Stéphane Goutte

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
MCDA strategies for portfolio optimization: a case study on Vietnamese stock market dynamics Annals of Operations Research	2025-12-18	Paper
On the estimation of regime-switching Lévy models Studies in Nonlinear Dynamics & Econometrics	2023-03-30	Paper
Optimal risk management problem of natural resources: application to oil drilling Annals of Operations Research	2021-05-05	Paper
Optimal strategy between extraction and storage of crude oil Annals of Operations Research	2020-01-20	Paper
A switching microstructure model for stock prices Mathematics and Financial Economics	2019-07-08	Paper
Regime-switching stochastic volatility model: estimation and calibration to VIX options Applied Mathematical Finance	2018-04-06	Paper
Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching Annals of Operations Research	2018-02-16	Paper
Statistical method to estimate a regime-switching Lévy model Springer Proceedings in Mathematics & Statistics	2016-11-18	Paper
Mean-variance hedging under multiple defaults risk Stochastic Analysis and Applications	2015-10-20	Paper
The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims Stochastic Processes and their Applications	2015-02-27	Paper
Dual optimization problem on defaultable claims Mathematical Economics Letters	2015-01-15	Paper
Bessel bridges decomposition with varying dimension: applications to finance Journal of Theoretical Probability	2015-01-06	Paper
Variance optimal hedging for continuous time additive processes and applications Stochastics	2014-08-14	Paper
Defaultable bond pricing using regime switching intensity model Journal of Applied Mathematics & Informatics	2013-10-24	Paper
Defaultable bond pricing using regime switching intensity model Journal of Applied Mathematics & Informatics	2013-10-24	Paper
Markov switching quadratic term structure models	2013-05-13	Paper
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process Stochastic Analysis and Applications	2013-04-22	Paper
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets	2012-05-18	Paper
Variance Optimal Hedging for continuous time processes with independent increments and applications	2009-12-02	Paper

Research outcomes over time

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