Jean-Guy Simonato

Available identifiers

Publication	Date of Publication	Type
Portfolios of value and momentum: disappointment aversion and non-normalities	2022-07-22	Paper
American option pricing under GARCH with non-normal innovations	2019-10-29	Paper
Dynamic asset allocation with event risk, transaction costs and predictable returns	2018-09-05	Paper
Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions	2018-07-11	Paper
Dynamic portfolio choice: a simulation-and-regression approach	2017-09-08	Paper
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables	2016-11-10	Paper
Johnson binomial trees	2013-06-27	Paper
Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates	2012-08-16	Paper
Asymptotic Distribution of the EMS Option Price Estimator	2012-02-19	Paper
https://portal.mardi4nfdi.de/entity/Q4407581	2003-11-10	Paper
American option pricing under GARCH by a Markov chain approximation	2001-08-20	Paper
Empirical Martingale Simulation for Asset Prices	1998-01-01	Paper
Estimation of GARCH process in the presence of structural change	1993-08-08	Paper

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