Expertise

Stochastic calculus, probability and statistic, mathematical modeling, financial engineering, pricing, risk management, credit risk

Biography

A CIRANO Researcher and Fellow since 1998, Geneviève Gauthier is Full Professor in the Department of Decision Sciences at HEC Montréal. She is also a Member of the Group for Research on Decision Analysis (GERAD).

Holding a Ph.D. in Mathematics from Carleton University, her main fields of research are stochastic calculus, probability, statistics, mathematical modeling, financial engineering, pricing, risk management and credit risk.

[ - ]
[ + ]

CIRANO Publications by Geneviève Gauthier

As an author

1 to 1 of 1 results
CS

Pricing Discretely Monitored Barrier Options by a Markov Chain

Jin-Chuan Duan, Evan Dudley, Geneviève Gauthier and Jean-Guy Simonato

Competition