Edit Profile (opens in new tab) Goutte, Stéphane Co-Author Distance Author ID: goutte.stephane Published as: Goutte, Stéphane; Goutte, Stephane External Links: MGP Documents Indexed: 18 Publications since 2009, including 4 Additional arXiv Preprints Co-Authors: 15 Co-Authors with 17 Joint Publications 252 Co-Co-Authors all top 5 Co-Authors 1 single-authored 5 Ngoupeyou, Armand 4 Oudjane, Nadia 4 Russo, Francesco 3 Chevallier, Julien 1 Abid, Ilyes 1 Choukroun, Sébastien 1 Faraud, Gabriel 1 Gaigi, M’hamed 1 Guesmi, Khaled 1 Hainaut, Donatien 1 Ismail, Amine 1 Kharroubi, Idris 1 Lim, Thomas 1 Mkaouar, Farid 1 Pham, Huyên all top 5 Serials 3 Annals of Operations Research 2 Stochastic Analysis and Applications 1 Journal of Theoretical Probability 1 Stochastic Processes and their Applications 1 Applied Mathematical Finance 1 Studies in Nonlinear Dynamics and Econometrics 1 Stochastics 1 Mathematics and Financial Economics 1 Journal of Applied Mathematics & Informatics 1 Mathematical Economics Letters all top 5 Fields 13 Probability theory and stochastic processes (60-XX) 12 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 4 Statistics (62-XX) 2 Systems theory; control (93-XX) 1 Numerical analysis (65-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 12 Publications have been cited 56 times in 51 Documents Cited by ▼ Year ▼ Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593 Goutte, Stéphane; Ismail, Amine; Pham, Huyên 18 2017 Variance optimal hedging for continuous time additive processes and applications. Zbl 1306.60047 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 10 2014 Defaultable bond pricing using regime switching intensity model. Zbl 1274.91480 Goutte, Stéphane; Ngoupeyou, Armand 5 2013 On the estimation of regime-switching Lévy models. Zbl 1507.62368 Chevallier, Julien; Goutte, Stéphane 4 2017 Mean-variance hedging under multiple defaults risk. Zbl 1329.60175 Choukroun, Sébastien; Goutte, Stéphane; Ngoupeyou, Armand 3 2015 The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims. Zbl 1325.60088 Goutte, Stéphane; Ngoupeyou, Armand 3 2015 Optimal strategy between extraction and storage of crude oil. Zbl 1430.91058 Abid, Ilyes; Goutte, Stéphane; Mkaouar, Farid; Guesmi, Khaled 3 2019 A switching microstructure model for stock prices. Zbl 1417.91565 Hainaut, Donatien; Goutte, Stephane 3 2019 Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching. Zbl 1382.60072 Chevallier, Julien; Goutte, Stéphane 2 2017 Bessel bridges decomposition with varying dimension: applications to finance. Zbl 1307.60077 Faraud, Gabriel; Goutte, Stéphane 2 2014 On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. Zbl 1288.60058 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 2 2013 Optimal risk management problem of natural resources: application to oil drilling. Zbl 1462.90058 Gaïgi, M’hamed; Goutte, Stéphane; Kharroubi, Idris; Lim, Thomas 1 2021 Optimal risk management problem of natural resources: application to oil drilling. Zbl 1462.90058 Gaïgi, M’hamed; Goutte, Stéphane; Kharroubi, Idris; Lim, Thomas 1 2021 Optimal strategy between extraction and storage of crude oil. Zbl 1430.91058 Abid, Ilyes; Goutte, Stéphane; Mkaouar, Farid; Guesmi, Khaled 3 2019 A switching microstructure model for stock prices. Zbl 1417.91565 Hainaut, Donatien; Goutte, Stephane 3 2019 Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593 Goutte, Stéphane; Ismail, Amine; Pham, Huyên 18 2017 On the estimation of regime-switching Lévy models. Zbl 1507.62368 Chevallier, Julien; Goutte, Stéphane 4 2017 Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching. Zbl 1382.60072 Chevallier, Julien; Goutte, Stéphane 2 2017 Mean-variance hedging under multiple defaults risk. Zbl 1329.60175 Choukroun, Sébastien; Goutte, Stéphane; Ngoupeyou, Armand 3 2015 The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims. Zbl 1325.60088 Goutte, Stéphane; Ngoupeyou, Armand 3 2015 Variance optimal hedging for continuous time additive processes and applications. Zbl 1306.60047 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 10 2014 Bessel bridges decomposition with varying dimension: applications to finance. Zbl 1307.60077 Faraud, Gabriel; Goutte, Stéphane 2 2014 Defaultable bond pricing using regime switching intensity model. Zbl 1274.91480 Goutte, Stéphane; Ngoupeyou, Armand 5 2013 On some expectation and derivative operators related to integral representations of random variables with respect to a PII process. Zbl 1288.60058 Goutte, Stéphane; Oudjane, Nadia; Russo, Francesco 2 2013 all cited Publications top 5 cited Publications all top 5 Cited by 96 Authors 5 Goutte, Stéphane 4 Mehrdoust, Farshid 4 Noorani, Idin 3 Guyon, Julien 3 Russo, Francesco 2 Hainaut, Donatien 2 Jakubowski, Jacek 2 Jeanblanc, Monique 2 Lim, Thomas 2 Sabino, Piergiacomo 1 Aïd, René 1 Alòs, Elisa 1 Arai, Takuji 1 Asmussen, Søren 1 Averina, Tat’yana Aleksandrovna 1 Bégin, Jean-François 1 Benth, Fred Espen 1 Bielecki, Tomasz R. 1 Bladt, Mogens 1 Bourgey, Florian 1 Campi, Luciano 1 Ceci, Claudia 1 Clancy, David Jr. 1 Cretarola, Alessandra 1 Cui, Lirong 1 Cummins, Mark 1 De Marco, Stefano 1 Detering, Nils 1 Dong, Fangyuan 1 El Maroufy, Hamid 1 Elliott, Robert James 1 Endres, Sylvia 1 Faraud, Gabriel 1 Francis, Gilad 1 Fuchs, Christiane 1 Gaigi, M’hamed 1 García Lorite, David 1 Gobet, Emmanuel 1 Godin, Frédéric 1 Gogolin, Fabian 1 Gonzalez, Aitor Muguruza 1 Guo, Ivan 1 Gyamerah, Samuel Asante 1 Hibbah, El Houcine 1 Huang, Jia-Ping 1 Huojun, Wu 1 Iftimie, Bogdan 1 Ikpe, Dennis 1 Imai, Yuto 1 Ismail, Amine 1 James, Nick 1 Kanniainen, Juho 1 Kearney, Fearghal 1 Ketelbuters, John-John 1 Kharroubi, Idris 1 Kiely, Greg 1 Laachir, Ismail 1 Langrené, Nicolas 1 Li, Libo 1 Li, Zhongping 1 Loeper, Grégoire 1 Lv, Siyu 1 Lyons, Terence John 1 Lyu, Jianping 1 Ma, Yong 1 Mancino, Maria Elvira 1 Menzies, Max 1 Murphy, Bernard 1 Nasroallah, Abdelaziz 1 Nejad, Sina 1 Ngare, Philip 1 Ngoupeyou, Armand 1 Niewȩgłowski, Mariusz Andrzej 1 Obloj, Jan K. 1 Oudjane, Nadia 1 Perez Arribas, Imanol 1 Pham, Huyên 1 Prakash, Arjun 1 Ratanov, Nikita 1 Rybakov, Konstantin Aleksandrovich 1 Scotti, Simone 1 Shuquan, Yang 1 Siu, Tak Kuen 1 Song, Shiqi 1 Stübinger, Johannes 1 Sumita, Ushio 1 Taib, Ziad 1 Toscano, Giacomo 1 Wang, Shiyi 1 Wiśniewolski, Maciej 1 Wong, Hoi Ying 1 Wu, Zhen 1 Yoshioka, Hidekazu 1 Yoshioka, Yumi 1 Yu, Zhiyong 1 Zhaoli, Jia all top 5 Cited in 27 Serials 6 Quantitative Finance 5 Applied Mathematical Finance 5 SIAM Journal on Financial Mathematics 3 Journal of Theoretical Probability 3 Stochastic Processes and their Applications 3 Finance and Stochastics 2 Mathematics and Computers in Simulation 2 Annals of Operations Research 2 Communications in Statistics. Theory and Methods 2 International Journal of Theoretical and Applied Finance 2 Stochastics and Dynamics 1 Computers & Mathematics with Applications 1 Physica A 1 Applied Mathematics and Computation 1 Automatica 1 Journal of Computational and Applied Mathematics 1 Acta Mathematicae Applicatae Sinica 1 Stochastic Analysis and Applications 1 Applicationes Mathematicae 1 Russian Journal of Numerical Analysis and Mathematical Modelling 1 Mathematical Finance 1 Journal of Applied Statistics 1 Applied Stochastic Models in Business and Industry 1 Decisions in Economics and Finance 1 Mathematics and Financial Economics 1 International Journal of Stochastic Analysis 1 Statistics and Computing all top 5 Cited in 13 Fields 39 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 29 Probability theory and stochastic processes (60-XX) 6 Statistics (62-XX) 5 Systems theory; control (93-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 3 Operations research, mathematical programming (90-XX) 2 Numerical analysis (65-XX) 2 Geophysics (86-XX) 1 Partial differential equations (35-XX) 1 Integral equations (45-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year