Jean-Guy Simonato

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 (statut : en ligne).

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.

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.

SIMONATO, Jean-Guy; « Maximizing the probability to reach the goal: an exploration exercise in goal-based wealth management », Journal of portfolio management, 2022 (statut : accepté).

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.

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, 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.

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.