Frédéric Godin

LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK

Denis‐Alexandre Trottier, Frédéric Godin, Emmanuel Hamel · Astin Bulletin · 2018 · 32 citations

Portfolio Optimization, Financial Economics, Asset Pricing +13

<scp>Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator</scp>

Frédéric Godin, Silvia Mayoral, Manuel Morales · Journal of Risk & Insurance · 2012 · 23 citations · Full text

Mathematical Programming, Large Deviations, Option Pricing +14

Minimizing CVaR in global dynamic hedging with transaction costs

Frédéric Godin · Quantitative Finance · 2015 · 23 citations

Mathematical Programming, Hedging Method, Tail Risk +21

Option pricing under regime-switching models: Novel approaches removing path-dependence

Frédéric Godin, Van Son Lai, Denis‐Alexandre Trottier · Insurance Mathematics and Economics · 2019 · 21 citations

Option Pricing, Asset Pricing, Derivative Pricing +4

Assessing the effectiveness of local and global quadratic hedging under GARCH models

Maciej Augustyniak, Frédéric Godin, Clarence Simard · Quantitative Finance · 2017 · 20 citations

Volatility Modeling, Fischer Black, Financial Risk Management +16