Jean-Guy Simonato
Jean-Guy Simonato
Professor of Finance, HEC Montréal
Verificeret mail på hec.ca - Startside
Citeret af
Citeret af
Estimating and testing exponential-affine term structure models by Kalman filter
JC Duan, JG Simonato
Review of Quantitative Finance and Accounting 13 (2), 111-135, 1995
Empirical martingale simulation for asset prices
JC Duan, JG Simonato
Management Science 44 (9), 1218-1233, 1998
American option pricing under GARCH by a Markov chain approximation
JC Duan, JG Simonato
Journal of Economic Dynamics and Control 25 (11), 1689-1718, 2001
On the equivalence of the KMV and maximum likelihood methods for structural credit risk models
JC Duan, G Gauthier, JG Simonato, ...
Groupe d'études et de recherche en analyse des décisions, 2005
An analytical approximation for the GARCH option pricing model
JC Duan, G Gauthier, JG Simonato
Journal of Computational Finance 2 (4), 75-116, 1997
Approximating the GJR-GARCH and EGARCH option pricing models analytically
J Duan, G Gauthier, J Simonato, C Sasseville
Journal of Computational Finance 9 (3), 41, 2006
Estimating Merton's model by maximum likelihood with survivorship consideration
JC Duan, JG Simonato, G Gauthier, S Zaanoun
EFA 2004 Maastricht Meetings Paper No. 4190, 2004
Maximum likelihood estimation of deposit insurance value with interest rate risk
JC Duan, JG Simonato
Journal of Empirical Finance 9 (1), 109-132, 2002
The Performance of Johnson Distributions for Computing Value at Risk and Expected Shortfall
JG Simonato
Journal of Derivatives 19 (1), 7-24, 2011
Default risk in corporate yield spreads
G Dionne, G Gauthier, K Hammami, M Maurice, JG Simonato
Financial Management 39, 707-731, 2010
A reduced form model of default spreads with markov switching macroeconomic factors
G Dionne, G Gauthier, K Hammami, M Maurice, JG Simonato
Journal of Banking & Finance 35, 1984-2000, 2011
Pricing discretely monitored barrier options by a Markov chain
J Duan, E Dudley, G Gauthier, J Simonato
Journal of Derivatives 10, 2003
Approximating American option prices in the GARCH framework
JC Duan, G Gauthier, C Sasseville, JG Simonato
Journal of Futures Markets 23 (10), 2002
The role of the conditional skewness and kurtosis in VIX index valuation
S Lalancette, JG Simonato
European Financial Management 23 (2), 325-354, 2017
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
M Denault, JG Simonato, L Stentoft
Computers & Operations Research 40 (11), 2760-2769, 2013
Computing American option prices in the lognormal jump-diffusion framework with a Markov chain
JG Simonato
Finance Research Letters 8 (4), 220-226, 2011
Asymptotic distribution of the EMS option price estimator
JC Duan, G Gauthier, JG Simonato
Management Science 47 (8), 1122-1132, 2001
The performance of analytical approximations for the computation of asian quanto-basket option prices
JY Datey, G Gauthier, JG Simonato
Multinational finance journal 5, 55-82, 2003
Dynamic portfolio choices by simulation-and-regression: Revisiting the issue of value function vs portfolio weight recursions
M Denault, JG Simonato
Computers & Operations Research 79, 174-189, 2017
Estimation of GARCH process in the presence of structural change
JG Simonato
Economics Letters 40 (2), 155-158, 1992
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Artikler 1–20