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Geneviève Gauthier

Geneviève Gauthier

HEC Montréal École de Gestion - Montréal / Canada
Natural Sciences / Mathematical Sciences
AD Scientific Index ID: 655650
École des hautes études commerciales de Montréal
person_outline Geneviève Gauthier's MOST POPULAR ARTICLES
1-) On the equivalence of the KMV and maximum likelihood methods for structural credit risk models Groupe d'études et de recherche en analyse des décisions, 2005
2-) An analytical approximation for the GARCH option pricing model Journal of Computational Finance, 1997
3-) Approximating the GJR-GARCH and EGARCH option pricing models analytically Journal of Computational Finance 9 (3), 41, 2006
4-) Idiosyncratic jump risk matters: Evidence from equity returns and options The Review of Financial Studies 33 (1), 155-211, 2020
5-) Estimating Merton's model by maximum likelihood with survivorship consideration Available at SSRN 557088, 2004