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Jean-Guy Simonato

Professor,  Department of Finance


Jean-Guy Simonato

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email: jean-guy.simonato@hec.ca
Phone: 514 340-6807
Secretary: 514 340-6823
Fax: 514 340-5632
Office: 4.205

Personal page

Education

  • M.Sc., HEC Montréal
  • Ph.D.(finance), McGill

Expertise

  • Fixed Interest Securities
  • Derivative Products
  • Applying Econometrics to Financial Problems

This publication selection covers the last five years.


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Journal articles (6)


SIMONATO, Jean-Guy; « American option pricing under GARCH with non-normal innovations », Optimization and Engineering, vol. 20, no 3, 2019, p. 853-880.

SIMONATO, Jean-Guy; « Dynamic asset allocation with event risk, transaction costs and predictable returns », Mathematics and Financial Economics, vol. 12, no 4, 2018, p. 561-587.

DENAULT, Michel, DELAGE, Erick, SIMONATO, Jean-Guy; « Dynamic portfolio choice: a simulation-and-regression approach », Optimization and Engineering, vol. 18, no 2, 2017, p. 396-406.

DENAULT, Michel, SIMONATO, Jean-Guy; « Dynamic portfolio choices by simulation-and-regression: Revisiting the issue of value function vs portfolio weight recursions », Computers & Operations Research, vol. 79, 2017, p. 174-189.

LALANCETTE, Simon, SIMONATO, Jean-Guy; « The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation », European Financial Management, vol. 23, no 2, 2017, p. 325-354.

SIMONATO, Jean-Guy; « A Simplified Quadrature Approach for Computing Bermudan Option Prices », International Review of Finance, vol. 16, no 4, 2016, p. 647-658.

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Book chapters (1)


SIMONATO, Jean-Guy; « New Warrant Issues Valuation with Leverage and Equity Model Errors », World Scientific Reference on Contingent Claims Analysis in Corporate Finance. Volume 1: Foundations of CCA and Equity Valuation, World Scientific Publishing Co., 2019, p. 329-359.



This selection of supervision activities covers the last five years.

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Master's thesis direction – MSc in Management (4)

In codirection with : DIONNE, Georges
Calcul de VaR et CVaR: doit-on adopter une modélisation univariée ou multivariée?, by Alain Philippe Fortin
September 2017

In codirection with : DENAULT, Michel
Contrôle optimal d'un système hydro-électrique par simulations et régressions, by Jean-Philippe Olivier-Meunier
September 2016

In codirection with : LALANCETTE, Simon
Indice de volatilité pour le marché des taux d'intérêt canadien, by Florian Piermattei
January 2016


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Supervised project supervision – MSc in Management (2)

Les 5 facteurs Fama-French au Canada , by Ludovic Desharnais-Gervais
September 2020

In codirection with : DIONNE, Georges
Prédiction des probabilités de défaut à l'aide de modèles structurels avec l'ajout d'un terme d'erreur à l'équité. , by Marie-Eve Drolet-Mailhot
September 2017


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