Faculty
Stephane GOUTTE

Stephane GOUTTE

Affiliate Professor
Summary
Stephane Goutte has two PhDs, one in Mathematics and one in Economics. He got his Habilitation à Diriger des Recherches (HDR) in 2017 at University Paris Dauphine. He is associate professor at University Paris 8 and at university of Luxembourg. He is also an affiliated professor at Paris School of Business. He teaches mathematics and related topics in M.Sc and B.Sc. He is also an Associate Editor of International Review of Financial Analysis (IRFA) and an Ediorial member of European Management Review (EMR). His interests lie in the area of mathematical finance and econometric applied in energy or commodities. He published more than thirty research papers in international review.

Profile

Degree

  • HDR, Economics, Economics (graduated in 2017)

Teaching department

  • Economics and Business Information

Research department

  • Economic and Financial Performance

Chair department

  • Energy Risk Management

Expertises

Economics
Economics
Finance
Finance

Publications

Book
Title Authors Source Date
20 idées reçues sur l'énergie Raphaël Homayoun BOROUMAND, Thomas PORCHER, Stephane GOUTTE De Boeck 01/2015
Chapter
Title Authors Source Date
Mean-reverting Lévy jump dynamics in the European power sector Stephane GOUTTE, Julien CHEVALLIER World Scientific 01/2017
"Gaz de schiste: le mirage des emplois en Europe" dans Gaz: la nouvelle donne? Thomas PORCHER, Stephane GOUTTE PUF 02/2016
Operation Management of the Power Company in Presence of Carbon Costs Stephane GOUTTE, Julien CHEVALLIER Commodity Markets; Emerald Group Publishing 01/2016
Academic communication
Title Authors Source Date
The Asymmetric Responses of Stock Markets Stephane GOUTTE, Khaled GUESMI, Abderrazak DHAOUI Journal of Economic Integration 03/2018
On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting Stephane GOUTTE, Khaled GUESMI, Ilyes ABID, Abderrazak DHAOUI Journal of International Financial Markets, Institutions & Money 01/2018
Optimal management of an oil exploitation Stephane GOUTTE, Thomas LIM, Idris KHARROUBI International Journal of Global Energy Issues 01/2018
Intra-day hedging with financial options: the case of electricity Stephane GOUTTE, Raphaël Homayoun BOROUMAND Applied Economics Letters 02/2017
Cross-country performance of Lévy regime-switching models for stock markets Stephane GOUTTE, Julien CHEVALLIER Applied Economics 01/2017
Estimation of Lévy-driven Ornstein-Ulhenbeck processes: Application to modeling of CO2 and fuel-switching Stephane GOUTTE, Julien CHEVALLIER Annals of Operations Research 01/2017
Jumps and volatility dynamics in agricultural commodity spot prices Stephane GOUTTE, Raphaël Homayoun BOROUMAND, Thomas PORCHER, Simon PORCHER Applied Economics 01/2017
On the estimation of regime-switching Lévy models Stephane GOUTTE, Julien CHEVALLIER Studies in Nonlinear Dynamics and Econometrics 01/2017
Regime-switching stochastic volatility model: Estimation and Calibration to VIX options Stephane GOUTTE, Huyên PHAM, Amine ISMAEL Applied Mathematical Finance 01/2017
Risk minimisation: the failure of electricity intra-day forward contracts Stephane GOUTTE, Raphaël Homayoun BOROUMAND, Thomas PORCHER, Simon PORCHER International Journal of Global Energy Issues 01/2017
symmetric evidence of gasoline price responses in France: a Markov-switching approach Stephane GOUTTE, Raphaël Homayoun BOROUMAND, Thomas PORCHER, simon PORCHER Economic Modelling 01/2016
Estimation of Lévy-driven Ornstein-Ulhenbeck processes: Application to modeling of CO2 and fuel-switching Stephane GOUTTE, Julien CHEVALLIER Annals of Operations Research 07/2015
A Conditional Markov Regime Switching Model to Study Margins: Application to the French Fuel Retail Markets Raphaël Homayoun BOROUMAND, Thomas PORCHER, Stephane GOUTTE, Simon PORCHER EnergyStudiesReview 01/2015
Asymmetric evidence of gasoline price responses in France: a Markov-switching approach Raphaël Homayoun BOROUMAND, Thomas PORCHER, Stephane GOUTTE, Simon PORCHER Economic Modelling 01/2015
Detecting jumps and regime-switches in international stock markets returns Stephane GOUTTE, Julien CHEVALLIER Applied Economics Letters 01/2015
Hedging strategies in energy markets: the case of electricity retailers Raphaël Homayoun BOROUMAND, Thomas PORCHER, Stephane GOUTTE, Simon PORCHER Energy Economics 01/2015
Mean variance hedging under multiple defaults risk Stephane GOUTTE, Sebastien CHOUKROUN, Armand NGOUPEYOU Stochastic Analysis and Applications 01/2015
Statistical method to estimate regime-switching Lévy model Stephane GOUTTE, Julien CHEVALLIER Springer Proceedings in Mathematics & Statistics 01/2015
The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims Stephane GOUTTE, Armand NGOUPEYOU Stochastic Processes and their Applications 01/2015
Tobin tax and trading volume tightening: a reassessment Stephane GOUTTE, Olivier DAMETTE Applied Economics 01/2015
A regime switching model to evaluate bonds in a quadratic term structure of interest rates Raphaël Homayoun BOROUMAND, Thomas PORCHER, Stephane GOUTTE Applied Financial Economics 01/2014
Bessel bridges decomposition with varying dimension. Applications to finance Stephane GOUTTE, Gabriel FARAUD Journal of Theoretical Probability 01/2014
Conditional Markov regime switching model applied to economic modelling Stephane GOUTTE Economic Modelling 01/2014
Correlation evidence in the dynamics of agricultural commodity prices Raphaël Homayoun BOROUMAND, Thomas PORCHER, Stephane GOUTTE, Simon PORCHER Applied Economics Letters 01/2014
Dual optimization problem on defaultable claims Stephane GOUTTE, Armand NGOUPEYOU Mathematical Economics Letters 01/2014
Variance optimal hedging for exponential of additive processes and applications Stephane GOUTTE, Francesco RUSSO, NAdia OUDJANE Stochastics An International Journal of Probability and Stochastic Processes 01/2014