Geneviève Gauthier

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Moody’s KMV method is a popular commercial implementation of the structural credit risk model pioneered by Merton (1974). It is an algorithm for estimating the unobserved asset value and the unknown parameters required for implementing such a model. This estimation method has found its way to the recent academic literature, but it has not yet been formally(More)
We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and time-varying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework for pricing discretely monitored barrier options because the(More)
BACKGROUND Patients treated with epidermal growth factor receptor inhibitors (EGFRIs) may develop dermatologic adverse drug reactions (ADRs) that may affect patients' quality-of-life, require medical care, and may lead to substantial costs. This study assessed the economic burden of dermatologic ADRs in colorectal cancer (CRC), head and neck cancer (HNC),(More)
The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. We propose an Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday Monte Carlo simulation. An UHF-GARCH model extending the framework of Engle (2000) is used to specify the joint(More)
In Duan, Gauthier and Simonato (1999), an analytical approximate formula for European options in the GARCH framework was developed. The formula is however restricted to the nonlinear asymmetric GARCH model. This paper extends the same approach to two other important GARCH specifications GJR-GARCH and EGARCH. We provide the corresponding formulas and study(More)
This paper proposes an efficient approach for computing the prices of American style options in the GARCH framework. Rubinstein’s (1998) Edgeworth tree idea is combined with the analytical formulas for moments of the cumulative return under GARCH developed in Duan et al. (1999, 2002) to yield a simple recombining binomial tree for option valuation in the(More)
INTRODUCTION This study aimed to describe treatment changes (discontinuation, switching, and therapy add-on) following the initiation of biologic or nonbiologic oral disease-modifying antirheumatic drugs (DMARDs) in psoriatic arthritis (PsA) patients. METHODS Adult patients with ≥2 PsA diagnoses from physician office visits, initiated on a biologic or(More)
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a general regimeswitching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal hedging strategy. Numerical experiments comparing this and other(More)
BACKGROUND Little is known about how women who receive an inconclusive result from BRCA1/2 testing interpret their result. Clinical observations suggest that some of them may be falsely reassured and, consequently, may not adhere to recommended surveillance. The purpose of this study is to evaluate whether women with inconclusive BRCA1/2 test results are(More)
PURPOSE The aim of this study was to investigate tumor characteristics, treatment patterns, and outcomes in recurrent KIT + GIST patients treated in a community practice setting. METHODS An online tool was used to retrieve data on 410 patients treated with adjuvant imatinib mesylate (IM) for primary resectable KIT + GIST, who discontinued, had a(More)