| On the equivalence of the KMV and maximum likelihood methods for structural credit risk models JC Duan, G Gauthier, JG Simonato Groupe d'études et de recherche en analyse des décisions, 2005 | 154 | 2005 |
| An analytical approximation for the GARCH option pricing model JC Duan, G Gauthier, JG Simonato École des hautes études commerciales, Groupe de recherche en finance, 1997 | 149 | 1997 |
| Approximating the GJR-GARCH and EGARCH option pricing models analytically J Duan, G Gauthier, J Simonato, C Sasseville Journal of Computational Finance 9 (3), 41, 2006 | 101 | 2006 |
| Idiosyncratic jump risk matters: Evidence from equity returns and options JF Bégin, C Dorion, G Gauthier The Review of Financial Studies 33 (1), 155-211, 2020 | 77 | 2020 |
| Estimating Merton's model by maximum likelihood with survivorship consideration JC Duan, JG Simonato, G Gauthier, S Zaanoun Available at SSRN 557088, 2004 | 76 | 2004 |
| Branching processes with immigration and integer-valued time series J Dion, G Gauthier, A Latour Serdica Mathematical Journal 21 (2), 123p-136p, 1995 | 64 | 1995 |
| Default risk in corporate yield spreads G Dionne, G Gauthier, K Hammami, M Maurice, JG Simonato Financial Management 39 (2), 707-731, 2010 | 62* | 2010 |
| Pricing discretely monitored barrier options by a Markov chain J Duan, E Dudley, G Gauthier, J Simonato Journal of Derivatives 10, 2003 | 60 | 2003 |
| A reduced form model of default spreads with Markov-switching macroeconomic factors G Dionne, G Gauthier, K Hammami, M Maurice, JG Simonato Journal of Banking & Finance 35 (8), 1984-2000, 2011 | 55 | 2011 |
| Convergence forte des estimateurs des parametres d’un processus GENAR (p) G Gauthier, A Latour Annales des Sciences Mathématiques du Québec 18 (1), 49-71, 1994 | 46 | 1994 |
| Recovery rates: Uncertainty certainly matters P Gambetti, G Gauthier, F Vrins Journal of Banking & Finance 106, 371-383, 2019 | 42 | 2019 |
| Approximating American option prices in the GARCH framework JC Duan, G Gauthier, C Sasseville, JG Simonato Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2003 | 37 | 2003 |
| Optimal hedging when the underlying asset follows a regime-switching Markov process P François, G Gauthier, F Godin European Journal of Operational Research 237 (1), 312-322, 2014 | 34 | 2014 |
| Asymptotic distribution of the EMS option price estimator JC Duan, G Gauthier, JG Simonato Management Science 47 (8), 1122-1132, 2001 | 34 | 2001 |
| The performance of analytical approximations for the computation of asian quanto-basket option prices JY Datey, G Gauthier, JG Simonato Multinational Finance Journal 7 (1/2), 55-82, 2003 | 31 | 2003 |
| Dynamic risk management: investment, capital structure, and hedging in the presence of financial frictions D Amaya, G Gauthier, TO Léautier Journal of Risk and Insurance 82 (2), 359-399, 2015 | 25 | 2015 |
| Short-term hedging for an electricity retailer DJ Dupuis, G Gauthier, F Godin The Energy Journal 37 (2), 31-60, 2016 | 23 | 2016 |
| Credit and systemic risks in the financial services sector: Evidence from the 2008 global crisis JF Bégin, M Boudreault, DA Doljanu, G Gauthier Journal of Risk and Insurance 86 (2), 263-296, 2019 | 19 | 2019 |
| Recovery rate risk and credit spreads in a hybrid credit risk model M Boudreault, G Gauthier, T Thomassin The Journal of Credit Risk 9 (3), 3, 2013 | 19* | 2013 |
| Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates G Gauthier, JG Simonato European Journal of Operational Research 219 (2), 442-451, 2012 | 19 | 2012 |
Jean-Guy SimonatoProfessor of Finance, HEC MontréalVerified email at hec.ca
