Frédéric Godin - Publications, H-index & Citations

Frédéric Godin

hec montreal

9H指数

88论文数

286被引数

收录论文 9

发表时间

Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management 标的资产及其隐含波动率曲面的联合动态：期权风险管理的一种新方法

Journal of Futures Markets

IF2.3

2025-12-01

PREAI

Francois, Pascal; Galarneau-Vincent, Remi; Gauthier, Genevieve; Godin, Frederic

Estimation of generalized tail distortion risk measures with applications in reinsurance 广义尾部失真风险测度的估计及其在再保险中的应用

Scandinavian Journal of Statistics

IF1

2025-11-01

PREAI

Bairakdar, Roba; Godin, Frederic; Mailhot, Melina; Yang, Fan

Distributional forecasting of electricity DART spreads with a covariate-dependent mixture model 基于协变量依赖混合模型的电力DART价差的分布预测

ENERGY ECONOMICS

IF14.2

2025-04-01

PREAI

Forgetta, Anthony; Godin, Frederic; Augustyniak, Maciej

Is the difference between deep hedging and delta hedging a statistical arbitrage?深对冲与德尔塔对冲之间的差异是否构成统计套利？

FINANCE RESEARCH LETTERS

IF6.9

2025-03-01

OAAI

Francois, Pascal; Gauthier, Genevieve; Godin, Frederic; Mendoza, Carlos Octavio Perez

Pricing inconsistency between the futures and Financial Transmission Right markets in North America☆

ENERGY ECONOMICS

IF14.2

2023-10-01

PREAI

Gauthier, Genevieve; Godin, Frederic; Trudeau, Gabrielle

Foreseeing the worst: Forecasting electricity DART spikes 预见最坏的情况: 预测飞镖峰值

ENERGY ECONOMICS

IF14.2

2023-03-01

PREAI

Galarneau-Vincent, Remi; Gauthier, Genevieve; Godin, Frederic

An analysis of electricity congestion price patterns in North America

ENERGY ECONOMICS

IF14.2

2021-10-01

PREAI

Godin, Frederic; Ibrahim, Zinatu

A characterization of CAT bond performance indices

FINANCE RESEARCH LETTERS

IF6.9

2019-03-01

PREAI

Trottier, Denis-Alexandre; Lai, Van Son; Godin, Frederic

Optimal hedging when the underlying asset follows a regime-switching Markov process 标的资产遵循制度转换马尔可夫过程时的最优套期保值

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

IF6

2014-08-01

OAAI

Francois, Pascal; Gauthier, Genevieve; Godin, Frederic

研究方向