Jean Guy Simonato

Jean Guy Simonato

HEC Montréal École de Gestion - Montreal / Canada
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 653104
École des hautes études commerciales de Montréal
person_outline Jean Guy Simonato's MOST POPULAR ARTICLES
1-) Estimating and testing exponential-affine term structure models by Kalman filterJC Duan, JG SimonatoReview of Quantitative Finance and Accounting 13 (2), 111-135, 1995401*1995
2-) Empirical martingale simulation for asset pricesJC Duan, JG SimonatoManagement Science 44 (9), 1218-1233, 19982691998
3-) American option pricing under GARCH by a Markov chain approximationJC Duan, JG SimonatoJournal of Economic Dynamics and Control 25 (11), 1689-1718, 20012102001
4-) An analytical approximation for the GARCH option pricing modelJC Duan, G Gauthier, JG SimonatoJournal of Computational Finance 2 (4), 75-116, 19971571997
5-) On the equivalence of the KMV and maximum likelihood methods for structural credit risk modelsJC Duan, G Gauthier, JG Simonato, ...Groupe d\'études et de recherche en analyse des décisions, 20051562005