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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

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)


BÉGIN, Jean-François, GAUTHIER, Geneviève et al.; « Price Bias and Common Practice in Option Pricing », The Canadian Journal of Statistics/La revue canadienne de statistique, 2019 (status : accepted).

BÉGIN, Jean-François, DORION, Christian, GAUTHIER, Geneviève; « Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options », Review of Financial Studies, 2019 (status : accepted).

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.

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 », Journal of Risk and Insurance, 2017 (status : online).

DUPUIS, Debbie J., GAUTHIER, Geneviève, GODIN, Frédéric; « Short-term Hedging for an Electricity Retailer », Energy Journal, vol. 37, no 2, Avril 2016, p. 31-59.

FERLAND, René, GAUTHIER, Geneviève, LALANCETTE, Simon; « The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime-Shift Pricing Approach », Journal of Futures Markets, vol. 36, no 1, Janvier 2016, p. 66-87.

AMAYA, Diego, GAUTHIER, Geneviève, LEAUTIER, Thomas-Olivier; « Dynamic Risk Management: Investment, Capital Structure, and Hedging in the Presence of Financial Frictions », Journal of Risk and Insurance, vol. 82, no 2, Juin 2015, p. 359-399.

BOUDREAULT, Mathieu, GAUTHIER, Geneviève, THOMASSIN, Tommy; « Estimation of correlations in portfolio credit risk models based on noisy security prices », Journal of Economic Dynamics & Control, vol. 61, Décembre 2015, p. 334-349.

BOUDREAULT, Mathieu, GAUTHIER, Geneviève, THOMASSIN, Tommy; « Contagion effect on bond portfolio risk measures in a hybrid credit risk model », Finance Research Letters, vol. 11, no 2, Juin 2014, p. 131-139.

FRANÇOIS, Pascal, GAUTHIER, Geneviève, GODIN, Frédéric; « Optimal hedging when the underlying asset follows a regime-switching Markov process », European Journal of Operational Research, vol. 237, no 1, Août 2014, p. 312-322.

BOUDREAULT, Mathieu, GAUTHIER, Geneviève, THOMASSIN, Tommy; « Recovery rate risk and credit spreads in a hybrid credit risk model », Journal of Credit Risk, vol. 9, no 3, Automne 2013, p. 3-39.

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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
SSC Award For Impact of Applied and Collaborative Work, The SSC praised “her outstanding contributions to the promotion of innovative statistical methodologies in financial engineering, and in the training of highly qualified personnel.”, Statistical Society of Canada, 2018

GAUTHIER, Geneviève
Best Paper on Derivatives for "Extracting Latent States from High Frequency Option Prices", 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 (4)

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

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


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Supervised project supervision – MSc in Management (7)

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

Amélioration du Générateur de Scénario Économique. , by Oussama Charifi
March 2016

Corrélations dans un portefeuille d'obligations , by Kyle Zarmair
January 2016

Pricing Methodology and Vetting Results for OTC Derivatives , by Guillaume Desnoyers
September 2015

Analyse critique du modèle de capital économique pour le risque de crédit , by Emmanuelle Tremblay
September 2014

Adaptation d'un générateur de scénario économique canadien , by Simon Marleau-Hinton
September 2013


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