Dr. Goutte Stéphane

University of Paris 8, France

Email: stephane.goutte@univ-paris8.fr

Qualifications

2010 Ph.D., University LUISS of Roma, Italy

2010 Ph.D., University of Paris 13, France

2005 M.Sc., University of Paris 13, France

2003 B.Sc., University of Paris 13, France

Publications( Selected)

1. Goutte Stéphane and Chevallier J. (2016) Mean-reverting Lévy Jump Dynamics in the European Power Sector, Climate Finance, edited by Galarraga, I.World Scientific Publishing.
2. Goutte Stéphane and Damette, O. (2015) Tobin Tax and Trading Volume Tightening: A Reassessment, Applied Economics, 47, (29), p3124-3141.
3. Goutte Stéphane and Chevallier J. (2015) Detecting Jumps and Regime-switches in International Stock Markets Returns, Applied Economics Letters, 22, (13), p1011-1019.
4. Goutte Stéphane and Ngoupeyou A. (2015) The Use of BSDEs to Characterize the Mean Variance Hedging Problem and the Variance Optimal Martingale Measure for Defaultable Claims, Stochastic Processes and Their Applications, 125, p1323 - 1351.
5. Goutte Stéphane and Chevallier, J. (2015) Statistical Method to Estimate Regime-switching Lévy Model, Stochastic Models, Statistics and Their Applications Springer Proceedings in Mathematics and Statistics, 122, p381-389.
6. Goutte Stéphane, Boroumand R. H., Porcher S. and Porcher T. (2014) Correlation Evidence in the Dynamics of Agricultural Commodity Prices, Applied Economics Letters, 21, (17), p1238-1242.
7. Goutte Stéphane, Boroumand R. H. and Porcher T. (2014) A Regime Switching Model to Evaluate Bonds in a Quadratic Term Structure of Interest Rates, Applied Financial Economics, 24, (21), p1361-1366.
8. Goutte Stéphane (2014) Conditional Markov Regime Switching Model Applied to Economic Modelling, Economic Modelling, 38, p258-269.
9. Goutte Stéphane and Ngoupeyou A. (2014) Dual Optimization Problem on Defaultable Claims, Mathematical Economics Letters, 1, (2-4), p47-54.
10. Goutte Stéphane, Oudjane N. and Russo F. (2014) Variance Optimal Hedging for Exponential of Additive Processes and Applications, Stochastics: An International Journal of Probability and Stochastic Processes, 86 (1), p147-185.
11. Goutte Stéphane and Faraud G. (2014) Bessel Bridges Decomposition with Varying Dimension: Applications to Finance, Journal of Theoretical Probability, 27 (4), p1375-1403.
12. Goutte Stéphane (2013) Pricing and Hedging in Stochastic Volatility Regime Switching Models, Journal of Mathematical Finance, 3 (1), p70-80.

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