Jean-François Bégin

Simon Fraser University

Assistant Professor

8888 University Drive

Burnaby, British Columbia V5A 1S6

Canada

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

SCHOLARLY PAPERS

5

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Top 47,165

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879

SSRN CITATIONS
Rank 47,941

SSRN RANKINGS

Top 47,941

in Total Papers Citations

2

CROSSREF CITATIONS

8

Scholarly Papers (5)

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 HEC Montreal - Department of Decision Sciences
Downloads 514 (54,465)
Citation 5

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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: 74 Posted: 30 May 2017 Last Revised: 15 Jun 2019
Diego Amaya, Jean-François Bégin and Geneviève Gauthier
Wilfrid Laurier University, Simon Fraser University and HEC Montreal - Department of Decision Sciences
Downloads 245 (127,010)
Citation 2

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

3.

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 HEC Montreal - Department of Decision Sciences
Downloads 84 (301,397)
Citation 1

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

4.

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 HEC Montreal - Department of Decision Sciences
Downloads 34 (456,989)
Citation 2

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

5.

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 (649,941)
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