Jean-Guy Simonato

Publication Activity (10 Years)

Years Active: 2001-2017
Publications (10 Years): 1

Top Topics

State Variables

Stochastic Dynamic

Investment Decisions

Simulation Model

Top Venues

Comput. Oper. Res.

Eur. J. Oper. Res.

Publications

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 (2017)
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) (2013)
Geneviève Gauthier, Jean-Guy Simonato
Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates. Eur. J. Oper. Res. 219 (2) (2012)
Jin-Chuan Duan, Geneviève Gauthier, Jean-Guy Simonato
Asymptotic Distribution of the EMS Option Price Estimator. Manag. Sci. 47 (8) (2001)