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Estimation of GARCH process in the presence of structural change
Simonato, Jean-Guy - In: Economics letters 40 (1992) 2, pp. 155-158
Persistent link: https://www.econbiz.de/10001138446
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Dynamic asset allocation with event risk, transaction costs and predictable returns
Simonato, Jean-Guy - In: Mathematics and financial economics 12 (2018) 4, pp. 561-587
Persistent link: https://www.econbiz.de/10011963881
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GARCH processes with skewed and leptokurtic innovations : revisiting the Johnson Su case
Simonato, Jean-Guy - In: Finance research letters 9 (2012) 4, pp. 213-219
Persistent link: https://www.econbiz.de/10009689315
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Maximizing the probability to reach the goal : an exploration exercise in goal-based wealth management
Simonato, Jean-Guy - In: The journal of portfolio management : JPM 49 (2023) 5, pp. 189-207
Persistent link: https://www.econbiz.de/10014307639
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The role of the conditional skewness and kurtosis in VIX index valuation
Lalancette, Simon; Simonato, Jean-Guy - In: European financial management : the journal of the … 23 (2017) 2, pp. 325-354
Persistent link: https://www.econbiz.de/10011713546
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An analytical approximation for the GARCH option pricing model
Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of computational finance 2 (1999) 4, pp. 75-116
Persistent link: https://www.econbiz.de/10001517300
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Estimating and testing exponential-affine term structure models by Kalman filter
Duan, Jin-Chuan; Simonato, Jean-Guy - In: Review of quantitative finance and accounting 13 (1999) 2, pp. 111-135
Persistent link: https://www.econbiz.de/10001445819
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American option pricing under GARCH by a Markov chain approximation
Duan, Jin-Chuan; Simonato, Jean-Guy - In: Journal of economic dynamics & control 25 (2001) 11, pp. 1689-1718
Persistent link: https://www.econbiz.de/10001599252
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Pricing discretely monitored barrier options by a Markov chain
Duan, Jin-Chuan; Dudley, Evan; Gauthier, Geneviève; … - In: The journal of derivatives : the official publication … 10 (2003) 4, pp. 9-31
Persistent link: https://www.econbiz.de/10001781756
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Approximating American option prices in the GARCH framework
Duan, Jin-Chuan; Gauthier, Geneviève; Sasseville, Caroline - In: The journal of futures markets 23 (2003) 10, pp. 915-929
Persistent link: https://www.econbiz.de/10001789593