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Publications

by members of

Service de l'Enseignement de la Finance
HEC Montréal (École des Hautes Études Commerciales)
Montréal, Canada

(Finance Teaching Service, HEC Montreal Business School))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

Undated material is listed at the end

2013

  1. M. Martin Boyer & Théodora Dupont-Courtade, 2013. "The Market for Reinsurance," CIRANO Working Papers, CIRANO 2013s-06, CIRANO.
  2. M. Martin Boyer, 2013. "Underwriting Apophenia and Cryptids: Are Cycles Statistical Figments of our Imagination?," CIRANO Working Papers, CIRANO 2013s-07, CIRANO.

2012

  1. M. Martin Boyer & Lars Peter Stentoft, 2012. "If we can simulate it, we can insure it: An application to longevity risk management," CIRANO Working Papers, CIRANO 2012s-08, CIRANO.
  2. M. Martin Boyer, 2012. "Insurer Information, Insiders and Initial Public Offering," CIRANO Working Papers, CIRANO 2012s-30, CIRANO.
  3. Jeroen Rombouts & Lars Peter Stentoft & Francesco Violente, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers, CIRANO 2012s-05, CIRANO.
  4. Maxence Soumare & Jørgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Guegan & Justin Leroux & Michel Miniconi & Lars Stentoft, 2012. "A theoretical framework for trading experiments," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00768898, HAL.

2011

  1. M. Martin Boyer & Joanna Mejza & Lars Peter Stentoft, 2011. "Measuring Longevity Risk for a Canadian Pension Fund," CIRANO Working Papers, CIRANO 2011s-43, CIRANO.
  2. Marcel Boyer & M. Martin Boyer & René Garcia, 2011. "Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management," CIRANO Working Papers, CIRANO 2011s-48, CIRANO.
  3. M. Martin Boyer & Charles M. Nyce, 2011. "An Industrial Organization Theory of Risk Sharing," CIRANO Working Papers, CIRANO 2011s-78, CIRANO.
  4. Lars Stentoft, 2011. "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers 2011-34, School of Economics and Management, University of Aarhus.
  5. Lars Stentoft, 2011. "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers 2011-52, School of Economics and Management, University of Aarhus.

2010

  1. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers 2010-19, School of Economics and Management, University of Aarhus.
  2. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers 2010-44, School of Economics and Management, University of Aarhus.

2009

  1. Martin Boyer & Karine Gobert, 2009. "Professional Liability Insurance Contracts: Claims Made Versus Occurrence Policies," Cahiers de recherche, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke 09-03, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
  2. M. Martin Boyer & Amandine Hanon, 2009. "Protecting Directors and Officers from Liability Arising from Aggressive Earnings Management," CIRANO Working Papers, CIRANO 2009s-35, CIRANO.
  3. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, School of Economics and Management, University of Aarhus.

2008

  1. Patricia Born & M. Martin Boyer, 2008. "Claims-Made and Reported Policies and Insurer Profitability in Medical Malpractice," CIRANO Working Papers, CIRANO 2008s-13, CIRANO.
  2. Patricia Born & M. Martin Boyer, 2008. "Risk Retention Groups in Medical Malpractice Insurance: A Test of the Federal Chartering Option," CIRANO Working Papers, CIRANO 2008s-14, CIRANO.
  3. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, School of Economics and Management, University of Aarhus.
  4. Lars Stentoft, 2008. "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers 2008-41, School of Economics and Management, University of Aarhus.

2007

  1. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007. "A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors," Cahiers de recherche, CIRPEE 0741, CIRPEE.
  2. Martin Boyer & Karine Gobert, 2007. "The Impact of Switching Costs on Vendor Financing," Cahiers de recherche, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke 07-18, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.

2006

  1. M. Martin Boyer & Simon van Norden, 2006. "Exchange Rates and Order Flow in the Long Run," CIRANO Working Papers, CIRANO 2006s-07, CIRANO.

2005

  1. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2005. "Default Risk in Corporate Yield Spreads," Cahiers de recherche, CIRPEE 0532, CIRPEE.
  2. Marcel Boyer & M. Martin Boyer & René Garcia, 2005. "The Value of Real and Financial Risk Management," CIRANO Working Papers, CIRANO 2005s-38, CIRANO.

2004

  1. M. Martin Boyer & Hernan Ortiz Molina, 2004. "Career Concerns of Top Executives, Managerial Ownership and CEO Succession," CIRANO Working Papers, CIRANO 2004s-34, CIRANO.
  2. M. Martin Boyer, 2004. "Is the Demand for Corporate Insurance a Habit? Evidence of Organizational Inertia from Directors' and Officers' Insurance," CIRANO Working Papers, CIRANO 2004s-33, CIRANO.
  3. M. Martin Boyer, 2004. "On the Use of Hierarchies to Complete Contracts when Players Have Limited Abilities," CIRANO Working Papers, CIRANO 2004s-41, CIRANO.
  4. M. Martin Boyer & Didier Filion, 2004. "Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies," CIRANO Working Papers, CIRANO 2004s-62, CIRANO.

2003

  1. M. Martin Boyer, 2003. "Directors' and Officers' Insurance and Shareholders' Protection," CIRANO Working Papers, CIRANO 2003s-64, CIRANO.
  2. M. Martin Boyer & Jörg Schiller, 2003. "Merging Automobile Insurance Regulatory Bodies: The Case of Atlantic Canada," CIRANO Working Papers, CIRANO 2003s-70, CIRANO.
  3. M. Martin Boyer, 2003. "Is the Demand for Corporate Insurance a Habit? Evidence from Directors' and Officers' Insurance," CIRANO Working Papers, CIRANO 2003s-42, CIRANO.
  4. Boyer, M. Martin & Schiller, Jörg, 2003. "Merging automobile regulatory bodies: The case of Atlantic Canada," Working Papers on Risk and Insurance 11, University of Hamburg, Institute for Risk and Insurance.

2002

  1. Jin-Chuan Duan & Genevieve Gauthier & Caroline Sasseville & Jean-Guy Simonato, 2002. "Seize the Moments: Approximating American Option Prices in the GARCH Framework," Finance, EconWPA 0206005, EconWPA.
  2. Paul André & M. Martin Boyer & Robert Gagné, 2002. "Do CEOs Exercise Their Stock Options Earlier than Other Executives?," CIRANO Working Papers, CIRANO 2002s-71, CIRANO.
  3. M. Martin Boyer & Mathieu Delvaux-Derome, 2002. "The Demand for Directors' and Officers' Insurance in Canada," CIRANO Working Papers, CIRANO 2002s-72, CIRANO.
  4. M. Martin Boyer & Charles M. Nyce, 2002. "Banks as Insurance Referral Agents? The Convergence of Financial Services: Evidence from the Title Insurance Industry," CIRANO Working Papers, CIRANO 2002s-78, CIRANO.

2001

  1. M. Martin Boyer & Pierre Thomas Léger, 2001. "Inflation as a Strategic Response," CIRANO Working Papers, CIRANO 2001s-26, CIRANO.
  2. M. Martin Boyer, 2001. "Project Financing when the Principal Cannot Commit," CIRANO Working Papers, CIRANO 2001s-29, CIRANO.
  3. M. Martin Boyer, 2001. "Contracting under Ex Post Moral Hazard and Non-Commitment," CIRANO Working Papers, CIRANO 2001s-30, CIRANO.
  4. M. Martin Boyer, 2001. "Resistance is Futile: An Essay in Crime and Commitment," CIRANO Working Papers, CIRANO 2001s-58, CIRANO.
  5. M. Martin Boyer & Patrick González, 2001. "Compensation and Auditing with Correlated Information," CIRANO Working Papers, CIRANO 2001s-59, CIRANO.
  6. M. Martin Boyer & Karine Gobert, 2001. "Dynamic Prevention in Short Term Insurance Contracts," CIRANO Working Papers, CIRANO 2001s-69, CIRANO.

2000

  1. M. Martin Boyer & Patrick Gonzalez, 2000. "Optimal Audit Policies with Correlated Types," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1514, Econometric Society.

1999

  1. Jin-Chuan Duan & Evan Dudley & Geneviève Gauthier & Jean-Guy Simonato, 1999. "Pricing Discretely Monitored Barrier Options by a Markov Chain," CIRANO Working Papers, CIRANO 99s-15, CIRANO.
  2. Boyer, M., 1999. "Media Attention, Insurance Regulation and Liability Insurance," Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. 99-05, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..

1998

  1. Duan, J.-C. & Simonato, J.-G., 1998. "The Estimation of Deposit Insurance with Interest Rate Risk," Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. 98-07, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
  2. Boyer, M.M., 1998. "Poll Subsidy and Excise Tax," Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. 98-13, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
  3. Nyce, C. & Boyer, M.M., 1998. "An Analysis of the Title Insurance Industry," Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. 98-14, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..

1995

  1. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers, CIRANO 95s-43, CIRANO.
  2. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter," CIRANO Working Papers, CIRANO 95s-44, CIRANO.

Undated

  1. Jin-Chuan Duan & Technology & Jean-Guy Simonato, . "American GARCH Option Pricing by a Markov Chain Approximation," Computing in Economics and Finance 1997, Society for Computational Economics 131, Society for Computational Economics.

Journal articles

2014

  1. Boyer, Martin, 2014. "Directors’ and officers’ insurance and shareholder protection," Journal of Financial Perspectives, EY Global FS Institute, EY Global FS Institute, vol. 2(1), pages 107-128.
  2. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 78-98.
  3. Pascal Létourneau & Lars Stentoft, 2014. "Refining the least squares Monte Carlo method by imposing structure," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(3), pages 495-507, March.
  4. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 588-605.

2013

  1. M. Martin Boyer & Monica Marin, 2013. "Financial Distress Risk and the Hedging of Foreign Currency Exposure," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1350002-1-1.
  2. Boyer, M. Martin & Stentoft, Lars, 2013. "If we can simulate it, we can insure it: An application to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 35-45.
  3. Marcel Boyer & M. Martin Boyer & René Garcia, 2013. "Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1350009-1-1.

2012

  1. Boyer, M. Martin & Stern, Léa H., 2012. "Is corporate governance risk valued? Evidence from directors' and officers' insurance," Journal of Corporate Finance, Elsevier, Elsevier, vol. 18(2), pages 349-372.
  2. M. Martin Boyer & Eric Jacquier & Simon Van Norden, 2012. "Are Underwriting Cycles Real and Forecastable?," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 79(4), pages 995-1015, December.

2011

  1. Patricia Born & M. Martin Boyer, 2011. "Claims‐Made and Reported Policies and Insurer Profitability in Medical Malpractice," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 78(1), pages 139-162, 03.
  2. Assoé, Kodjovi & Boyer, Martin, 2011. "Le marché des transporteurs aériens canadiens : une étude clinique en organisation industrielle," L'Actualité Economique, Société Canadienne de Science Economique, Société Canadienne de Science Economique, vol. 87(3), pages 301-335, septembre.
  3. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(9), pages 2267-2281, September.
  4. Stentoft, Lars, 2011. "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(5), pages 880-902.

2009

  1. Martin Boyer, M. & Gobert, Karine, 2009. "The impact of switching costs on vendor financing," Finance Research Letters, Elsevier, Elsevier, vol. 6(4), pages 236-241, December.

2008

  1. M. Martin Boyer & Karine Gobert, 2008. "Dynamic Prevention in Short-Term Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 75(2), pages 289-312.
  2. M. Martin Boyer & Hernán Ortiz-Molina, 2008. "Career Concerns of Top Executives, Managerial Ownership and CEO Succession," Corporate Governance: An International Review, Wiley Blackwell, Wiley Blackwell, vol. 16(3), pages 178-193, 05.
  3. Lars Stentoft, 2008. "American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 540-582, Fall.

2007

  1. Boyer, M. Martin & Filion, Didier, 2007. "Common and fundamental factors in stock returns of Canadian oil and gas companies," Energy Economics, Elsevier, Elsevier, vol. 29(3), pages 428-453, May.
  2. M. Martin Boyer, 2007. "Resistance (to Fraud) Is Futile," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 74(2), pages 461-492.

2006

  1. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, Elsevier, vol. 3(4), pages 235-243, December.
  2. M. Martin Boyer, 2006. "The Impact of Media Attention: Evidence From the Automobile Insurance Industry," Journal of Media Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(3), pages 193-220.

2005

  1. Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(4), pages 576-611, September.

2004

  1. M. Boyer & Patrick González, 2004. "Optimal audit policies with correlated types," Economic Theory, Springer, Springer, vol. 24(2), pages 325-334, August.
  2. M. Martin Boyer, 2004. "Overcompensation as a Partial Solution to Commitment and Renegotiation Problems: The Case of "Ex Post" Moral Hazard," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 71(4), pages 559-582.
  3. Lars Stentoft, 2004. "Assessing the Least Squares Monte-Carlo Approach to American Option Valuation," Review of Derivatives Research, Springer, Springer, vol. 7(2), pages 129-168, 08.
  4. Brendstrup, Bjarne & Hylleberg, Svend & Nielsen, Morten Rregaard & Skipper, Lars & Stentoft, Lars, 2004. "Seasonality In Economic Models," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 8(03), pages 362-394, June.
  5. Lars Stentoft, 2004. "Convergence of the Least Squares Monte Carlo Approach to American Option Valuation," Management Science, INFORMS, INFORMS, vol. 50(9), pages 1193-1203, September.

2003

  1. M. Boyer, 2003. "Contracting under ex post moral hazard and non-commitment," Review of Economic Design, Springer, Springer, vol. 8(1), pages 1-38, August.

2002

  1. Duan, Jin-Chuan & Simonato, Jean-Guy, 2002. "Maximum likelihood estimation of deposit insurance value with interest rate risk," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(1), pages 109-132, January.

2001

  1. Duan, Jin-Chuan & Simonato, Jean-Guy, 2001. "American option pricing under GARCH by a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 25(11), pages 1689-1718, November.

2000

  1. Boyer, M Martin, 2000. " Insurance Taxation and Insurance Fraud," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 2(1), pages 101-34.
  2. M. Martin Boyer, 2000. "Centralizing Insurance Fraud Investigation*," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 25(2), pages 159-178, December.

1999

  1. Duan, Jin-Chuan & Simonato, Jean-Guy, 1999. " Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 13(2), pages 111-35, September.

1993

  1. Raynauld, Jacques & Simonato, Jean-Guy, 1993. "Seasonal BVAR models : A search along some time domain priors," Journal of Econometrics, Elsevier, Elsevier, vol. 55(1-2), pages 203-229.

1992

  1. Simonato, Jean-Guy, 1992. "Estimation of GARCH process in the presence of structural change," Economics Letters, Elsevier, Elsevier, vol. 40(2), pages 155-158, October.