Geneviève Gauthier

This publication selection covers the last five years.

Journal articles (9)

FRANÇOIS, Pascal, GALARNEAU-VINCENT, Rémi, GAUTHIER, Geneviève, GODIN, Frédéric ; « Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management »,  Journal of Futures Markets,vol. 46, no 3,  2026, p. 545-561 .

BARBAGLI, Matteo, FRANÇOIS, Pascal, GAUTHIER, Geneviève, VRINS, Frédéric ; « The role of CDS spreads in explaining bond recovery rates »,  Journal of Banking & Finance,vol. 174,  2025, p. 1-20 .

FRANÇOIS, Pascal, GAUTHIER, Geneviève, GODIN, Frédéric, PÉREZ MENDOZA, Carlos Octavio ; « Is the difference between deep hedging and delta hedging a statistical arbitrage? »,  Finance Research Letters,vol. 73,  2025, p. 1-9 .

BACON, Étienne, BÉGIN, Jean-François, GAUTHIER, Geneviève ; « On general semi-closed-form solutions for VIX derivative pricing »,  Quantitative Finance,vol. 24, no 12,  2024, p. 1875-1882 .

GALARNEAU-VINCENT, Rémi, GAUTHIER, Geneviève, GODIN, Frédéric ; « Foreseeing the worst: Forecasting electricity DART spikes »,  Energy Economics,vol. 119,  2023, p. 1-18 .

GAUTHIER, Geneviève, GODIN, Frédéric, TRUDEAU, Gabrielle ; « Pricing inconsistency between the futures and Financial Transmission Right markets in North America »,  Energy Economics,vol. 126,  2023, p. 1-16 .

AMAYA, Diego, BÉGIN, Jean-François, GAUTHIER, Geneviève ; « The Informational Content of High-Frequency Option Prices »,  Management Science,vol. 68, no 3,  2022, p. 2166-2201 .

FRANÇOIS, Pascal, GALARNEAU-VINCENT, Rémi, GAUTHIER, Geneviève, GODIN, Frédéric ; « Venturing into uncharted territory: An extensible implied volatility surface model »,  Journal of Futures Markets,vol. 42, no 10,  2022, p. 1912-1940 .

BÉGIN, Jean-François, AMAYA, Diego, GAUTHIER, Geneviève, MALETTE-CAMPEAU, Marie-Eve ; « On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach »,  SIAM Journal on Financial Mathematics,vol. 11, no 4,  2020, p. 1168-1208 .

This selection of supervision activities covers the last five years.

Thesis direction – Doctorate in Administration (3)

Three Essays on Credit Risk in the Bond Market, by Delphine Boursicot

September 2025

In codirection with :  GAUTHIER, Geneviève

Parameter Estimation and Filtering in Multivariate Stochastic Volatility Models, by Gabrielle Trudeau

March 2025

Three essays on volatility and extreme events in financial and electricity markets, by Rémi Galarneau-Vincent

May 2023

Thesis direction – Master of Science in Management (9)

Deep Implied Volatility Factor Models for Stock Options, by Sébastien Legros

September 2025

Parametric Implied Volatility Surface Model for VIX Options, by Anthony Thibeault

January 2025

Replications and Valuations of Contracts on Risk-Neutral Moments, by Eric Rahal

May 2024

In codirection with :  GAUTHIER, Geneviève

Regime-Switching Correlations with Exogenous Economic Variables, by Paul Kelendji

March 2024

In codirection with :  GAUTHIER, Geneviève

Prévision de l'écart des prix de l'électricité entre le marché de la veille et le temps réel : Cas du Midcontinent Independent System Operator (MISO), by Azza Rhaiem

March 2023

Navigating through momentum crashes: an empirical study of momentum returns, by Youness Chahdi

January 2023

Cross-Sectional Momentum Return and Crash Risk, by Jingjing Zhang

March 2021

Empirical and Simulation-Based Appraisal of a Class of Regime Switching GARCH Models, by Monsèdé Franck Adoho

November 2020

Improving the Filtering of Latent States Using Option Price Data, by Samuel Léveillé

September 2020

Supervised project direction – Master of Science in Management (6)

Predicting TSX End-of-day Stock Returns Using Machine Learning Based on Market on Close Volume Imbalances, by Patrick Cimon

September 2024

Modèle tarifaire Smart Part, by Thierry Collins

August 2023

Impact des hausses de taux d'intérêt sur le portefeuille commercial Cas Type I, by Mohamed Tao

August 2023

Modèle de valeur ajoutée - Grand fonds de pension canadien, by Gaspard Lapierre-Fecteau

May 2023

Tarification et couverture du contrat à terme sur obligation d'échéance 30 ans du Gouvernement du Canada, by Antoine Carufel

March 2023

Evaluation of Collateral Management at a Canadian Pension Fund, by Razvan Mitrea

September 2020