Dominique Guégan
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Documents
Identifiants chercheurs
- dominique-guegan
- IdRef : 026905809
- 0000-0003-4214-1429
- ISNI : 0000000029418727
Présentation
Dominique Guégan is currently Emeritus Professor of Mathematics at the [University Paris1 Panthéon – Sorbonne](http://centredeconomiesorbonne.univ-paris1.fr/presentation/emerites/) inside the CNRS Research Laboratory CES (Centre d’Economie de la Sorbonne). Her domains of research are: Financial regulation – Fintech technology (Blockchain, big data, HFT) - non-linear econometrics modelling - Extreme value theory and risk measures in finance - pricing theory in incomplete markets- Deterministic dynamical systems. She belongs to the [LaBex ReFi](http://www.labex-refi.com/publications/working-papers/labex-refi-working-paper-series-2018/) (Financial regulation). She is an associate researcher to [University Ca’Foscari in Venezia](http://www.unive.it/pag/16868/).
She has already supervised 37 PhD in economics and mathematics. She currently supervised 2 thesis. She has already published 11 books in statistics theory, time series and finance, participate for chapters in 30 books , and published more than130 academic papers . She is regularly invited in universities around the world to give seminars or lectures for long stays in Italy (Venezia , Firenze, Padova ), in Danemark (Arrhus), in The Netherlands (Rotterdam), in Belgium (Louvain), in Germany (Berlin ), in Great Britain (London, Warwick), in Russia (HCE Moscou), in Hong Kong University, in China (Shanghai , Beijing, Tianjin), in Manilla, in Japan (Tokyo), in India (Calcutta, New Delhi), in Australia (Sydney, Brisbane, Melbourne), in New Zealand, in Canada (Montreal), in Brazil ( Porto Alegre, Rio) .
She also participates to several international projects supported by French government, or European Commission, or International institutions. These projects focus on the financial regulation, the measures of risks and the decisions of Basel committee in Europe, the Fintech industry, the development of long term risks and the way to take them into account both for bankers, insurance companies and individuals, the importance of systemic risks with the actual financial crisis and the globalization of the markets. These projects link the research and the works of several academic teams inside French universities, European universities, North American Universities, and also enterprises.
She is nominated, since August 2018, Associated Editor in the [Journal ](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity)[Frontiers in Artificial Intelligence](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity) for the section
Artificial Intelligence in Finance.
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Testing for leverage effects in the returns of US equitiesJournal of Empirical Finance, 2018, 48, pp.290-306. ⟨10.1016/j.jempfin.2018.07.008⟩
Article dans une revue
halshs-01917590v1
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Option Pricing for GARCH-type Models with Generalized Hyperbolic InnovationsQuantitative Finance, 2012, 12 (7), pp.1079-1094. ⟨10.1080/14697688.2010.493180⟩
Article dans une revue
hal-00511965v1
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Martingalized Historical approach for Option PricingFinance Research Letters, 2010, 7 (1), pp.24-28. ⟨10.1016/j.frl.2009.11.002⟩
Article dans une revue
halshs-00437927v1
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A time series approach to option pricing: Models, Methods and Empirical PerformancesSpringer, 2015
Ouvrages
hal-01015308v1
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Testing for Leverage Effects in the Returns of US Equities2017
Autre publication scientifique
halshs-00973922v2
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Option pricing for GARCH-type models with generalized hyperbolic innovations2010
Autre publication scientifique
halshs-00469529v1
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Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes2010
Autre publication scientifique
halshs-00523371v1
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Martingalized Historical approach for Option Pricing2009
Autre publication scientifique
halshs-00376756v1
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Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results2008
Autre publication scientifique
hal-00308687v1
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Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology2008
Autre publication scientifique
halshs-00281585v1
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