Jean-François Bégin

Simon Fraser University

Assistant Professor

8888 University Drive

Burnaby, British Columbia V5A 1S6

Canada

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

  • Simon Fraser University

SCHOLARLY PAPERS

16

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TOTAL CITATIONS
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Top 23,067

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28

Scholarly Papers (16)

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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 GERADaffiliation not provided to SSRN
Downloads 814 (62,344)
Citation 11

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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 GERADaffiliation not provided to SSRN
Downloads 644 (84,314)
Citation 9

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

3.

On General Semi-Closed-Form Solutions for VIX Derivative Pricing

Number of pages: 14 Posted: 19 Oct 2023
Étienne Bacon, Jean-François Bégin and Geneviève Gauthier
HEC Montreal - Department of Decision Sciences, Simon Fraser University and Department of decision Sciences and GERADaffiliation not provided to SSRN
Downloads 355 (172,116)

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VIX Futures; VIX Options; Semi-closed-form pricing formula

4.

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 180 (338,476)

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Option pricing, Stochastic volatility, Particle filters, Path dependence

5.

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 164 (366,996)

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

6.

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

Number of pages: 72 Posted: 18 May 2022 Last Revised: 24 Sep 2024
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin and Sarath Kumar Jayaraman
University of Montreal - Department of Mathematics and Statistics, University of Calgary, Simon Fraser University and University of Calgary - Department of Mathematics and Statistics
Downloads 124 (459,592)

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

7.

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 GERADaffiliation not provided to SSRN
Downloads 120 (471,352)
Citation 3

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

8.

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 GERADaffiliation not provided to SSRN
Downloads 115 (486,786)
Citation 1

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

9.

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 GERADaffiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 110 (503,100)
Citation 4

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

10.

On the relation between discrete and continuous-time affine option pricing models

Number of pages: 45 Posted: 30 Apr 2024
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin and Sarath Kumar Jayaraman
University of Montreal - Department of Mathematics and Statistics, University of Calgary, Simon Fraser University and University of Calgary - Department of Mathematics and Statistics
Downloads 63 (705,627)

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Affine models, multi-component volatility, non-Gaussian distribution, weak diffusion limits, non-monotonic pricing kernel

11.

Is the Informational Content of VIX Options Redundant?Evidence from Two Option Markets

Number of pages: 56 Posted: 17 Feb 2024
Jean-François Bégin, Geneviève Gauthier and Samuel Léveillé
Simon Fraser University, Department of decision Sciences and GERADaffiliation not provided to SSRN and HEC Montreal
Downloads 61 (710,981)

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Stock index and volatility index options, Particle filtering, Option Pricing, Equity risk premium, Stochastic volatility and jumps

12.

Leveraging Prices from Credit and Equity Option Markets for Portfolio Credit Risk Management

Number of pages: 49 Posted: 01 Nov 2022
Jean-François Bégin, Mathieu Boudreault and Mathieu Thériault
Simon Fraser University, University of Quebec at Montreal (UQAM) and University of Quebec at Montreal (UQAM)
Downloads 60 (716,547)

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credit risk management, machine learning, default intensity, recovery rates, unit recovery claim

13.

Supplementary material- On General Semi-closed-form Solutions for VIX Derivative Pricing

Number of pages: 10 Posted: 24 Oct 2023
Étienne Bacon, Jean-François Bégin and Geneviève Gauthier
HEC Montreal - Department of Decision Sciences, Simon Fraser University and Department of decision Sciences and GERADaffiliation not provided to SSRN
Downloads 54 (752,288)

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Most pricing methods for VIX futures and European VIX options rely on the existence of the squared VIX moment generating function. Yet this function does not exist for some state-of-theart option pricing models, which prevents their widespread use. This paper presents semi-closedform solutions for V

14.

The Lexical Ratio: A New Perspective on Portfolio Diversification

Number of pages: 29 Posted: 09 Jan 2025
Sayyed Faraz Mohseni, Hamid R. Arian and Jean-François Bégin
Independent, York University and Simon Fraser University
Downloads 27 (1,023,061)

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Diversification, Shannon entropy, Portfolio, Dependence, Natural language processing

15.

The Stochastic Behavior of Electricity Prices Under Scrutiny: Evidence from Spot and Futures Markets

Number of pages: 52 Posted: 01 Nov 2024
Katja Ignatieva, Katja Ignatieva, Jean-François Bégin, Fabio Gómez and Han Li
University of New South Wales (UNSW)University of New South Wales - Australian School of Business, Simon Fraser University, UNSW Australia Business School, School of Risk & Actuarial Studies and Macquarie University
Downloads 14 (1,118,726)

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Electricity derivatives, futures, stochastic volatility, jump-diffusion models, affine models, particle filtering.

16.

On the Relation between Discrete and Continuous-Time Affine Option Pricing Models

Number of pages: 46 Posted: 07 May 2024
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin and Sarath Kumar Jayaraman
Université de Montréal, affiliation not provided to SSRN, Simon Fraser University and University of Calgary - Department of Mathematics and Statistics
Downloads 9 (1,180,313)

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Affine models, multi-component volatility, non-Gaussian distribution, weak diffusion limits, non-monotonic pricing kernel