MS1 en-us
MS2 Professor
MS3 Professor (f)
MS4 Professor
MS2 Professor
MS3 Professor (f)
MS4 Professor
Geneviève Gauthier
Professor, Department of Decision Sciences
Contact information
HEC Montréal3000, 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
Other title(s)
- Member of the Group for Research on Decision Analysis (GERAD)
- Researcher, Centre for Interuniversity Research and Analysis on Organizations (CIRANO)
Education
- M.Sc.(mathématiques) UQAM
- Ph.D.(mathématiques), Carleton U., Ottawa
Expertise
- Stochastic Calculus
- Probability and statistic
- Mathematical modelling
- Financial engineering
- Pricing
- Risk management
- Credit risk
This publication selection covers the last five years.
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Journal articles (11)
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, 2023 (status : online).
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.
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.
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.
BOURSICOT, Delphine, GAUTHIER, Geneviève, ESFAHANI, Farhad;
« Contingent Convertible Debt: The Impact on Equity Holders »,
Risks, vol. 7, no 2, 2019, p. 1-35.
GAMBETTI, Paolo, GAUTHIER, Geneviève, VRINS, Frédéric;
« Recovery rates: Uncertainty certainly matters »,
Journal of Banking & Finance, vol. 106, 2019, p. 371-383.
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.
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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
The Canadian Derivatives Institute CDI Conference Best Discussion Award, The CDI’s Annual Conference on derivatives features several papers delivered by international experts gathered around a guest speaker., Canadian Derivatives Institute, 2022
The Canadian Derivatives Institute CDI Conference Best Discussion Award, The CDI’s Annual Conference on derivatives features several papers delivered by international experts gathered around a guest speaker., Canadian Derivatives Institute, 2022
GAUTHIER, Geneviève
SSC Award For Impact of Applied and Collaborative Work, Statistical Society of Canada, 2018
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
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.
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Master's thesis direction – MSc in Management (9)
In codirection with : DORION, Christian
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
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
January 2023
Cross-Sectional Momentum Return and Crash Risk, by Jingjing Zhang
March 2021
March 2021
Empirical and Simulation-Based Appraisal of a Class of Regime Switching GARCH Models, by Monsèdé Franck Adoho
November 2020
November 2020
Improving the Filtering of Latent States Using Option Price Data, by Samuel Léveillé
September 2020
September 2020
Mortgage and Mortgage-Backed Securities Valuation, by Yann Foucault
November 2019
November 2019
Forecasting volatility using liquidity measures in a high frequency returns model, by Guillaume Trudel
September 2019
September 2019
Quelques contributions à la théorie des processus de Lévy avec sauts et ses applications en finance, by Djilali Ait Aoudia
September 2018
September 2018
In codirection with : BÉGIN, Jean-François
Particle Filter Performance with High Frequency Option Prices, by Marie-Eve Malette-Campeau
March 2018
Particle Filter Performance with High Frequency Option Prices, by Marie-Eve Malette-Campeau
March 2018
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Supervised project supervision – MSc in Management (4)
Tarification et couverture du contrat à terme sur obligation d'échéance 30 ans du Gouvernement du Canada , by Antoine Carufel
March 2023
March 2023
Evaluation of Collateral Management at a Canadian Pension Fund , by Razvan Mitrea
September 2020
September 2020
Modélisation du risque de crédit, l'exposition au moment du défaut , by Maxime Caffier
September 2019
September 2019
Évaluation des produits dérivés avec risque de contrepartie: les xV A , by Kpedetin Tatiana Lorelle Avissoudo
September 2018
September 2018
Fall 2023
MATH 60610A
Fall 2022
MATH 60646
MATH 60610A
Winter 2022
MATH 80614A
Fall 2021
MATH 80646