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Isaac Scientific Publishing
Journal of Advances in Economics and Finance
Dr. Goutte Stéphane,  University of Paris 8, France
Département AES-Economie-Gestion
Université PARIS 8
2 rue de la liberté
93526 Saint-Denis
France
Selected Publication List
• "Variance optimal hedging for discrete time processes with independent increments. Application to Electricity Markets", with Oudjane, N. and Russo, F. (2013). Journal of Computational Finance. 17 (2).
• "On some expectation and derivative operators related to integral representations of random variables with respect to a PII process", with Oudjane, N. and Russo, F. (2013). Stochastic Analysis and Applications. 31 (1), p 108-141.
• "Defaultable bond pricing using regime switching intensity model", with Ngoupeyou, A. (2013). Journal of Applied Mathematics and Informatics, 31 (3).
• "Continuous time regime switching model applied to foreign exchange rate", with Zou, B. (2013). Mathematical Finance letters. 8, p1-37.
• "Pricing and hedging in stochastic volatility regime switching models." (2013). Journal of Mathematical Finance. 3 (1), p70-80.
• "Bessel bridges decomposition with varying dimension. Applications to finance", with Faraud, G. (2014). Journal of Theoretical Probability. 27 (4), p1375-1403.
• "Variance optimal hedging for exponential of additive processes and applications", with Oudjane, N. and Russo, F. (2014). Stochastics An International Journal of Probability and Stochastic Processes. 86 (1), p147-185.
• "Dual optimization problem on defaultable claims", with Ngoupeyou, A. (2014). Mathematical Economics Letters, 1, (2-4), p47-54.
• "Conditional Markov regime switching model applied to economic modelling." (2014). Economic Modelling. 38, p258-269.
• "A regime switching model to evaluate bonds in a quadratic term structure of interest rates", with Boroumand R.H. and Porcher, T. (2014). Applied Financial Economics, 24, (21), p1361-1366.
• "Correlation evidence in the dynamics of agricultural commodity prices", with Boroumand R.H., Porcher, S. and Porcher, T. (2014). Applied Economics Letters. 21, (17), p1238-1242.
• "Statistical method to estimate regime-switching Lévy model", with Chevallier, J. (2015). Stochastic Models, Statistics and Their Applications Springer Proceedings in Mathematics and Statistics. 122, p381-389.
• "The use of BSDEs to characterize the mean variance hedging problem and the variance optimal martingale measure for defaultable claims" with Ngoupeyou, A. (2015). Stochastic Processes and their Applications. 125, p1323 - 1351.
• "Detecting jumps and regime-switches in international stock markets returns" with Chevallier, J. (2015). Applied Economics Letters. 22, (13), p1011-1019.
• "A Conditional Markov Regime Switching Model to Study Margins Application to the French Fuel Retail Markets", with Boroumand R.H., Porcher, S. and Porcher, T. (2015). Energy Studies Review. Forthcoming.
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