Geneviève Gauthier

Department of decision Sciences and GERAD

Full Professor

3000 Côte-Sainte-Catherine Road

Montreal, QC H2S1L4

Canada

affiliation not provided to SSRN

SCHOLARLY PAPERS

26

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7,428

SSRN CITATIONS
Rank 16,553

SSRN RANKINGS

Top 16,553

in Total Papers Citations

63

CROSSREF CITATIONS

21

Scholarly Papers (26)

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 GERADaffiliation not provided to SSRN and HEC Montreal
Downloads 825 (55,231)
Citation 25

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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 GERADaffiliation not provided to SSRN
Downloads 755 (62,238)
Citation 11

Abstract:

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

3.

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 GERADaffiliation not provided to SSRN
Downloads 587 (85,774)
Citation 7

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

4.

Default Risk in Corporate Yield Spreads

Canada Research Chair in Risk Management Working Paper No. 05-08, Financial Management 39, 2, 707-731, 2010
Number of pages: 36 Posted: 08 Nov 2010 Last Revised: 05 Jan 2023
HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 570 (89,017)
Citation 3

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

5.

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 GERADaffiliation not provided to SSRN and HEC Montréal
Downloads 554 (92,281)
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: 05 Jan 2023
Georges Dionne, Geneviève Gauthier, Nadia Ouertani and Nabil Tahani
HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN, IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 463 (113,604)
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 GERADaffiliation not provided to SSRN, IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 53 (700,880)
Citation 1

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

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 GERADaffiliation not provided to SSRN, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 427 (126,336)
Citation 1

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

8.

Joint Dynamics For The Underlying Asset and Its Implied Volatility Surface: A New Methodology For Option Risk Management

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 40 Posted: 09 Jan 2023
HEC Montreal - Department of Finance, HEC Montréal, Students, Department of decision Sciences and GERADaffiliation not provided to SSRN and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 397 (137,324)

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Implied volatility, Dynamic factor model, Risk management, VIX

9.

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 GERADaffiliation not provided to SSRN and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 349 (158,491)
Citation 2

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

10.

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 GERADaffiliation not provided to SSRN and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 304 (183,596)

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

11.

On General Semi-Closed-Form Solutions for VIX Derivative Pricing

Number of pages: 14 Posted: 19 Oct 2023
Étienne Bacon, Jean-François Bégin and Geneviève Gauthier
HEC Montreal - Department of Decision Sciences, Simon Fraser University and Department of decision Sciences and GERADaffiliation not provided to SSRN
Downloads 284 (197,171)

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VIX Futures; VIX Options; Semi-closed-form pricing formula

12.

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 GERADaffiliation not provided to SSRN and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 272 (206,046)
Citation 1

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Dynamic programming, hedging, risk management, regime switching

13.

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 GERADaffiliation not provided to SSRN, University of Quebec at Montreal (UQAM) and HEC Montreal
Downloads 258 (217,179)
Citation 1

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

14.

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 GERADaffiliation not provided to SSRN and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 245 (228,541)
Citation 1

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Dynamic programming, risk management, capital structure, hedging

15.

Basket Options on Heterogeneous Underlying Assets

Journal of Futures Markets 33, 4, 299-326, 2013
Number of pages: 30 Posted: 26 May 2009 Last Revised: 05 Jan 2023
Georges Dionne, Geneviève Gauthier and Nadia Ouertani
HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN and IESEG School of Management
Downloads 201 (275,488)
Citation 1

Abstract:

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

16.

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

Journal of Banking and Finance, Vol. 35, No. 8, 2011
Number of pages: 53 Posted: 09 Nov 2010 Last Revised: 05 Jan 2023
HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 137 (381,742)
Citation 4

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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

17.

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

Number of pages: 26 Posted: 22 Jul 2022 Last Revised: 15 Mar 2023
Geneviève Gauthier, Frédéric Godin and Gabrielle Trudeau
Department of decision Sciences and GERADaffiliation not provided to SSRN, Concordia University, Quebec - Department of Mathematics & Statistics and HEC Montreal - Department of Decision Sciences
Downloads 127 (405,126)

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

18.

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 GERADaffiliation not provided to SSRN
Downloads 111 (447,914)
Citation 3

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

19.

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 GERADaffiliation not provided to SSRN
Downloads 108 (457,092)
Citation 1

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

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 GERADaffiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 106 (463,204)
Citation 2

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

21.

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 GERADaffiliation not provided to SSRN and LFIN/LIDAM, UCLouvain
Downloads 101 (479,338)
Citation 1

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

22.

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 GERADaffiliation not provided to SSRN, HEC Montreal and University of Quebec at Montreal
Downloads 81 (550,860)

Abstract:

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

23.

Supplementary material- On General Semi-closed-form Solutions for VIX Derivative Pricing

Number of pages: 10 Posted: 24 Oct 2023
Étienne Bacon, Jean-François Bégin and Geneviève Gauthier
HEC Montreal - Department of Decision Sciences, Simon Fraser University and Department of decision Sciences and GERADaffiliation not provided to SSRN
Downloads 44 (743,025)

Abstract:

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Most pricing methods for VIX futures and European VIX options rely on the existence of the squared VIX moment generating function. Yet this function does not exist for some state-of-theart option pricing models, which prevents their widespread use. This paper presents semi-closedform solutions for V

24.

The Role of CDS Spreads in Explaining Bond Recovery Rates

LIDAM Discussion Paper: LFIN Series, 2024
Number of pages: 38 Posted: 08 Mar 2024
UCLouvain - LFIN/LIDAM, HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN and LFIN/LIDAM, UCLouvain
Downloads 37 (792,910)

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Credit risk, Recovery rate, Credit default swap, Corporate bond, Uncertainty

25.

Is the Informational Content of VIX Options Redundant?Evidence from Two Option Markets

Number of pages: 56 Posted: 17 Feb 2024
Jean-François Bégin, Geneviève Gauthier and Samuel Léveillé
Simon Fraser University, Department of decision Sciences and GERADaffiliation not provided to SSRN and HEC Montreal
Downloads 32 (832,256)

Abstract:

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Stock index and volatility index options, Particle filtering, Option Pricing, Equity risk premium, Stochastic volatility and jumps

26.

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 GERADaffiliation not provided to SSRN and HEC Montréal

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Barrier option, Markov chain