Jean-Guy Simonato

发表

Dynamic portfolio choices by simulation-and-regression: Revisiting the issue of value function vs portfolio weight recursions

Michel Denault, Jean-Guy Simonato, Jean-Guy Simonato, 2015, Comput. Oper. Res..

Linearized Nelson-Siegel and Svensson Models for the Estimation of Spot Interest Rates

Jean-Guy Simonato, Geneviève Gauthier, Jean-Guy Simonato, 2012, Eur. J. Oper. Res..

Asymptotic Distribution of the EMS Option Price Estimator

Jin-Chuan Duan, Jean-Guy Simonato, Geneviève Gauthier, 2001, Manag. Sci..

Dynamic portfolio choice: a simulation-and-regression approach

Erick Delage, Michel Denault, Jean-Guy Simonato, 2017 .

A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables

Lars Stentoft, Michel Denault, Jean-Guy Simonato, 2011, Comput. Oper. Res..

Which pricing approach for options under GARCH with non-normal innovations?

Lars Stentoft, Jean-Guy Simonato, Lars Stentoft, 2015 .

GARCH Processes with Skewed and Leptokurtic Innovations: Revisiting the Johnson SU Case

Jean-Guy Simonato, Jean-Guy Simonato, 2012 .

A Markov Chain Method for Pricing Contingent Claims

Jin-Chuan Duan, Jean-Guy Simonato, Geneviève Gauthier, 2003 .

An Analytical Approximation for the GARCH Option Pricing Model Journal of Computational Finance

Jin-Chuan Duan, Jean-Guy Simonato, Geneviève Gauthier, 1999 .

Default Risk in Corporate Yield Spreads

Georges Dionne, Jean-Guy Simonato, Geneviève Gauthier, 2009 .

Seize the Moments: Approximating American Option Prices in the GARCH Framework

Jin-Chuan Duan, Jean-Guy Simonato, Geneviève Gauthier, 2002 .

The Performance of Johnson Distributions for Computing Value at Risk and Expected Shortfall

Jean-Guy Simonato, 2011 .

Approximating the GJR-GARCH and EGARCH option pricing models analytically

Jin-Chuan Duan, Jean-Guy Simonato, Geneviève Gauthier, 2006 .

The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation

Jean-Guy Simonato, Simon Lalancette, 2017 .

A simulation-and-regression approach for dynamic programming, and its application to portfolio choice

Erick Delage, Michel Denault, Jean-Guy Simonato, 2014 .

American option pricing under GARCH by a Markov chain approximation

Jin-Chuan Duan, Jean-Guy Simonato, J. Duan, 2001 .