Geneviève Gauthier

HEC Montreal - Department of Decision Sciences

Full Professor

3000 Côte-Sainte-Catherine Road

Montreal, QC H2S1L4

Canada

HEC Montreal - Department of Management Sciences

Full Professor

Montreal, Quebec H3T 2A7

Canada

  • HEC Montreal - Department of Decision Sciences

  • HEC Montreal - Department of Management Sciences

SCHOLARLY PAPERS

17

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4,520

SSRN CITATIONS
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SSRN RANKINGS

Top 21,002

in Total Papers Citations

17

CROSSREF CITATIONS

22

Scholarly Papers (17)

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1.

Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration

EFA 2004 Maastricht Meetings Paper No. 4190
Number of pages: 25 Posted: 23 Jun 2004
Jin-Chuan Duan, Jean-Guy Simonato, Geneviève Gauthier and Sophia Zaanoun
National University of Singapore (NUS) - Business School and Risk Management Institute, HEC Montréal, HEC Montreal - Department of Decision Sciences and HEC Montreal
Downloads 741 (34,930)
Citation 24

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2.

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 552 (51,512)
Citation 7

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

3.

Default Risk in Corporate Yield Spreads

Canada Research Chair in Risk Management Working Paper No. 05-08
Number of pages: 36 Posted: 08 Nov 2010
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 518 (55,944)
Citation 3

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Corporate yield spread, default risk, estimation period, generator, recovery rate, data filtration, confidence intervals

4.

Linearized Nelson-Siegel and Svensson Models for the Estimation of Spot Interest Rates

Number of pages: 43 Posted: 10 Jul 2008 Last Revised: 24 Nov 2010
Geneviève Gauthier and Jean-Guy Simonato
HEC Montreal - Department of Decision Sciences and HEC Montréal
Downloads 483 (61,019)
Citation 1

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Nelson-Siegel, Svensson, Term structure of interest rates, Local optima, Prior information

5.

Heterogeneous Basket Options Pricing Using Analytical Approximations

Downloads 436 ( 69,131)
Citation 2

Heterogeneous Basket Options Pricing Using Analytical Approximations

Multinational Finance Journal, 2011, vol. 15 no. 1/2, pp. 47-85
Number of pages: 24 Posted: 27 Feb 2006 Last Revised: 22 Jun 2016
Georges Dionne, Geneviève Gauthier, Nadia Ouertani and Nabil Tahani
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences, IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 418 (72,091)
Citation 4

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Basket Options, Options Pricing, Analytical Approximations, Monte Carlo Simulation

Heterogeneous Basket Options Pricing Using Analytical Approximations

Multinational Finance Journal, Vol. 15, No. 1/2, p. 47-85, 2011
Number of pages: 39 Posted: 25 Jun 2015
Georges Dionne, Geneviève Gauthier, Nadia Ouertani and Nabil Tahani
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences, IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 18 (578,735)

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Basket Options; Options Pricing; Analytical Approximations; Monte Carlo Simulation

6.

Default Risk, Default Risk Premiums, and Corporate Yield Spreads

EFA 2006 Zurich Meetings
Number of pages: 39 Posted: 01 Mar 2006
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 387 (79,560)
Citation 1

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Corporate yield spread, default risk, default risk premium, credit spread level puzzle, macroeconomic risk premium

7.

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 HEC Montreal - Department of Decision Sciences
Downloads 259 (123,952)
Citation 2

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

8.

Dynamic Risk Management: Investment, Capital Structure, and Hedging in the Presence of Financial Frictions

Downloads 218 (146,983)
Citation 1

Dynamic Risk Management: Investment, Capital Structure, and Hedging in the Presence of Financial Frictions

Number of pages: 44 Posted: 11 Jul 2012 Last Revised: 13 Feb 2013
Diego Amaya, Geneviève Gauthier and Thomas‐Olivier Léautier
Wilfrid Laurier University, HEC Montreal - Department of Decision Sciences and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 218 (146,623)

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Dynamic programming, risk management, capital structure, hedging

Dynamic Risk Management: Investment, Capital Structure, and Hedging in the Presence of Financial Frictions

Journal of Risk and Insurance, Vol. 82, Issue 2, pp. 359-399, 2015
Number of pages: 41 Posted: 14 May 2015
Diego Amaya, Geneviève Gauthier and Thomas‐Olivier Léautier
Wilfrid Laurier University, HEC Montreal - Department of Decision Sciences and University of Toulouse 1 - Toulouse School of Economics (TSE)
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9.

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 216 (148,225)
Citation 3

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Dynamic programming, hedging, risk management, regime switching

10.

Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model

Number of pages: 39 Posted: 17 Aug 2012 Last Revised: 08 Dec 2012
Geneviève Gauthier, Mathieu Boudreault and Tommy Thomassin
HEC Montreal - Department of Decision Sciences, University of Quebec at Montreal (UQAM) and HEC Montreal
Downloads 213 (150,189)

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Credit risk, recovery rate, CDS, hybrid model, intensity, VaR

11.

Basket Options on Heterogeneous Underlying Assets

Number of pages: 30 Posted: 26 May 2009
Georges Dionne, Geneviève Gauthier and Nadia Ouertani
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences and IESEG School of Management
Downloads 161 (193,160)

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basket options, maximum likelihood, hedging performance, options pricing, Monte Carlo simulation

12.

A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors

Number of pages: 53 Posted: 09 Nov 2010
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 104 (270,404)
Citation 2

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Credit Spread, Default Spread, Markov Switching, Macroeconomic Factors, Reduced Form Model of Default, Random Subjective Discount Factor, Credit Default Swap, CDS

13.

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 85 (308,135)
Citation 1

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

14.

Monetary Policy and Interest Rate Caps: A Regime-Shift Approach

Number of pages: 43 Posted: 27 Jun 2012
Geneviève Gauthier, Simon Lalancette and René Ferland
HEC Montreal - Department of Decision Sciences, HEC Montreal and University of Quebec at Montreal
Downloads 58 (379,649)

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Target rate, Regime-shift, Markov chain, Risk-neutral valuation, Option caps

15.

Recovery Rates: Uncertainty Certainly Matters

Number of pages: 39 Posted: 06 May 2019
Paolo Gambetti, Geneviève Gauthier and Frédéric D. Vrins
Louvain Finance Center (LFIN), UCLouvain, HEC Montreal - Department of Decision Sciences and Louvain Finance Center (LFIN), UC Louvain
Downloads 50 (406,386)
Citation 1

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Recovery rate, Loss given default, Corporate bond, Credit risk, Uncertainty

16.

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 39 (448,539)
Citation 2

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

17.

Pricing Discretely Monitored Barrier Options by a Markov Chain

Journal of Derivatives, Vol. 10, 2003
Posted: 08 Oct 2013
Jin-Chuan Duan, Evan Dudley, Geneviève Gauthier and Jean-Guy Simonato
National University of Singapore (NUS) - Business School and Risk Management Institute, Queen's University - Smith School of Business, HEC Montreal - Department of Decision Sciences and HEC Montréal

Abstract:

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Barrier option, Markov chain