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Geneviève Gauthier

Professor,  Department of Decision Sciences

Geneviève Gauthier

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email : genevieve.gauthier@hec.ca
Phone : 514 340-5627
Secretary: 514 340-6472
Fax : 514 340-5634
Office : 4.864

Personal page


  • M.Sc.(mathématiques) UQAM
  • Ph.D.(mathématiques), Carleton U., Ottawa


  • Stochastic Calculus
  • Probability and statistic
  • Mathematical modelling
  • Financial engineering
  • Pricing
  • Risk management
  • Credit risk

This publication selection covers the last five years.


Journal articles (10)

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

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.

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.

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.

BÉGIN, Jean-François, GAUTHIER, Geneviève; « Price Bias and Common Practice in Option Pricing », The Canadian Journal of Statistics/La revue canadienne de statistique, vol. 48, no 1, 2020, p. 8-35.

GAMBETTI, Paolo, GAUTHIER, Geneviève, VRINS, Frédéric; « Recovery rates: Uncertainty certainly matters », Journal of Banking & Finance, vol. 106, 2019, p. 371-383.

BOURSICOT, Delphine, GAUTHIER, Geneviève, ESFAHANI, Farhad; « Contingent Convertible Debt: The Impact on Equity Holders », Risks, vol. 7, no 2, 2019, p. 1-35.

BÉGIN, Jean-François, DORION, Christian, GAUTHIER, Geneviève; « Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options », The Review of Financial Studies, vol. 33, no 1, 2019, p. 155-211.

BÉGIN, Jean-François, BOUDREAULT, Mathieu, DOLJANU, Delia Alexandra, GAUTHIER, Geneviève; « Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis », The Journal of Risk and Insurance, vol. 86, no 2, 2019, p. 263-296.

BÉGIN, Jean-François, BOUDREAULT, Mathieu, GAUTHIER, Geneviève; « Firm-specific credit risk estimation in the presence of regimes and noisy prices », Finance Research Letters, vol. 23, 2017, p. 306-313.


Book chapters (1)

GAMBETTI, Paolo, GAUTHIER, Geneviève, VRINS, Frédéric; « Stochastic Recovery Rate: Impact of Pricing Measure’s Choice and Financial Consequences on Single-Name Products », New Methods in Fixed Income Modeling, Springer, 2018, p. 181-203.

This award and honor selection covers the last five years.

GAUTHIER, Geneviève
SSC Award For Impact of Applied and Collaborative Work, Statistical Society of Canada, 2018

AMAYA, Diego, BÉGIN, Jean-François, GAUTHIER, Geneviève
Best Paper Award on Derivatives, AMAYA, Diego, BÉGIN, Jean-François, GAUTHIER, Geneviève (2017). "Extracting Latent States from High Frequency Option Prices", communication présentée au Northern Finance Association, Halifax, 15 - 17 septembre., Northern Finance Association (NFA), 2017

This selection of supervision activities covers the last five years.


Supervised project supervision – MSc in Management (3)

Evaluation of Collateral Management at a Canadian Pension Fund , by Razvan Mitrea
September 2020

Modélisation du risque de crédit, l'exposition au moment du défaut , by Maxime Caffier
September 2019

Évaluation des produits dérivés avec risque de contrepartie: les xV A , by Kpedetin Tatiana Lorelle Avissoudo
September 2018

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