Concepedia
Statistics
Publications
27
Citations
1.5K
H-Index
19
Active since
1992
Affiliations
HEC Montréal(Current)
Hong Kong University of Science and Technology
University of Toronto
Group for Research in Decision Analysis
National University of Singapore
Jean‐Guy Simonato is an author at HEC Montréal specializing in business, finance, and asset pricing.
Top concepts
BusinessFinanceAsset PricingStatisticsEngineeringEconomicsOption PricingFinancial EngineeringManagementVolatility Modeling
Publications per year
1992–2017
Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter
Jin‐Chuan Duan, Jean‐Guy Simonato · Review of Quantitative Finance and Accounting · 1999 · 283 citations
Empirical Martingale Simulation for Asset Prices
Jin‐Chuan Duan, Jean‐Guy Simonato · Management Science · 1998 · 214 citations
Stochastic Simulation, Option Pricing, Volatility Modeling +14
American option pricing under GARCH by a Markov chain approximation
Jin‐Chuan Duan, Jean‐Guy Simonato · Journal of Economic Dynamics and Control · 2001 · 161 citations
Option Pricing, Computational Finance, Asset Pricing +5
An analytical approximation for the GARCH option pricing model
Jin‐Chuan Duan, Geneviève Gauthier, Jean‐Guy Simonato · The Journal of Computational Finance · 1999 · 101 citations
Mathematical Programming, Option Pricing, Volatility Modeling +11
On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models
Jin‐Chuan Duan, Jean‐Guy Simonato · Les Cahiers du GERAD · 2005 · 88 citations
Empirical Finance, Financial Risk Management, Risk Metric +22
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