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Author

Jean-François Bégin

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Open access Oct 2026

ON THE RELATION BETWEEN DISCRETE- AND CONTINUOUS-TIME AFFINE OPTION PRICING MODELS

This article studies the weak convergence of discrete-time generalized autoregressive conditional heteroskedasticity (GARCH) and stochastic volatility (SV) option pricing models that allow for fat tails, multi-component volatilities, and non-monotonic pricing kernels. We introduce a general affine framework that enable...

Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin et al. · 0 citations
Preprint Sep 2026

Assessing the impact of climate change and rising temperatures on life insurance portfolios

Climate change may materially affect long-term life insurance liabilities by altering both the level and seasonal pattern of mortality. This article develops a multi-population mortality framework that combines a Hermite spline model with a distributed lag non-linear model to capture age-, region-, and temperature-spec...

Jia-Cheng Min, Han Li, Jean-François Bégin et al. · 0 citations

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