Geneviève Gauthier

Professor, Department of Decision Sciences

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

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.

Journal articles (8)

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.

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, 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.

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.

Dissertation direction – PhD in Administration (1)

Four Essays on Applications of Filtering Methods in Finance, by Jean-François Bégin
March 2017

Master's thesis direction – MSc in Management (8)

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

Mortgage and Mortgage-Backed Securities Valuation, by Yann Foucault
November 2019

Forecasting volatility using liquidity measures in a high frequency returns model, by Guillaume Trudel
September 2019

Quelques contributions à la théorie des processus de Lévy avec sauts et ses applications en finance, by Djilali Ait Aoudia
September 2018

In codirection with : BÉGIN, Jean-François
Particle Filter Performance with High Frequency Option Prices, by Marie-Eve Malette-Campeau
March 2018

In codirection with : LABBÉ, Chantal
Credit value adjustment of a portfolio in the context of the dependency between the value of the portfolio and the credit quality of the counterparty , by Forough Ensandoust Ghazvini
January 2017

Supervised project supervision – MSc in Management (4)

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

In codirection with : PINEAU, Pierre-Olivier
Impact des contrats de tarification de l'électricité sur la distribution de marges de revenus d'une aluminerie , by Guillaume Dyotte-Cournoyer
October 2016