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

  • Department of decision Sciences and GERAD

  • Associate member, Oxford-Man Institute (OMI)

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 12,653

SSRN RANKINGS

Top 12,653

in Total Papers Downloads

5,562

SSRN CITATIONS
Rank 21,884

SSRN RANKINGS

Top 21,884

in Total Papers Citations

20

CROSSREF CITATIONS

25

Scholarly Papers (21)

Actions:
Email selected abstracts
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 784 (45,224)
Citation 24

Abstract:

Loading...

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 664 (56,133)
Citation 11

Abstract:

Loading...

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 543 (72,445)
Citation 3

Abstract:

Loading...

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 511 (78,126)
Citation 1

Abstract:

Loading...

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

5.

Heterogeneous Basket Options Pricing Using Analytical Approximations

Downloads 455 ( 89,792)
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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), IESEG School of Management and York University - Atkinson School of Administrative Studies
Downloads 432 (94,591)
Citation 4

Abstract:

Loading...

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 23 (699,744)

Abstract:

Loading...

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 447 (91,681)
Citation 2

Abstract:

Loading...

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
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato
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 406 (102,419)
Citation 1

Abstract:

Loading...

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
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 (157,142)

Abstract:

Loading...

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 243 (176,233)
Citation 1

Abstract:

Loading...

Dynamic programming, hedging, risk management, regime switching

10.

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

Downloads 222 (192,112)
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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI) and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 222 (191,768)

Abstract:

Loading...

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

Abstract:

Loading...

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 220 (193,803)
Citation 1

Abstract:

Loading...

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 171 (242,498)
Citation 2

Abstract:

Loading...

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

13.

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, Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI), HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 116 (327,986)
Citation 2

Abstract:

Loading...

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

14.

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 112 (336,247)

Abstract:

Loading...

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

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 87 (395,594)
Citation 1

Abstract:

Loading...

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 75 (431,075)
Citation 2

Abstract:

Loading...

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 70 (447,436)
Citation 1

Abstract:

Loading...

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

18.

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 60 (483,610)

Abstract:

Loading...

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

19.

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 (515,965)

Abstract:

Loading...

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

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
Jean-François Bégin, Diego Amaya, Geneviève Gauthier and Marie-Eve Malette
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 (520,449)

Abstract:

Loading...

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

Abstract:

Loading...

Barrier option, Markov chain