3 citations · 6 across the 8 of their papers we have counts for
4 papers · 1 filter
Optimization problem and mean variance hedging on defaultable claims
Stephane Goutte, Armand Ngoupeyou
We study the pricing and the hedging of claim ψ which depends on the default times of two firms A and B. In fact, we assume that, in the market, we can not buy or sell any defaulta…
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…
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…
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
Stéphane Goutte, Nadia Oudjane, Francesco Russo
Given a process with independent increments (not necessarily a martingale) and a large class of square integrable r.v. , being the Fourier transform of a finite m…