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  • Search: person:"Bégin, Jean-François"
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Year of publication
Subject
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Theorie 10 Theory 10 Option pricing theory 8 Optionspreistheorie 8 Volatility 7 Volatilität 7 Portfolio selection 6 Portfolio-Management 6 Risiko 6 Risk 6 Risikomanagement 5 Risk management 5 Stochastic process 5 Stochastischer Prozess 5 Credit risk 4 Kreditrisiko 4 Altersvorsorge 3 Forecasting model 3 Gesetzliche Rentenversicherung 3 Option trading 3 Optionsgeschäft 3 Pension fund 3 Pensionskasse 3 Prognoseverfahren 3 Public pension system 3 Retirement provision 3 Aktienoption 2 Betriebliche Altersversorgung 2 Börsenkurs 2 Capital income 2 Capital market returns 2 Derivat 2 Derivative 2 Estimation theory 2 Fully funded system 2 Generationengerechtigkeit 2 Hedging 2 Intergenerational equity 2 Kapitaldeckungsverfahren 2 Kapitaleinkommen 2
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Online availability
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Free 12 Undetermined 12
Type of publication
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Article 16 Book / Working Paper 8
Type of publication (narrower categories)
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Article in journal 16 Aufsatz in Zeitschrift 16
Language
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English 24
Author
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Bégin, Jean-François 24 Gauthier, Geneviève 9 Boudreault, Mathieu 5 Sanders, Barbara 4 Amaya, Diego 3 Augustyniak, Maciej 3 Badescu, Alexandru 3 Dorion, Christian 2 Thériault, Mathieu 2 Bacon, Étienne 1 Godin, Frédéric 1 Jayaraman, Sarath Kumar 1 Malette, Marie-Eve 1 Ng, Cherie 1 Xu, Xueyi 1 Yi, Lu 1
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Published in...
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North American actuarial journal : NAAJ ; leading the way with original research and innovative applications for actuarial science 3 Insurance / Mathematics & economics 2 Quantitative finance 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Astin bulletin : the journal of the International Actuarial Association 1 Finance research letters 1 Insurance : mathematics and economics 1 Journal of econometrics 1 Journal of pension economics and finance : JPEF 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 SIAM J. Financial Mathematics 1 The journal of futures markets 1 The review of financial studies 1
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Source
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ECONIS (ZBW) 24
Showing 1 - 10 of 24
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Benefit volatility-targeting strategies in lifetime pension pools
Bégin, Jean-François; Sanders, Barbara - In: Insurance : mathematics and economics 118 (2024), pp. 72-94
Persistent link: https://www.econbiz.de/10015067021
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Leveraging prices from credit and equity option markets for portfolio risk management
Bégin, Jean-François; Boudreault, Mathieu; … - In: The journal of futures markets 44 (2024) 1, pp. 122-147
Persistent link: https://www.econbiz.de/10014475433
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Leveraging Prices from Credit and Equity Option Markets for Portfolio Credit Risk Management
Bégin, Jean-François; Boudreault, Mathieu; … - 2022
This paper presents a firm-specific methodology for extracting implied default intensities and recovery rates jointly from unit recovery claim prices---backed by out-of-the-money put options---and credit default swap premiums, therefore providing time-varying and market-consistent views of...
Persistent link: https://www.econbiz.de/10014238777
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Long memory in option pricing : A fractional discrete-time approach
Augustyniak, Maciej; Badescu, Alexandru; Bégin, … - 2022
This article studies the impact of long memory on volatility modelling and option pricing. We propose a general discrete-time pricing framework based on affine multi-component volatility models that admit ARCH(ccc) representations. This not only nests a large variety of option pricing models...
Persistent link: https://www.econbiz.de/10013406883
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The informational content of high-frequency option prices
Amaya, Diego; Bégin, Jean-François; Gauthier, Geneviève - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2166-2201
Persistent link: https://www.econbiz.de/10013267926
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On general semi-closed-form solutions for VIX derivative pricing
Bacon, Étienne; Bégin, Jean-François; Gauthier, … - In: Quantitative finance 24 (2024) 12, pp. 1875-1882
Persistent link: https://www.econbiz.de/10015196978
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Modeling and forecasting subnational mortality in the presence of aggregated data
Bégin, Jean-François; Sanders, Barbara; Xu, Xueyi - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 4, pp. 882-908
Persistent link: https://www.econbiz.de/10015189605
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A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails : On What Matters
Augustyniak, Maciej; Badescu, Alexandru; Bégin, … - 2021
This article presents a quadratic hedging framework for a general class of discrete-time affine multi-factor models and investigates the extent to which multi-component volatility factors, fat tails, and a non-monotonic pricing kernel can improve the hedging performance. A semi-explicit hedging...
Persistent link: https://www.econbiz.de/10013250655
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Supplementary Material of On the Estimation of Jump-Diffusion Models Using Intraday Data : A Filtering-Based Approach
Bégin, Jean-François; Amaya, Diego; Gauthier, Geneviève - 2021
We adopt a flexible filtering procedure to extract information from high-frequency data. Specifically, we provide a parsimonious framework to integrate realized measures from high frequency index and derivative prices. In a simulation study, we document the incremental information offered by...
Persistent link: https://www.econbiz.de/10013246935
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On complex economic scenario generators : is less more?
Bégin, Jean-François - In: ASTIN bulletin : the journal of the International … 51 (2021) 3, pp. 779-812
Persistent link: https://www.econbiz.de/10012656729
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