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Author ID: goutte.stephane Recent zbMATH articles by "Goutte, Stéphane"
Published as: Goutte, Stéphane; Goutte, Stephane
External Links: MGP

Publications by Year

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 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

Citations by Year