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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Scholarly Papers (11)

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1.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Forthcoming
Number of pages: 39 Posted: 02 Oct 2016 Last Revised: 14 Apr 2019
David Ardia, Keven Bluteau, Kris Boudt, Leopoldo Catania and Denis-Alexandre Trottier
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 3,517 (2,769)
Citation 8

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

2.

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 139 (208,117)
Citation 3

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

3.

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 Laval University - Ecole d’Actuariat, Students
Downloads 104 (258,340)

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

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 104 (258,340)

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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.

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 102 (261,852)
Citation 3

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Asymmetric GARCH, Backtesting, Bayesian, Maximum Likelihood, Skewness

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 71 (327,063)
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 62 (351,233)

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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 48 (395,582)

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

9.

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 Laval University - Ecole d’Actuariat, Students
Downloads 30 (467,995)

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

10.

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 17 (540,348)

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

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

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Catastrophe bonds, Reinsurance, Risk management, Contingent claims analysis