Gauthier, Geneviève, 1967-
Gauthier, Geneviève
Geneviève Gauthier chercheuse
VIAF ID: 105594986 ( Personal )
Permalink: http://viaf.org/viaf/105594986
Preferred Forms
- 100 1 _ ‡a Gauthier, Geneviève
-
- 100 1 _ ‡a Gauthier, Geneviève
-
- 100 0 _ ‡a Geneviève Gauthier ‡c chercheuse
4xx's: Alternate Name Forms (10)
5xx's: Related Names (2)
- 510 2 _ ‡a Carleton University ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a HEC Montréal ‡b Department of Decision Sciences ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
Works
Title | Sources |
---|---|
An analytical approximation for the GARCH option pricing model | |
Basket ptions on heterogeneous underlying assets | |
Credit risk in corporate spreads during the financial crisis of 2008 : a regime-switching approach | |
Credit risk model : on the non-linear relationship between default intensity and leverage | |
Credit spreads, recovery rates and bond portfolio risk measures in a hybrid credit risk model | |
Dynamic risk management : investment, capital structure, and hedging in the presence of financial frictions | |
Estimation of correlations in portfolio credit risk models based on noisy security prices | |
Evaluating the variance of empirical martingale simulation price estimates | |
Extracting latent states with high frequency option prices | |
Firm-specific credit risk modelling in the presence of statistical regimes and noisy prices | |
Improving lattice schemes through bias reduction | |
Modèles de type autorégressif pour les séries chronologiques à valeurs entières non négatives mémoire présenté à l'Université du Québec à Montréal comme exigence partielle de la maîtrise en mathématiques | |
Monetary policy and interest rate caps : a regime-shift approach | |
Multilevel bilinear system of stochastic differential equations. | |
Numerical pricing of contingent claims on multiple assets and/or factors : a low-discrepancy Markov chain approach | |
On the equivalence of the KMV and maximum likelihood methods for structural credit risk models | |
Optimal hedging when the underlying asset follows a regime-switching Markov process | |
Pricing variance options in a GARCH setting | |
Short-term hedging for an electricity retailer |