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Coordonnées

CEMOTEV-UVSQ- 47, Bd Vauban- 78047 Guyancourt Cedex

Bureau : 609.1

Mail
stephane.goutte@uvsq.fr
Site internet
https://sites.google.com/site/mathgoutte/

Discipline(s)

Economie, Environnement et développement durable, Mathématiques

Thèmes de recherche

Publications


Articles soumis :

[1]"Carbon stranded assets : New devices for alleviating the Earth is absorptive capacity" avec Chevallier J.
Soumis à International Review of Financial Analysis. CNRS 3 - HCERES B.
[2]"Investor Sentiment and Industry Stock Markets : Determinants, Causality and Dynamics" avec Guesmi,
K and Porcher, T. Soumis Journal of International Money and Finance. CNRS 2 - HCERES A.

Articles en révisions :

[1]"Contagion effects from US to MENA Equity Markets : The Role of Oil and gas" avec Jamali, I et Guesmi,
K. Soumis à Energy Policy. CNRS 2 - HCERES A.

Articles Publiés dans la thématiques Economie et Finance de l’énergie et des matières premières :

[37]"Potential benefits of Optimal intra-day electricity hedging for the environment : the perspective of electricity
retailers" avec Boroumand, R.H. et Porcher, T. à Energy Policy. CNRS 2 - HCERES A.
[36]"Worker Mobility and the Purchase of Low CO2 Emission Vehicles in France : a Datamining Approach."
avec Boroumand, R, Péran, T et Porcher, T. European Journal of Comparatives Economics. CNRS 3 -
HCERES B.
[35]"Optimal Risk Management problem of natural resources : Application to oil drilling." avec Gaigi, M.,
Kharroubi, I. et Lim,T. J. Annals of Operations Research. CNRS 2 - HCERES A.
[34]"The Value of Flexibility in Power Markets", avec Vassilopoulos, P. (2019). Energy Policy, 125, p347-357.
CNRS 2 - HCERES A.
[33]"Commodities risk premia and regional integration in gas-exporting countries", avec Abid, I., Guesmi,
K., Urom, C. et Chevallier, J. (2019). Energy Economics, 80, p267-276. CNRS 2 - HCERES A.
[32]"Contagion and Bond Pricing : The Case of the ASEAN Region", avec Abid, I., Dhaoui, A. et Guesmi ;
K. Research in Business and Finance (2018). Prochainement. CNRS 4 - HCERES C
[31]"Optimal strategy between extraction and storage of crude oil.", avec Abid, I., Guesmi, K. et Makaouer,
F. (2018). Annals of Operations Research, Prochainement. CNRS 2 - HCERES A
[30]"What Interactions between Financial Globalization and Instability ? - Growth in Developing Countries",
avec Gaies, B. et Guesmi, K. (2018) The Journal of International Development. Prochainement. CNRS 3 -
HCERES C
[29]"Optimal management of an oil exploitation.", avec Kharroubi, I, et Lim, T. (2018). International Journal
of Global Energy Issues. 41, (1/2/3/4), p69-85. CNRS 4 - HCERES C
[28]"On the study of conditional dependence structure between oil, gold and USD exchange rates.", avec Bedoui,
R., Braeik, S. et Guesmi, K. (2018). International Review of Financial Analysis, 59, p134-146. CNRS
3 - HCERES B
[27]"The Asymmetric Responses of Stock Markets", avec Guesmi,K., et Dhaoui, A. (2018). Journal of Economic
Integration. 33 (1), p1096-1140. CNRS 3 - HCERES B
[26]"On the determinants of industry-CDS index spreads : Evidence from a nonlinear setting", aec Guesmi,K.,
Dhaoui, A. et Abid, I. (2018). Journal of International Financial Markets, Institutions and Money, 56, p233-
254. CNRS 3 - HCERES B
[25]"Estimation of Lévy-driven Ornstein-Ulhenbeck processes : Application to modeling of CO2 and fuelswitching",
avec Chevallier, J. (2017). Annals of Operations Research, 255, p169-197. CNRS 2 - HCERES A
[24]"Risk minimisation : the failure of electricity intra-day forward contracts", avec Boroumand R.H., Porcher,
S. and Porcher, T. (2017) International Journal of Global Energy Issues, 40, (5), p335-343. CNRS 4 -
HCERES C
[23]"Intra-day hedging with financial options : the case of electricity." avec Boroumand R.H. (2017). Applied
Economics Letters. Forthcoming. CNRS 4 - HCERES C
[22]"Jump evidence and volatility change in the dynamic of agricultural commodity spot prices." avec Boroumand
R.H., Porcher, S. et Porcher, T. (2017). Applied Economics. Forthcoming. CNRS 2 - HCERES A
[21]"Cross-country performance of Lévy regime-switching models for stock markets", avec Chevallier, J.
(2017). Applied Economics. 42, (2), p111-137. CNRS 2 - HCERES A
[20]"The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process", avec Chevallier,
J. (2016). Studies in Nonlinear Dynamics & Econometrics (SNDE). 21 (1), p3-29. CNRS 3 - HCERES
B
[19]"Hedging strategies in energy markets : the case of electricity retailers", avec Boroumand R.H., Porcher,
S. et Porcher, T. (2015). Energy Economics. 51, p503-509. CNRS 2 - HCERES A
[7]"Asymmetric evidence of gasoline price responses in France : a Markov-switching approach", avec Boroumand
R.H., Porcher, S. et Porcher, T. (2015). Economic Modelling. 52, p467-476. CNRS 2 - HCERES A
[18]"Tobin tax and trading volume tightening : a reassessment", avec Damette, O. (2015). Applied Economics.
47, (29), p3124-3141. CNRS 2 - HCERES A
[17]"Detecting jumps and regime-switches in international stock markets returns" avec Chevallier, J. (2015).
Applied Economics Letters. 22, (13), p1011-1019. CNRS 4 - HCERES C
[16]"A Conditional Markov Regime Switching Model to Study Margins : Application to the French Fuel Retail
Markets", avec Boroumand R.H., Porcher, S. et Porcher, T. (2014). Energy Studies Review. 21 (2). CNRS 3
- HCERES B
[15]"Correlation evidence in the dynamics of agricultural commodity prices", avec Boroumand R.H., Porcher,
S. et Porcher, T. (2014). Applied Economics Letters. 21, (17), p1238-1242. CNRS 4 - HCERES C
[14]"A regime switching model to evaluate bonds in a quadratic term structure of interest rates", avec Boroumand
R.H. et Porcher, T. (2014). Applied Financial Economics, 24, (21), p1361-1366. CNRS 4 - HCERES C
[13]"Conditional Markov regime switching model applied to economic modelling." (2014). Economic Modelling.
38, p258-269. CNRS 2 - HCERES A

Articles Publiés dans la thématique Mathématiques Financières :

[12]"A switching microstructure model for stock price", avec Hainaut, D. Mathematics and Financial Economics.
(2019), Forthcoming.
[11]"Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options", avec Amine,
I. et Pham, H. (2017) Applied Mathematical Finance. 24 (1), p38-75. HCERES C
[10]"Mean variance hedging under multiple defaults risk", avec Choukroun, S. et Ngoupeyou, A. (2015).
Stochastic Analysis and Applications. 33, p757-791.
[9]"The use of BSDEs to characterize the mean variance hedging problem and the variance optimal martingale
measure for defaultable claims" avec Ngoupeyou, A. (2015). Stochastic Processes and their Applications.
125, p1323 - 1351.
[8]"Dual optimization problem on defaultable claims", avec Ngoupeyou, A. (2014). Mathematical Economics
Letters, 1, (2-4), p47-54.
[7]"Variance optimal hedging for exponential of additive processes and applications", avec Oudjane, N. et
Russo, F. (2014). Stochastics : An International Journal of Probability and Stochastic Processes. 86 (1),
p147-185.
[6]"Bessel bridges decomposition with varying dimension. Applications to finance", avec Faraud, G. (2014).
Journal of Theoretical Probability. 27 (4), p1375-1403.
[5]"Pricing and hedging in stochastic volatility regime switching models." (2013). Journal of Mathematical
Finance. 3 (1), p70-80.
[4]"Continuous time regime switching model applied to foreign exchange rate", with Zou, B. (2013). Mathematical
Finance letters. 8, p1-37.
[3]"Defaultable bond pricing using regime switching intensity model", avec Ngoupeyou, A. (2013). Journal of
Applied Mathematics and Informatics, 31 (3).
[2]"On some expectation and derivative operators related to integral representations of random variables with
respect to a PII process", avec Oudjane, N. et Russo, F. (2013). Stochastic Analysis and Applications. 31 (1),
p 108-141.
[1]"Variance optimal hedging for discrete time processes with independent increments. Application to Electricity
Markets", avec Oudjane, N. et Russo, F. (2013). Journal of Computational Finance. 17 (2).

Proceedings et Chapitres d’ouvrages :

[1]"Statistical method to estimate regime-switching Lévy model", avec Chevallier, J. (2015). Stochastic Models,
Statistics and Their Applications Springer Proceedings in Mathematics and Statistics. 122, p381-389.
[2]"Shale gas in Europe : the mirage of jobs.", avec Porcher, T. PUF (2016)
[3]"Mean-reverting Lévy jump dynamics in the European power sector, avec Chevallier, J. (2016). Climate
Finance, edited by Galarraga, I. World Scientific Publishing.
[4]"Operations Management of the Power Company in Presence of Carbon Costs", avec Chevallier, J. (2016).
Commodity Markets, Emerald Group.

Livres édités et co-édités :

[1]"20 ideas in energy", avec Boroumand, R.H. et Porcher, T. (2015) Ed. De Boeck. ISBN-10 : 280419020X
[2]"Mathematical Finance : Theories, Exercices and Simulations", (2015) Ed. De Boeck. ISBN-10 : 280419371.
[3]"Handbook of Energy Finance : Theory, Pratice and Simulations", avec Nguyen, K.D. (2018). World Scientific
Publishing. Prochainement.
[4]"International Financial Markets", avec Chevallier, J., Guerreiro, D., Saglio, S. et Sanhaji, B. (2018).
Routledge, Taylor & Francis. Prochainement.
[5]"Financial Mathematics, Volatility and Covariance Modelling", avec Chevallier, J., Guerreiro, D., Saglio,
S. et Sanhaji, B. (2018). Routledge, Taylor & Francis. Prochainement.
[6]"Handbook : Risk Factors and Contagion in Commodity Markets and Stocks Markets", avec Guesmi, K.
(2019), World Scientific Publishing. Prochainement.
[7]"Cryptofinance and Mechanism of Exchange", avec Saadi, S. (2019), Springer. Prochainement.
[8]"Switching Models : With Applications to Crypto-Finance, Energy and Finance Markets", (2020), Chapman
and Hall/CRC Financial Mathematics Series. Prochainement.

Articles dans des médias :

[1]"Why the liberalization of the energy sector does not benefit consumers", avec Boroumand, R.H. et Porcher,
T. (2015). La Tribune - 26/06/2015.
[2]"EDF : France can avoid an industrial and financial disaster", avec Boroumand, R.H. et Porcher, T.
(2016). La Tribune - 22/02/2016.
[3]"Fight against pollution : the paramount role of car manufacturers", avec Boroumand, R.H., Péran