Geneviève Gauthier
HEC Montréal
H-index: 19
North America-Canada
Top articles of Geneviève Gauthier
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
The role of CDS spreads in explaining bond recovery rates | Matteo Barbagli Pascal François Geneviève Gauthier Frédéric D Vrins | 2024/2/14 | |
Is the informational content of VIX options redundant? Evidence from two option markets | Evidence from Two Option Markets | Jean-François Bégin Geneviève Gauthier Samuel Léveillé | 2024/2/13 |
Supplementary material-On General Semi-closed-form Solutions for VIX Derivative Pricing | Available at SSRN 4582824 | Étienne Bacon Jean-François Bégin Geneviève Gauthier | 2023/9/25 |
On General Semi-Closed-Form Solutions for VIX Derivative Pricing | Available at SSRN | Étienne Bacon Jean-François Bégin Geneviève Gauthier | 2023/9/25 |
Foreseeing the worst: Forecasting electricity DART spikes | Energy Economics | Rémi Galarneau-Vincent Geneviève Gauthier Frédéric Godin | 2023/3/1 |
Joint dynamics for the underlying asset and its implied volatility surface: a new methodology for option risk management | Available at SSRN 4319972 | Pascal Francois Rémi Galarneau-Vincent Geneviève Gauthier Frédéric Godin | 2023 |
Pricing inconsistency between the futures and Financial Transmission Right markets in North America | Energy Economics | Geneviève Gauthier Frédéric Godin Gabrielle Trudeau | 2023/10/1 |
Venturing into uncharted territory: An extensible implied volatility surface model | Journal of Futures Markets | Pascal François Rémi Galarneau‐Vincent Geneviève Gauthier Frédéric Godin | 2022/10 |
Pricing Inconsistency Between the Futures and Transmission Congestion Contract Markets in the NYISO | Available at SSRN 4157798 | Geneviève Gauthier Frédéric Godin Gabrielle Trudeau | 2022/7/8 |
The informational content of high-frequency option prices | Management Science | Diego Amaya Jean-François Bégin Geneviève Gauthier | 2022/3 |
Venturing into uncharted territory: An extensible parametric implied volatility surface model | CGN: Risk Management | Pascal Francois Rémi Galarneau-Vincent Geneviève Gauthier Frédéric Godin | 2022/2/14 |
Navigating Through Momentum Crashes: An Empirical Study of Momentum Returns | Youness Chahdi Genevieve Gauthier | 2022/12 | |
Price bias and common practice in option pricing | Canadian Journal of Statistics | Jean‐François Bégin Geneviève Gauthier | 2020/3 |
On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach | SIAM Journal on Financial Mathematics | Jean-François Bégin Diego Amaya Genevieve Gauthier Marie-Ève Malette | 2020 |
Idiosyncratic jump risk matters: Evidence from equity returns and options | The Review of Financial Studies | Jean-François Bégin Christian Dorion Geneviève Gauthier | 2020/1/1 |
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 | Jean-François Bégin Diego Amaya Geneviève Gauthier Marie-Eve Malette | 2020/11/25 |
Co-Authors
