Jean-François Bégin

Simon Fraser University

Assistant Professor

8888 University Drive

Burnaby, British Columbia V5A 1S6

Canada

http://www.sfu.ca/~jbegin

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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SSRN RANKINGS

Top 39,197

in Total Papers Citations

10

CROSSREF CITATIONS

9

Scholarly Papers (9)

1.

Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options

Number of pages: 142 Posted: 02 Jun 2016 Last Revised: 23 Sep 2018
Jean-François Bégin, Christian Dorion and Geneviève Gauthier
Simon Fraser University, HEC Montreal and Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI)
Downloads 671 (56,191)
Citation 11

Abstract:

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Risk premiums; Idiosyncratic risk; Systematic risk; Tail risk; Option valuation; GARCH

2.

The Informational Content of High-Frequency Option Prices

Number of pages: 75 Posted: 30 May 2017 Last Revised: 13 Feb 2020
Diego Amaya, Jean-François Bégin and Geneviève Gauthier
Wilfrid Laurier University, Simon Fraser University and Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI)
Downloads 456 (90,869)
Citation 2

Abstract:

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High-frequency data, realized option variance, options, jump-diffusions

3.

Option Pricing under Stochastic Volatility Models with Latent Volatility

Number of pages: 31 Posted: 20 Aug 2021
Jean-François Bégin and Frédéric Godin
Simon Fraser University and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 108 (349,677)

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Option pricing, Stochastic volatility, Particle filters, Path dependence

4.

A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters

Number of pages: 46 Posted: 21 Jan 2021 Last Revised: 11 Aug 2021
Maciej Augustyniak, Alexandru Badescu and Jean-François Bégin
University of Montreal - Department of Mathematics and Statistics, University of Calgary and Simon Fraser University
Downloads 104 (358,663)

Abstract:

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option hedging, risk-minimization, affine models, multi-component volatility, exponential-affine pricing kernels

5.

Firm-Specific Credit Risk Estimation in the Presence of Regimes and Noisy Prices

Number of pages: 17 Posted: 03 May 2016 Last Revised: 28 May 2017
Jean-François Bégin, Mathieu Boudreault and Geneviève Gauthier
Simon Fraser University, University of Quebec at Montreal (UQAM) and Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI)
Downloads 88 (398,611)
Citation 1

Abstract:

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Credit risk, maximum likelihood estimation, regime-switching, filtering, noisy prices

6.

Price Bias and Common Practice in Option Pricing

Number of pages: 41 Posted: 09 Aug 2018
Jean-François Bégin and Geneviève Gauthier
Simon Fraser University and Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI)
Downloads 76 (434,236)
Citation 2

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option pricing, jump-diffusions, model calibration, estimation bias, information set

7.

Supplementary Material of On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach

This is the supplementary material of Bégin, J.-F., D. Amaya, M.-E. Malette, and G. Gauthier (2020). On the Estimation of Jump-Diffusion Models Using High-Frequency Data: A Filtering-Based Approach, SIAM J. Financial Mathematics, Forthcoming
Number of pages: 40 Posted: 08 Feb 2021 Last Revised: 01 Jul 2021
Jean-François Bégin, Diego Amaya, Geneviève Gauthier and Marie-Eve Malette
Simon Fraser University, Wilfrid Laurier University, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and affiliation not provided to SSRN
Downloads 51 (528,195)

Abstract:

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Stochastic Volatility Jump-Diffusion, Particle Filter, Sequential Importance Resampling, Realized Measures, Option Realized Variance, Options

8.

Long memory in option pricing: A fractional discrete-time approach

Number of pages: 51 Posted: 18 May 2022
University of Montreal - Department of Mathematics and Statistics, University of Calgary, Simon Fraser University and University of Calgary - Department of Mathematics and Statistics
Downloads 48 (541,809)

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Fractional affine models, ARCH(∞) representations, Volatility components, Variance-dependent pricing kernels, Joint estimation

9.

Credit and Systemic Risks in the Financial Services Sector: Evidence from the 2008 Global Crisis

Journal of Risk and Insurance, Vol. 86, Issue 2, pp. 263-296, 2019
Number of pages: 34 Posted: 11 May 2019
Simon Fraser University, University of Quebec at Montreal (UQAM), National Bank of Canada and HEC Montreal
Downloads 2 (897,174)
Citation 2

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