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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


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


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

This publication selection covers the last five years.


Journal articles (9)

FORTIN, Alain Philippe, SIMONATO, Jean-Guy, DIONNE, Georges; « Forecasting expected shortfall: Should we use a multivariate model for stock market factors? », International Journal of Forecasting, 2023 (status : online).

DENAULT, Michel, SIMONATO, Jean-Guy; « A note on a dynamic goal-based wealth management problem », Finance Research Letters, vol. 46, no Part B, 2022, p. 1-8.

LALANCETTE, Simon, SIMONATO, Jean-Guy; « Portfolios of value and momentum: disappointment aversion and non-normalities », Quantitative Finance, vol. 22, no 7, 2022, p. 1247-1263.

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.

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.

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.

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


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.


Master's thesis direction – MSc in Management (3)

In codirection with : DENAULT, Michel
Reinforcement Learning Algorithms for a Dynamic Goal-Based Wealth Management Problem, by Maxence Prémont
November 2021

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


Supervised project supervision – MSc in Management (5)

Mise en œuvre de l'approche « Goals-Based Wealth Management » de Das et al. (2018) , by Nicolas Vin
September 2021

Validation of Probability of Default and Loss Given Default Parameters of a Portfolio of Retail Loans , by Guillaume St-Arnaud
September 2021

Validation of Loss Given Default for a Portfolio of Sovereign Debt , by Louis Gendreau
September 2021

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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