hec.ca > Faculty

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

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 (12)

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, 2024 (status : accepted).

BACON, Étienne, BÉGIN, Jean-François, GAUTHIER, Geneviève; « On general semi-closed-form solutions for VIX derivative pricing », Quantitative Finance, 2024, p. 1-8 (status : online).

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, 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, 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, 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, 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.

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.

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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

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

This selection of supervision activities covers the last five years.

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Dissertation direction – PhD in Administration (1)
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Master's thesis direction – MSc in Management (10)
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Supervised project supervision – MSc in Management (7)
Impact des hausses de taux d'intérêt sur le portefeuille commercial Cas Type I , by Mohamed Tao
August 2023

Modèle tarifaire Smart Part , by Thierry Collins
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

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