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 (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.