Jean-François Bégin

Publication Activity (10 Years)

Years Active: 2015-2022
Publications (10 Years): 3

Top Topics

Diffusion Models

Nonlinear Filters

Top Venues

Monte Carlo Methods Appl.

SIAM J. Financial Math.

J. Comput. Graph. Stat.

Publications

Diego Amaya, Jean-François Bégin, Geneviève Gauthier
The Informational Content of High-Frequency Option Prices. Manag. Sci. 68 (3) (2022)
Jean-François Bégin, Mathieu Boudreault
Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters. J. Comput. Graph. Stat. 30 (2) (2021)
Jean-François Bégin, Diego Amaya, Geneviève Gauthier, Marie-Ève Malette
On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach. SIAM J. Financial Math. 11 (4) (2020)
Jean-François Bégin, Mylène Bédard, Patrice Gaillardetz
Simulating from the Heston model: A gamma approximation scheme. Monte Carlo Methods Appl. 21 (3) (2015)