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Jumps and volatility dynamics in agricultural commodity spot prices

Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Applied economics 49 (2017) 40, pp. 4035-4054

Persistent link: https://www.econbiz.de/10011820009

Pricing and hedging in stochastic volatility regime switching models

Goutte, Stéphane - In: Journal of mathematical finance 3 (2013) 1, pp. 70-80

Persistent link: https://www.econbiz.de/10010240223

Financial mathematics, volatility and covariance modelling

Chevallier, Julien (ed.); Goutte, Stéphane (ed.); … - 2019

Persistent link: https://www.econbiz.de/10012002815

Estimation of Lévy-driven Ornstein-Uhlenbeck processes : application to modeling of CO2 and fuel-switching

Chevallier, Julien; Goutte, Stéphane - In: Energy economics and climate policy modeling, (pp. 169-197). 2017

Persistent link: https://www.econbiz.de/10011715519

Regime-switching stochastic volatility model : estimation and calibration to VIX options

Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75

Persistent link: https://www.econbiz.de/10011746993

Cross-country performance of Lévy regime-switching models for stock markets

Chevallier, Julien; Goutte, Stéphane - In: Applied economics 49 (2017) 2, pp. 111-137

Persistent link: https://www.econbiz.de/10011810520

On the estimation of regime-switching Lévy models

Chevallier, Julien; Goutte, Stéphane - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10011650170

Handbook of energy finance : theories, practices and simulations

Goutte, Stéphane (ed.); Nguyen, Duc Khuong (ed.) - 2019

Persistent link: https://www.econbiz.de/10012011920

Handbook of energy finance : theories, practices and simulations

Goutte, Stéphane (ed.); Nguyen, Duc Khuong (ed.) - 2019

"This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative...

Persistent link: https://www.econbiz.de/10012643534

Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset

El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: Finance research letters 44 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014494891