Geneviève Gauthier

Department of decision Sciences and GERAD

Full Professor

3000 Côte-Sainte-Catherine Road

Montreal, QC H2S1L4

Canada

Associate member, Oxford-Man Institute (OMI)

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

SCHOLARLY PAPERS

21

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5,665

SSRN CITATIONS
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SSRN RANKINGS

Top 21,885

in Total Papers Citations

20

CROSSREF CITATIONS

25

Scholarly Papers (21)

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and HEC Montreal
Downloads 785 (45,705)
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 Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI)
Downloads 671 (56,272)
Citation 11

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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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 545 (73,337)
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
Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and HEC Montréal
Downloads 518 (78,098)
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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 434 (95,568)
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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 24 (704,173)

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

6.

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 GERADAssociate member, Oxford-Man Institute (OMI)
Downloads 456 (90,996)
Citation 2

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

7.

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 407 (103,842)
Citation 1

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

8.

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

Number of pages: 66 Posted: 19 Jul 2021 Last Revised: 15 Feb 2022
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 275 (158,444)

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

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 244 (178,290)
Citation 1

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Dynamic programming, hedging, risk management, regime switching

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 223 (194,091)

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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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 0

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11.

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
Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), University of Quebec at Montreal (UQAM) and HEC Montreal
Downloads 221 (196,121)
Citation 1

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

12.

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and IESEG School of Management
Downloads 172 (245,138)
Citation 2

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

13.

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 158 (263,147)

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

14.

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 117 (331,143)
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

15.

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 GERADAssociate member, Oxford-Man Institute (OMI)
Downloads 88 (399,081)
Citation 1

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

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 Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI)
Downloads 76 (434,788)
Citation 2

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

17.

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and LFIN/LIDAM, UCLouvain
Downloads 71 (451,136)
Citation 1

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

18.

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 68 (461,441)

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

19.

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
Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal and University of Quebec at Montreal
Downloads 61 (487,488)

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

20.

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
Simon Fraser University, Wilfrid Laurier University, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and affiliation not provided to SSRN
Downloads 51 (528,874)

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

21.

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and HEC Montréal

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Barrier option, Markov chain