Rémi Galarneau-Vincent

HEC Montréal, Students

Montreal

Canada

  • HEC Montréal, Students

SCHOLARLY PAPERS

3

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1,212

TOTAL CITATIONS

2

Scholarly Papers (3)

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1.

Joint dynamics for the underlying asset and its implied volatility surface: A new methodology for option risk management * †

Number of pages: 44 Posted: 09 Jan 2023 Last Revised: 23 Jul 2024
Pascal Francois, Rémi Galarneau-Vincent, Geneviève Gauthier and Frédéric Godin
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 471 (122,319)

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JEL classification: C22, G13, G17 Implied volatility, Dynamic factor model, Risk management, VIX

2.

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 409 (144,425)
Citation 2

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

3.

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 GERADaffiliation not provided to SSRN and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 332 (181,787)

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