Dionne,
G., Gauthier, G., Hammami, K., Maurice, M., Simonato, J.G., 2009,
A Reduced Form Model of Default Spreads with Markov Switching
Macroeconomic Factors, working paper.
Gauthier,
G., Simonato, J.G., 2009, Linearized Nelson-Siegel and Svensson
models for the estimation of spot interest rates, working paper.
Simonato,
J.G., 2009, Johnson Binomial trees, Quantitative Finance,
forthcoming.
Dionne,
G., Gauthier, G., Hammami, K., Maurice, M., Simonato, J.G., 2009,
Default Risk in Credit Spread, Financial Management, forthcoming.
Denault,
M., Gauthier, G., Simonato, J.G., 2009, Estimation
of Physical Intensity Models for Default Risk,
Journal of Futures Markets 29, 95-113.
Duan,
J.C., Gauthier, G., Sasseville, C., Simonato, J.G., 2006,
Approximating the GJR-GARCH and EGARCH Option Pricing Models
Analytically, Journal of Computational Finance 9, spring.
Denault,
M., Gauthier, G., Simonato, J.G., 2006, Improving Lattice Schemes
Through Bias Reduction, Journal of Futures Markets 26, 733-757.
Raynauld,
J., Simonato, J.G., 2005, Studio Teaching in an Undergraduate
Course in Options and Futures, International Journal of Finance
Education 1, 124-140.
Duan,
J.C., Gauthier, G., Sasseville, C., Simonato, J.G., 2003,
Approximating American Option Prices in the GARCH Framework,
Journal of Futures Markets 23, 915-929.
Duan,
J.C., Dudley, E., Gauthier, G., Simonato, J.G., 2003, Pricing
Discretely Monitored Barrier Options by a Markov Chain, Journal
of Derivatives 10, 9-31.
Datey,
J.Y., Gauthier, G., Simonato, J.G., 2003, The Performance of
Analytical approximations for the Computation of Asian
Quanto-Basket Option Prices, Multinational Finance Journal 7,
55-82.
Duan,
J.C., Simonato, J.G., 2002, Maximum Likelihood Estimation of
Deposit Insurance Value with Interest Rate Risk, Journal of
Empirical Finance 9, 109-132.
Duan,
J.C., Gauthier, G., Simonato, J.G., 2001, Asymptotic Distribution
of the EMS Option Price, Management Science 47, 1122-1132
Duan,
J.C., Simonato, J.G., 2001, American Option Pricing under GARCH
by a Markov Chain Approximation, Journal of Economic Dynamics and
Control 25, 1689-1718.
Duan,
J.C., Gauthier, G., Simonato, J.G., 1999, An Analytical
Approximation for the GARCH Option Pricing Model, Journal of
Computational Finance 2, 75-116.
Duan,
J.C., Simonato, J.G., 1998, Estimating and Testing Exponential
Affine Term Structure Models by Kalman Filters, Review of
Quantitative Finance and Accounting 13, 111-135.
Duan,
J.C., Simonato, J.G., 1998, Empirical Martingale Simulation for
Asset Prices, Management Science 44, 1218-1233.
Simonato,
J.G., 1993, The Estimation of GARCH Process Under Structural
Change, Economic Letters 40, 155-158.
Duan,
J.C., Simonato, J.G., 1993, Multiplicity of Solutions in Factor
Analysis, Journal of Statistical Computations and Simulations 47,
37-47.
Raynauld,
J., Simonato, J.G., 1993, Seasonal BVARS, a Search Along some
Time Domain Priors, Journal of Econometrics 55, 203-229.
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