Home

Jean-Guy Simonato

Professeur honoraire, HEC Montréal

3000 chemin de la Côte-Sainte-Catherine, Montréal (Québec), Canada, H3T 2A7

jean-guy.simonato@hec.ca

Google Scholar page

Published research

Denault, M., Simonato, J.G., 2023, Multiperiod portfolio allocation: a study of volatility clustering, non-normalities and predictable returns, The North American Journal of Economics and Finance, Volume 68, September 2023, 101997
Simonato, J.G., 2023, Maximizing the Probability to Reach the Goal: An Exploration Exercise in Goal-Based Wealth Management , Journal of Portfolio Management 49, p. 189-207.
Fortin, A.P., Simonato, J.G., Dionne, G., 2023, Forecasting expected shortfall: should we use a multivariate model for stock market factors?, International Journal of Forecasting 39, p. 314-321
Lalancette, S., Simonato, J.G., 2022, Portfolios of value and momentum: disappointment aversion and non-normalities, Quantitative Finance 22, p. 1247-1263.
Denault, M., Simonato, J.G., 2022, A note on a dynamic goal-based wealth management problem, Finance Research Letters, Volume 46 Part B, May 2022, 102404
Simonato, J.G., 2019, American option pricing under GARCH with non-normal innovations, Optimization and Engineering 20, 853-880.
Simonato, J.G., 2018, Dynamic asset allocation with event risk, transaction costs and predictable returns, Mathematics and Financial Economics 12, 561-587.
Denault, M., Delage, E., Simonato, J.G., 2017, Dynamic portfolio choice: a simulation-and-regression approach, Optimization and Engineering 18, 369–406.
Lalancette, S., Simonato, J.G., 2017, The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation, European Financial Management 23, 325-354.
Denault, M., Simonato, J.G., 2017, Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function ..., Computers & Operations Research 79, 174-189.
Simonato, J.G., 2016, A simplified quadrature approach for computing Bermudan option prices, International Review of Finance 16, 647-658.
Simonato, J.G., 2015, New warrant issues valuation with leverage and equity model errors, Journal of Financial Services Research 47, 247-272
Simonato, J.G., 2013, Approximating the multivariate distribution of time-aggregated stock returns under GARCH, Journal of Risk 16, 25-49.
Denault, M., Simonato, J.G., Stentoft, L., 2013, A simulation-and-regression approach for stochastic dynamic programs ..., Computers & Operations Research 40, 2760-2769.
Simonato, J.G., 2012, GARCH processes with skewed and leptokurtic innovations: revisiting the Johnson Su case, Finance Research Letters 9, 213-219.
Gauthier, G., Simonato, J.G., 2012, Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates, European Journal of Operational Research 219, 442–451.
Dionne, G., Gauthier, G., Hammami, K., Maurice, M., Simonato, J.G., 2011, A reduced form model of default spreads with Markov ..., Journal of Banking and Finance 35, 1984-2000.
Simonato, J.G., 2011, The performance of Johnson distributions for computing value at risk and expected shortfall, 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 corporate yield spreads, Financial Management 39, 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 ..., 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 approximations for the computation of Asian ..., 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., 1999, 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.

Google Sites

Report abuse