Past publications by Dr. Gauthier in refereed journals or books, focused on securitization
A Study of RASC Subprime Loan Prepayments, Delinquencies and Losses, The Journal of Fixed Income, December 2000; with S. Banerjee, W. Tan, D. Zhu. This article presented an in-depth study of the loan-level prepayment and default behavior of the sub-prime loans on the RASC shelf. http://www.iijournals.com/doi/abs/10.3905/jfi.2000.319278
Another Look at Home Equity Prepayments, The Journal of Fixed Income, March 2001. This article proposed an analysis of home-equity / sub-prime prepayments using a multidimensional smoothing approach, where the drivers were prepayment incentives and seasoning. http://www.iijournals.com/doi/abs/10.3905/jfi.2001.319283?journalCode=jfi
Jumbo Hybrid ARM Securities: A Comprehensive Introduction, The Journal of Fixed Income, March 2002; with S. Chaudhary. This article offered an overview of the prepayment behavior of jumbo hybrid-ARMs as well as innovative methods to price the tail cash flow of these products. http://www.iijournals.com/doi/abs/10.3905/jfi.2002.319312
Market-Implied Losses and Non-Agency Subordinated MBS, The Journal of Fixed Income, June 2003. This seminal work proposed a unified
method to value non-agency credit sensitive bonds using loss distributions as opposed to single scenarios (the then prevailing method). The approach allowed for the proper valuation of a large variety of structures. The loss distributions could be calibrated to market prices. http://www.iijournals.com/doi/abs/10.3905/jfi.2003.319346?journalCode=jfi
Risk/Return Trade-Offs on Fixed Income Asset Classes, in Professional Perspectives on Fixed Income Portfolio Management, Volume 4, Ed. F. Fabozzi; with L. Goodman. Using historical total-return data on several fixed-income asset classes, this paper proposed to measure their risks and in particular attribute their performance to several drivers. http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0471268054.html
Mortgage Credit Quantified, in Handbook of Mortgage Backed Securities, 6th edition, Ed. F. Fabozzi; with T. Zimmerman. This chapter offered a detailed analysis of what constitutes non-agency mortgage loans, and how their characteristics interact in driving prepayment and credit performance. http://laurel.lso.missouri.edu:2083/iii/encore/record/C__Rb20515839__S%2...
Analysis of Cleanup Calls, in Handbook of Mortgage Backed Securities, 6th edition, Ed. F. Fabozzi. This book chapter proposes to attribute cleanup call decisions to two drivers: rates and credit. It illustrates how historically, and before the credit crisis, cleanup call decisions were directional. The true cost of a cleanup call, as a short option position affecting a bond, can then be measured properly. http://laurel.lso.missouri.edu:2083/iii/encore/record/C__Rb20515839__S%2...
Analysis of ABS, in Investing in Asset Backed Securities, Ed. F. Fabozzi; with F. Fabozzi and S. Ramamurthy. This article proposes to value mortgage asset-backed securities following an option-adjusted spread approach, valid in non-credit constrained environments. https://books.google.de/books?id=OL5e45O2NmUC&printsec=frontcover&hl=de&...
A Fixed-Income Market View of Mortgage REIT Valuations, The Journal of Fixed Income, April 2014. This seminal research paper introduced the systematic modeling of all assets and liabilities in a mortgage REIT, in such a way as to make the analysis of stocks directly comparable with RMBS. This research also shed some light on the fundamental sources of mREIT returns. http://www.iijournals.com/doi/abs/10.3905/jfi.2014.23.4.006?journalCode=jfi
Past publications by Dr. Gauthier in refereed journals on mathematical finance
Noisy Information and Investment Decisions; A Note, Finance, No. 2, 1999; with E. Morellec. This article looked into the use of delay in optimal investment decision in cases when there is noisy information on the underlying dynamics.
A Transaction Cost Convergence Result for General Hedging Strategies, Stochastic Models, No. 3, 2001. This paper derived a general expression for derivatives values in the presence of transaction costs.
Excursions Height- and Length-related Stopping Times, and Application to Finance, Advances in Applied Probability, No. 4, 2002. This article used excursion theory in order to derive closed form expressions for optimal investment decisions in the case of delays.
Hedging Entry and Exit Decisions: Activating and Deactivating Barrier Options, Journal of Applied Mathematics and Decision Sciences, No. 1, 2002. This paper derives closed form expressions for options with an activating and a deactivating barrier at the same time, which can be used to represent investment entry and exit decisions.
Informed Opportunistic Trading and Price Optimal Control, International Journal of Theoretical and Applied Finance, No 1, 2003. This paper measures the impact of informed trading on the underlying securities’ dynamics, using controlled Brownian Motion.
American Parisian Options, Finance and Stochastics, No. 10, 2006; with M. Chesney. In this article, we looked at a probability-based valuation of Parisian options that can be exercised at any time. These options can represent optimal investment decision in a duopolistic situation.
Past Wall Street publications by Dr. Gauthier
Literally countless Wall Street publications, but preciously few can be found online. Below are a few examples
An Introduction to CMOs
http://doc.mbalib.com/view/87a3b04677d41127ced6adfcdd5379c5.html
Home Equity Handbook
https://www.scribd.com/document/57526707/Primer-2005#
And in our resources section, see older examples of Street research publications (mostly for students).