Jean-Guy Simonato

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Portfolios of value and momentum: disappointment aversion and non-normalities Quantitative Finance	2022-07-22	Paper
American option pricing under GARCH with non-normal innovations Optimization and Engineering	2019-10-29	Paper
Dynamic asset allocation with event risk, transaction costs and predictable returns Mathematics and Financial Economics	2018-09-05	Paper
Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions Computers & Operations Research	2018-07-11	Paper
Dynamic portfolio choice: a simulation-and-regression approach Optimization and Engineering	2017-09-08	Paper
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables Computers & Operations Research	2016-11-10	Paper
Johnson binomial trees Quantitative Finance	2013-06-27	Paper
Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates European Journal of Operational Research	2012-08-16	Paper
Asymptotic distribution of the EMS option price estimator Management Science	2012-02-19	Paper
scientific article; zbMATH DE number 1944280 (Why is no real title available?)	2003-11-10	Paper
American option pricing under GARCH by a Markov chain approximation Journal of Economic Dynamics and Control	2001-08-20	Paper
Empirical martingale simulation for asset prices Management Science	1998-01-01	Paper
Estimation of GARCH process in the presence of structural change Economics Letters	1993-08-08	Paper

Research outcomes over time

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