Denis-Alexandre Trottier

Laval University, Faculté d'Administration, Département de Finance et Assurance, Students

PhD Student

Pavillon Palasis-Prince

Quebec, Quebec G1K 7P4

Canada

  • Laval University, Faculté d'Administration, Département de Finance et Assurance, Students

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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SSRN RANKINGS

Top 28,433

in Total Papers Citations

27

CROSSREF CITATIONS

4

Scholarly Papers (11)

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1.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Vol. 91, Issue 4, 2019
Number of pages: 38 Posted: 02 Oct 2016 Last Revised: 20 Nov 2019
David Ardia, Keven Bluteau, Kris Boudt, Leopoldo Catania and Denis-Alexandre Trottier
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 5,701 (1,882)
Citation 22

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GARCH, MSGARCH, Markov-switching, conditional volatility, forecasting, R software

2.

Moments of Standardized Fernandez-Steel Skewed Distributions: Applications to the Estimation of GARCH-Type Models

Finance Research Letters, Vol. 18, pp. 311-316, 2016
Number of pages: 13 Posted: 06 Sep 2015 Last Revised: 15 Nov 2017
Denis-Alexandre Trottier and David Ardia
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students and HEC Montreal - Department of Decision Sciences
Downloads 194 (211,888)
Citation 9

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Asymmetric GARCH, Backtesting, Bayesian, Maximum Likelihood, Skewness

3.

The Impact of Parameter and Model Uncertainty on Market Risk Predictions from GARCH-Type Models

Journal of Forecasting, 36(7), pp. 808–823, 2017
Number of pages: 32 Posted: 12 Nov 2015 Last Revised: 22 Jul 2019
David Ardia, Jeremy Kolly and Denis-Alexandre Trottier
HEC Montreal - Department of Decision Sciences, affiliation not provided to SSRN and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 148 (266,273)
Citation 3

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GARCH models, Bayesian and frequentist estimation, predictive density combination, beta linear pool, censored optimal pooling, backtesting

4.

Cat Bond Spreads: A New Model with an Empirical Validation Using Nonparametric Tests

Number of pages: 50 Posted: 21 May 2016 Last Revised: 12 Mar 2017
Denis-Alexandre Trottier, Van Son Lai and Anne-Sophie Charest
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students, Université Laval and Université Laval - Faculté des Sciences et Génie
Downloads 126 (301,366)

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Pricing CAT bonds, HARA, Statistical analyses of CAT bond spreads, Nonparametric specification tests, Econometric pricing models, Out-of-sample analysis

5.

Local Hedging of Variable Annuities in the Presence of Basis Risk

Number of pages: 37 Posted: 07 Jul 2017
Denis-Alexandre Trottier, Frédéric Godin and Emmanuel Hamel
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students, Concordia University, Quebec - Department of Mathematics & Statistics and Autorité des marchés financiers
Downloads 111 (329,895)
Citation 8

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Basis Risk, Hedging, Segregated Funds, Variable Annuities, Risk Measures, Risk Management, Regime-Switching Models

6.

Option Pricing Under Regime-Switching Models: Novel Approaches Removing Path-Dependence

Number of pages: 46 Posted: 18 Aug 2017 Last Revised: 21 Jul 2018
Frédéric Godin, Van Son Lai and Denis-Alexandre Trottier
Concordia University, Quebec - Department of Mathematics & Statistics, Université Laval and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 103 (346,911)
Citation 2

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Option pricing, Regime-switching, Hidden Markov Models, Esscher transform, Path-dependence

7.

A General Class of Distortion Operators for Pricing Contingent Claims with Applications to CAT Bonds

Forthcoming Scandinavian Actuarial Journal
Number of pages: 48 Posted: 21 Aug 2017 Last Revised: 12 Feb 2019
Frédéric Godin, Van Son Lai and Denis-Alexandre Trottier
Concordia University, Quebec - Department of Mathematics & Statistics, Université Laval and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 72 (429,993)
Citation 2

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Distortion operator, Arbitrage-free pricing, Wang transform, Insurance pricing, Contingent claim pricing, Pricing of CAT bonds, Distortion risk measure

8.

A Characterization of CAT Bond Performance Indices

Number of pages: 13 Posted: 27 Mar 2018
Denis-Alexandre Trottier, Van Son Lai and Frédéric Godin
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students, Université Laval and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 70 (436,579)

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Catastrophe bonds, CAT bond Swiss Re indices, Regime-switching GARCH models

9.

Option Pricing in Regime-Switching Frameworks With the Extended Girsanov Principle

Number of pages: 17 Posted: 25 Aug 2019
Frédéric Godin and Denis-Alexandre Trottier
Concordia University, Quebec - Department of Mathematics & Statistics and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 50 (512,291)

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Hidden Markov Models, Regime-switching, Option pricing, Extended Girsanov Principle, Path-dependence

10.

On Fund Mapping Regressions Applied to Segregated Funds Hedging Schemes under Regime-Switching Dynamics

Number of pages: 22 Posted: 14 Apr 2018 Last Revised: 21 Jul 2018
Denis-Alexandre Trottier, Frédéric Godin and Emmanuel Hamel
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students, Concordia University, Quebec - Department of Mathematics & Statistics and Autorité des marchés financiers
Downloads 32 (602,219)
Citation 3

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Basis Risk, Hedging, Segregated Funds, Variable Annuities, Risk Measures, Risk Management, Regime-Switching Models

11.

Reinsurance or Cat Bond? How to Optimally Combine Both

Journal of Fixed Income, Forthcoming, https://doi.org/10.3905/jfi.2017.27.2.065
Posted: 21 May 2019
Denis-Alexandre Trottier and Van Son Lai
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students and Université Laval

Abstract:

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Catastrophe bonds, Reinsurance, Risk management, Contingent claims analysis