Stéphane Goutte

Available identifiers

zbMath Open goutte.stephaneWikidataQ102365647 ScholiaQ102365647MaRDI QIDQ482807

List of research outcomes

Publication	Date of Publication	Type
On the estimation of regime-switching Lévy models	2023-03-30	Paper
Optimal risk management problem of natural resources: application to oil drilling	2021-05-05	Paper
Optimal strategy between extraction and storage of crude oil	2020-01-20	Paper
A switching microstructure model for stock prices	2019-07-08	Paper
Regime-switching stochastic volatility model: estimation and calibration to VIX options	2018-04-06	Paper
Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching	2018-02-16	Paper
Statistical Method to Estimate a Regime-Switching Lévy Model	2016-11-18	Paper
Mean-Variance Hedging Under Multiple Defaults Risk	2015-10-20	Paper
The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims	2015-02-27	Paper
Dual optimization problem on defaultable claims	2015-01-15	Paper
Bessel bridges decomposition with varying dimension: applications to finance	2015-01-06	Paper
Variance optimal hedging for continuous time additive processes and applications	2014-08-14	Paper
Defaultable bond pricing using regime switching intensity model	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	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

This page was built for person: Stéphane Goutte