUS) - Business School and Risk Management Institute, HEC Montréal, HEC Montreal - Department of Decision Sciences and HEC Montreal
Downloads 746 (36,030)
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, HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 520 (57,831)
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
HEC Montreal - Department of Decision Sciences and HEC Montréal
Downloads 486 (62,900)
Citation 1

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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, HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 389 (82,141)
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 188 (174,628)

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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, HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 104 (279,643)
Citation 2

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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 89 (309,256)
Citation 1

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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: 42 Posted: 18 Jul 2018 Last Revised: 06 Dec 2019
Alain-Philippe Fortin, Jean-Guy Simonato and Georges Dionne
HEC Montreal, HEC Montréal and HEC Montreal - Department of Finance
Downloads 65 (370,286)

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Value-at-Risk, Expected Shortfall, Conditional Value-at-Risk, Elicitability, modelcomparison, backtesting, Fama-French and momentum factors

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 57 (401,167)

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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

10.

American Option Pricing Under GARCH With Non-Normal Innovations

Number of pages: 29 Posted: 06 May 2018
Jean-Guy Simonato
HEC Montréal
Downloads 47 (430,464)
Citation 1

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American Options, GARCH, Non-Normal Distribution, Quadrature

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 37 (471,500)

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

12.

New Warrant Issues Valuation with Leverage and Noisy Equity Values

Number of pages: 27 Posted: 12 May 2013
Jean-Guy Simonato
HEC Montréal
Downloads 34 (485,160)
Citation 1

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Warrants, structural model, extended Kalman filter

13.

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 22 (551,058)

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

14.

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 0 (721,207)
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VIX, GARCH, skewness, kurtosis, risk‐neutral valuation

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VaR, Expected Shortfall, Johnson distributions

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
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17.

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, HEC Montreal - Department of Decision Sciences and HEC Montréal

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Barrier option, Markov chain

18.

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

Review of Quantitative Finance and Accounting, Vol. 13, September 1999
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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