Frédéric Godin

Concordia University, Quebec - Department of Mathematics & Statistics

Assistant Professor

1455 De Maisonneuve Blvd. W.

Montreal, Quebec H3G 1M8

Canada

SCHOLARLY PAPERS

14

DOWNLOADS

955

SSRN CITATIONS
Rank 42,448

SSRN RANKINGS

Top 42,448

in Total Papers Citations

11

CROSSREF CITATIONS

5

Scholarly Papers (14)

1.

Optimal Hedging When the Underlying Asset Follows a Regime-Switching Markov Process

25th Australasian Finance and Banking Conference 2012
Number of pages: 34 Posted: 17 Aug 2012 Last Revised: 19 Aug 2012
Pascal Francois, Geneviève Gauthier and Frédéric Godin
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 220 (159,242)
Citation 1

Abstract:

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Dynamic programming, hedging, risk management, regime switching

2.

Assessing the Effectiveness of Local and Global Quadratic Hedging Under GARCH Models

Number of pages: 34 Posted: 16 Jun 2016 Last Revised: 26 Oct 2019
Maciej Augustyniak, Frédéric Godin and Clarence Simard
University of Montreal - Department of Mathematics and Statistics, Concordia University, Quebec - Department of Mathematics & Statistics and UQAM
Downloads 111 (281,189)
Citation 3

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risk-minimization, quadratic hedging, variance-optimal hedging, mean-variance hedging, GARCH, model risk, LEAPS, dynamic programming

3.

Local Hedging of Variable Annuities in the Presence of Basis Risk

Number of pages: 37 Posted: 07 Jul 2017
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 108 (286,628)
Citation 3

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

4.

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 87 (330,096)
Citation 2

Abstract:

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

5.

A Profitable Modification to Global Quadratic Hedging

Journal of Economic Dynamics and Control, Vol. 104, 2019
Number of pages: 43 Posted: 22 Jun 2018 Last Revised: 26 Oct 2019
Maciej Augustyniak, Frédéric Godin and Clarence Simard
University of Montreal - Department of Mathematics and Statistics, Concordia University, Quebec - Department of Mathematics & Statistics and UQAM
Downloads 78 (352,366)
Citation 1

Abstract:

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Risk Management, Variance-Optimal Hedging, Mean-Variance Hedging, Global Risk-Minimization, LEAPS

6.

A Mixed Bond and Equity Fund Model for the Valuation of Variable Annuities

Number of pages: 49 Posted: 12 Nov 2019 Last Revised: 02 Dec 2020
Maciej Augustyniak, Frédéric Godin and Emmanuel Hamel
University of Montreal - Department of Mathematics and Statistics, Concordia University, Quebec - Department of Mathematics & Statistics and Laval University - Ecole d’Actuariat, Students
Downloads 75 (360,317)

Abstract:

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mutual fund model, bond fund, yield curve, investment guarantee, variable annuities, basis risk

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 67 (383,214)
Citation 1

Abstract:

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

8.

An analysis of electricity congestion price patterns in North America

Number of pages: 37
Frédéric Godin and Zinatu Ibrahim
Concordia University, Quebec - Department of Mathematics & Statistics and Concordia University
Downloads 63

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Principal component analysis, Power markets, Electricity grid, Transmission constraints, Congestion price

9.

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 58 (412,187)

Abstract:

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Catastrophe bonds, CAT bond Swiss Re indices, Regime-switching GARCH 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 30 (530,242)

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

11.

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
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 (530,242)
Citation 2

Abstract:

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

12.

Efficient Semi-Parametric Estimation of Non-Gaussian GARCH Processes

Number of pages: 26 Posted: 05 Dec 2016 Last Revised: 06 Dec 2016
Frédéric Godin and Andrew Luong
Concordia University, Quebec - Department of Mathematics & Statistics and Université Laval
Downloads 27 (547,222)

Abstract:

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GARCH, Semi-Parametric Estimation, Normal Mean-Variance Mixture, Feasible Weighted Least Squares, Variance-Gamma

13.

Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator

Journal of Risk and Insurance, Vol. 79, Issue 3, pp. 841-866, 2012
Number of pages: 26 Posted: 23 Aug 2012
Frédéric Godin, Silvia Mayoral and Manuel Morales
Concordia University, Quebec - Department of Mathematics & Statistics, Universidad Carlos III de Madrid and University of Montreal
Downloads 1 (735,733)
Citation 1
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14.

A Closed-Form Solution for the Global Quadratic Hedging of Options Under Geometric Gaussian Random Walks

https://jod.pm-research.com/content/26/3/97
Posted: 04 Aug 2018
Frédéric Godin
Concordia University, Quebec - Department of Mathematics & Statistics

Abstract:

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Variance-Optimal Hedging, Risk Management, Closed-Form Solution, Gaussian Random Walks