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Jean-Guy Simonato

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2010 – 2019

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2017
[j4]
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  - journals/cor/DenaultS17
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Michel Denault, Jean-Guy Simonato:
Dynamic portfolio choices by simulation-and-regression: Revisiting the issue of value function vs portfolio weight recursions. Comput. Oper. Res. 79: 174-189 (2017)
2013
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Michel Denault, Jean-Guy Simonato, Lars Stentoft:
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables. Comput. Oper. Res. 40(11): 2760-2769 (2013)
2012
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  - journals/eor/GauthierS12
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Geneviève Gauthier, Jean-Guy Simonato:
Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates. Eur. J. Oper. Res. 219(2): 442-451 (2012)

2000 – 2009

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2001
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Jin-Chuan Duan, Geneviève Gauthier, Jean-Guy Simonato:
Asymptotic Distribution of the EMS Option Price Estimator. Manag. Sci. 47(8): 1122-1132 (2001)

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