Frédéric Godin

Concordia University, Quebec - Department of Mathematics & Statistics

Assistant Professor

1455 De Maisonneuve Blvd. W.

Montreal, Quebec H3G 1M8

Canada

  • Concordia University, Quebec - Department of Mathematics & Statistics

SCHOLARLY PAPERS

19

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1,723

SSRN CITATIONS
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SSRN RANKINGS

Top 33,635

in Total Papers Citations

19

CROSSREF CITATIONS

5

Scholarly Papers (19)

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1.

Venturing into Uncharted Territory: An Extensible Parametric Implied Volatility Surface Model

Number of pages: 66 Posted: 19 Jul 2021 Last Revised: 15 Feb 2022
Pascal Francois, Rémi Galarneau-Vincent, Geneviève Gauthier and Frédéric Godin
HEC Montreal - Department of Finance, HEC Montréal, Students, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 273 (157,232)

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Implied volatility surfaces, Incomplete Markets, Derivatives pricing, Factor models.

2.

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 243 (176,365)
Citation 1

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Dynamic programming, hedging, risk management, regime switching

3.

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 Autorité des marchés financiers
Downloads 137 (290,386)

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

4.

An Analysis of Electricity Congestion Price Patterns in North America

Number of pages: 37 Posted: 22 Jan 2021
Frédéric Godin and Zinatu Ibrahim
Concordia University, Quebec - Department of Mathematics & Statistics and Concordia University
Downloads 119 (322,362)

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

5.

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 115 (330,215)
Citation 4

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

6.

Foreseeing the Worst: Forecasting Electricity DART Spikes

Number of pages: 44 Posted: 23 Jun 2022
Rémi Galarneau-Vincent, Geneviève Gauthier and Frédéric Godin
HEC Montréal, Students, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 114 (332,257)

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Power markets, Spikes prediction, DART spreads, NYISO, Predictive analytics, Statistical learning

7.

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 Autorité des marchés financiers
Downloads 112 (336,440)
Citation 8

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

8.

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 105 (351,465)

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Option pricing, Stochastic volatility, Particle filters, Path dependence

9.

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 105 (351,465)
Citation 2

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

10.

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 80 (415,891)
Citation 1

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

11.

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 75 (431,315)

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

12.

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 73 (437,698)
Citation 2

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

13.

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 54 (507,766)

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

14.

Pricing Inconsistency Between the Futures and Transmission Congestion Contract Markets in the NYISO

Number of pages: 26 Posted: 22 Jul 2022
Geneviève Gauthier, Frédéric Godin and Gabrielle Trudeau
Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), Concordia University, Quebec - Department of Mathematics & Statistics and HEC Montreal - Department of Decision Sciences
Downloads 52 (516,278)

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Electricity markets, Congestion pricing, Risk management, Energy finance, Financial derivatives, NYISO

15.

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 Autorité des marchés financiers
Downloads 34 (606,157)
Citation 3

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

16.

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 28 (643,672)

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

17.

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 2 (878,396)
Citation 1

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18.

Risk allocation through Shapley decompositions with applications to variable annuities

Number of pages: 56
Frédéric Godin, Emmanuel Hamel, Patrice Gaillardetz and Edwin Hon-Man Ng
Concordia University, Quebec - Department of Mathematics & Statistics, Autorité des marchés financiers, affiliation not provided to SSRN and Aviva plc - Aviva Canada
Downloads 2

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Risk allocation, Profit and loss analysis, Variable annuities, Segregated funds, Stochastic on stochastic, Shapley decomposition

19.

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