Geneviève Gauthier

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
On the estimation of jump-diffusion models using intraday data: a filtering-based approach SIAM Journal on Financial Mathematics	2021-05-28	Paper
Price bias and common practice in option pricing The Canadian Journal of Statistics	2020-04-28	Paper
Estimation of correlations in portfolio credit risk models based on noisy security prices Journal of Economic Dynamics and Control	2018-08-13	Paper
Optimal hedging when the underlying asset follows a regime-switching Markov process European Journal of Operational Research	2015-02-04	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 2028712 (Why is no real title available?)	2004-01-19	Paper
scientific article; zbMATH DE number 1944280 (Why is no real title available?)	2003-11-10	Paper
Multilevel bilinear systems of stochastic differential equations Stochastic Processes and their Applications	1998-03-29	Paper
scientific article; zbMATH DE number 770225 (Why is no real title available?)	1995-08-30	Paper
scientific article; zbMATH DE number 624801 (Why is no real title available?)	1994-10-04	Paper

Research outcomes over time

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