|
Gauthier, G., Simonato, J.G., 2012, Linearized
Nelson-Siegel and Svensson models for the
estimation of spot interest rates, forthcoming in European Journal of
Operational Research.
Dionne, Gauthier, Hammami, Maurice, Simonato, 2011, A Reduced Form Model of Default Spreads
with Markov-Switching Macro. Factors, Journal of Banking and Finance 35,
1984-2000.
Simonato, J.G., 2011,
The performance of Johnson distributions for Value at risk and expected
shortfall computation, Journal of Derivatives 19, 7–24.
Simonato, J.G., 2011,
Johnson Binomial trees, Quantitative Finance 11, 1165-1176.
Simonato, J.G., 2011, Computing
American option prices in the lognormal jump-diffusion framework with a
Markov chain, Finance Research Letters 8, 220-226.
Dionne, G., Gauthier, G., Hammami, K.,
Maurice, M., Simonato, J.G., 2010, Default Risk in
Credit Spread, Financial Management, summer, 707-731.
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 approxi. 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.
|