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 | 433* | 1995 |
Empirical martingale simulation for asset prices JC Duan, JG Simonato Management Science 44 (9), 1218-1233, 1998 | 278 | 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 | 231 | 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 | 156 | 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 | 156 | 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 | 107 | 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 | 77 | 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 | 70 | 2002 |
The Performance of Johnson Distributions for Computing Value at Risk and Expected Shortfall JG Simonato Journal of Derivatives 19 (1), 7-24, 2011 | 69 | 2011 |
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 | 62 | 2011 |
Default risk in corporate yield spreads G Dionne, G Gauthier, K Hammami, M Maurice, JG Simonato Financial Management 39, 707-731, 2010 | 62* | 2010 |
Pricing discretely monitored barrier options by a Markov chain J Duan, E Dudley, G Gauthier, J Simonato Journal of Derivatives 10, 2003 | 61 | 2003 |
Approximating American option prices in the GARCH framework JC Duan, G Gauthier, C Sasseville, JG Simonato Journal of Futures Markets 23 (10), 2002 | 40 | 2002 |
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 | 38 | 2013 |
The role of the conditional skewness and kurtosis in VIX index valuation S Lalancette, JG Simonato European Financial Management 23 (2), 325-354, 2017 | 37 | 2017 |
Computing American option prices in the lognormal jump-diffusion framework with a Markov chain JG Simonato Finance Research Letters 8 (4), 220-226, 2011 | 36 | 2011 |
Asymptotic distribution of the EMS option price estimator JC Duan, G Gauthier, JG Simonato Management Science 47 (8), 1122-1132, 2001 | 34 | 2001 |
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 | 33 | 2017 |
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 | 32 | 2003 |
Seasonal BVAR models: A search along some time domain priors J Raynauld, JG Simonato Journal of Econometrics 55 (1-2), 203-229, 1993 | 29 | 1993 |