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

SCHOLARLY PAPERS

18

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4,692

SSRN CITATIONS
Rank 22,869

SSRN RANKINGS

Top 22,869

in Total Papers Citations

16

CROSSREF CITATIONS

25

Scholarly Papers (18)

1.

Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration

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 751 (38,116)
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 604 (51,032)
Citation 8

Abstract:

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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
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 525 (60,836)
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 488 (66,576)
Citation 1

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

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 421 (78,999)
Citation 4

Abstract:

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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 21 (606,045)

Abstract:

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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
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 394 (86,085)
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 312 (113,591)
Citation 2

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

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 221 (158,611)

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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 220 (159,704)
Citation 1

Abstract:

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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 214 (163,918)

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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 163 (209,189)
Citation 2

Abstract:

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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
HEC Montreal - Department of Finance, HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 107 (289,414)
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 86 (333,424)
Citation 1

Abstract:

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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 60 (406,516)

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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 55 (423,717)
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 43 (470,142)
Citation 2

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

17.

Supplementary Material of "On the Estimation of Jump-Diffusion Models Using High-Frequency Data: A Filtering-Based Approach"

Number of pages: 37
Simon Fraser University, Wilfrid Laurier University, HEC Montreal - Department of Decision Sciences and affiliation not provided to SSRN
Downloads 7

Abstract:

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Stochastic volatility jump-di usion,particle filter, sequential importance resampling,realized measures, option realized variance, options

18.

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

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Barrier option, Markov chain