3 citations · 3 across the 2 of their papers we have counts for
2 papers
q-fin.PR2012
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Stéphane Goutte, Nadia Oudjane, Francesco Russo
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exp…
math.PR2012★ 3 cited
Bessel bridges decomposition with varying dimension. Applications to finance
Gabriel Faraud, Stéphane Goutte
We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of t…