Dr Laurent Gauthier

Formation Académique

1996-2002 Doctorat de Mathématiques Appliquées - Paris-1 Panthéon Sorbonne
Thèse : “Real Options and Exotic Options, A Probabilistic Approach” (M. Chesney et E. Jouini)
1995-1996 DEA (partiel) Modélisation et Méthodes Mathématiques en Économie - Paris-1 Panthéon Sorbonne
Mémoire : “Hedging Non-convex Positions with Transaction Costs” (E. Jouini)
1994-1996 Programme Doctoral HEC - HEC Paris
Suivi du programme en finance et économie
1994-1995 DEA de Calcul Stochastique - Paris-6 UPMC
Mémoire : “Sujets de réflexion sur le Mouvement Brownien” (M. Yor)
1993-1994 DEA de Probabilités Appliquées - Paris-6 UPMC
Mémoire : “Valorisation des BOOSTS” (N. El Karoui)
1991-1994 Diplôme Edhec - Majeure Finance - Edhec Lille
Mémoire : “Couverture du risque économique” (P. Rousseau)

Publications Académiques

Gauthier, L and E Rouzeau (1997). New Approaches to Corporate Forex Exposure. Economic and Financial Computing 7(4).
Gauthier, L and E Morellec (1999). Noisy Investment Decision: A Note. Finance 20(2).
Banerjee, S, L Gauthier, W Tan, and D Zhu (2000). A Study of RASC Subprime Loan Prepayments, Delinquencies, and Losses. The Journal of Fixed Income 10(3).
Gauthier, L and E Morellec (2000). “Investment Under Uncertainty and Implementation Delay”. In: New Developments and Applications in Real Options. Ed. by L Trigeorgis. Oxford University Press.
Fabozzi, F, L Gauthier, and S Ramamurthy (2001). “Analysis of ABS”. In: Investing in Asset-Backed Securities. Ed. by F Fabozzi. John Wiley & Sons.
Gauthier, L (2001). A Transaction Cost Convergence Result for General Hedging Strategies. Stochastic Models 17(3).
Gauthier, L (2001). Another Look at Home Equity Loan Prepayments. The Journal of Fixed Income 10(4).
Chaudhary, S and L Gauthier (2002). Jumbo Hybrid ARM Securities. The Journal of Fixed Income 11(4).
Gauthier, L (2002). Hedging Entry and Exit Decisions: Activating and Deactivating Barrier Options. Journal of Applied Mathematics and Decision Sciences 6(1).
Gauthier, L (2002). Excursions Height- and Length-Related Stopping Times, and Application to Finance. Advances in Applied Probability 34(4).
Gauthier, L (2003). Informed Opportunistic Trading and Price Optimal Control. International Journal of Theoretical and Applied Finance 6(1).
Gauthier, L (2003). Market-Implied Losses and Non-Agency Subordinated MBS. The Journal of Fixed Income 13(1).
Gauthier, L and L Goodman (2003). “Risk/Return Trade-Offs on Fixed Income Asset Classes”. In: Professional Perspectives on Fixed Income Portfolio Management, Vol. 4. Ed. by F Fabozzi. John Wiley & Sons.
Chesney, M and L Gauthier (2006). American Parisian Options. Finance and Stochastics 10(4).
Gauthier, L (2006). “Analysis of Clean-up Calls”. In: The Handbook of Mortgage-Backed Securities, 6th Edition. Ed. by F Fabozzi. McGraw-Hill Education.
Gauthier, L and T Zimmerman (2006). “Mortgage Credit Quantified”. In: The Handbook of Mortgage-Backed Securities, 6th Edition. Ed. by F Fabozzi. McGraw-Hill Education.
Gauthier, L (2014). A Fixed-Income Market View of Mortgage REIT Valuations. The Journal of Fixed Income 23(4).
Gauthier, L (2020). Securitization Economics: Deconstructing the Economic Foundations of Asset Securitization. Springer Texts in Business and Economics. Springer Verlag.