Biography

The academic research of the Chaire EEM will be characterized by a plurality of approaches while remaining vigilant that the methodological standards of the best international journals (Energy Journal, Energy Policy, Energy Economics, Electricity Journal, European Review of Energy Markets ...) are respected. The problems and methods of econometrics, industrial economics, game theory and institutional economics will receive special attention in order to analyze and understand the current status and possible future trajectories of the European electricity industry.

Power grid Dispatching Network Hydro Plant

Stéphane Goutte

Researcher

Stéphane Goutte

Current Position
- Assistant Professor on Applied Mathematics and Economics - Université Paris 8.
- Associated Lecturer, Center for Research in Economic Analysis (CREA). University of Luxembourg.

Research Interests
- Mathematical finance: Hedging and Pricing in incomplete market, Mean variance hedging, Electricity market, Backward stochastic differential equations (BSDE), Regime switching, Credit risk modeling.
- Probability and Stochastic processes: Stochastic analysis and simulation. Squares Bessel Process (BESQ), Bessel bridge.
- Economic and Econometric: Simulation, modelization. Foreign exchange rate, Unemployment, Efficiency, Flexibility and Resilience of Small European Open Economies.
- Statistics: Regime switching model calibration. Datamining, (Non)-Supervised classification.

Education
PhD in Mathematic and Applied Mathematics in co-tutel with University Paris 13 et University LUISS in Rome.
Title : “Variance Optimal Hedging in incomplete market for processes with independent increments and application to electricity markets”.

Previous Position
2010-2013: Post PhD position in Centre National de la Recherche Scientifique (CNRS), Laboratoire de Probabilité et Modèles Aléatoires (LPMA), Université Paris 6 and 7.

Publications
[1] : "Variance Optimal Hedging for discrete time processes with independent increments.
Application to Electricity Markets" (2011), with Francesco Russo and Nadia Oudjane. Journal of Computational Finance, Forthcoming.
[2] : "Variance Optimal Hedging for exponential of additive processes" (2011), with Francesco Russo and Nadia Oudjane. Stochastics : An International Journal of Probability and Stochastic Processes, Forthcoming.
[3] : "Defaultable bond pricing using regime switching intensity model" (2013), with Ngoupeyou, A. Journal of Applied Mathematics and Informatics, Vol.31, No.3-4.
[4] : "About an explicit Föllmer-Schweizer decomposition for processes with independent increments with related global quadratic variance error" (2013), with Francesco Russo and Nadia Oudjane. Stochastic Analysis and Applications Vol.31, p 108-141.
[5] : "Pricing and hedging in stochastic volatility regime switching models" (2013). Journal of Mathematical Finance Vol.3, No.1.
[6] : Bessel bridges decomposition with varying dimension. Applications to finance. (2012), with Gabriel Faraud. Journal of Theoretical Probabilty. Forthcoming.
[7] : "Conditional Markov regime switching model applied to economic modelling." (2013).Economic Modelling. Forthcoming.
[8] : Continuous time regime switching model applied to foreign exchange rate (2013), with Zou,B. Mathematical Finance Letters. Forthcoming.
[9] : "Dual Optimization problem on defaultable claims" (2013), with Ngoupeyou, A. Mathematical Economics Letters, Forthcoming.
[10] : Optimization problem and mean variance hedging on defaultable Claims (2011), with Ngoupeyou, A.
[11] : Mean variance hedging under defaults risk. (2012), with Sebastien Choukroun and Armand Ngoupeyou.
[12] : Markov switching quadratic term structure models (2013).
[13] : Tobin tax and trading volume tightening : a reassessment (2014), with Olivier Damette.

Other Chaire members

Who are they ?

Steering committeeCommittee

The governance of the Chaire EEM will follow the framework established for all Chaires at Dauphine which is organised around the Steering Committee. The Steering Committee's responsibilities include: (1) defining of the Chaire’s research program and its further utilisation; (2) Determining the composition of the Chaire’s research team; (3) Defining and reviewing the annual budget as well as verifying the commitments of the Chaire EEM; (4) Validating the annual report on the progress of the Chaire’s work established under the responsibility of the scientific director.

Antonio Haya
Chairman, CELEST

Cédric Léonard
Responsable, Pôle Études Économiques, Département Marchés, RTE

Fabienne Salaün
Chargée de Mission, Directions Régulations, EDF

Jan Horst Keppler
Scientific director of the Chaire EEM

Jean-François Conil-Lacoste
Chairman of the Management Board of EPEX SPOT

Patrice Bruel
Directeur Régulation, EDF

Patrice Geoffron
Professeur d’économie, Université Paris-Dauphine

Philippe Vassilopoulos
Director of Product Design, EPEX Spot

Sandra Bouscal
Director of the Foundation Paris-Dauphine

Thomas Veyrenc
Director of Markets and Regulatory Affairs, RTE

Yannick Jacquemart
Directeur R/D-Innovation, RTE

Scientific councilBoard

In addition to the Steering Committee whose existence is specifically foreseen in the Chaire’s Partnership Agreement, the Chaire EEM will have a Scientific Council. The Scientific Council will be Chaireed by an eminent scientific authority and will unite a small number of top researchers who will develop the outlines of the research programme to be submitted to the Steering Committee. It will also ensure a high level of the methodological standards of the Chaire’s research.

Fabien Roques
Conseiller scientifique CEEM, et Compass Lexecon

Jan Horst Keppler
Scientific director of the Chaire EEM

Patrice Geoffron
Professeur d’économie, Université Paris-Dauphine

Prof. Alfred Voss
President of the scientific Council of the CEEM, Institute for Energy Economics (University of Stuttgart)

Prof. David Newbery
Electricity Policy Research Group (Cambridge University),

Prof. Jacques Percebois
CREDEN (Université de Montpellier).

Prof. John Parsons
Centre for Energy and Environmental Policy Research (MIT),

Prof. William D’Haeseleer
University of Leuven Energy Institute

Follow-up committeeBoard

Cédric Léonard
Responsable, Pôle Études Économiques, Département Marchés, RTE

Fabien Roques
Conseiller scientifique CEEM, et Compass Lexecon

Jan Horst Keppler
Scientific director of the Chaire EEM

Michel Cruciani
Researcher

Patrice Geoffron
Professeur d’économie, Université Paris-Dauphine

Philippe Vassilopoulos
Director of Product Design, EPEX Spot

Sandra Bouscal
Director of the Foundation Paris-Dauphine

Thomas Veyrenc
Director of Markets and Regulatory Affairs, RTE

Review boardReview

Small group responsible for assuring that the articles are in compliance with the spirit and objectives of the Chaire European Electricity Markets.

Antonio Haya
Chairman, CELEST

Arnaud Vuillefroy
CELEST

Cédric Léonard
Responsable, Pôle Études Économiques, Département Marchés, RTE

Fabien Roques
Conseiller scientifique CEEM, et Compass Lexecon

Jan Horst Keppler
Scientific director of the Chaire EEM

Patrice Bruel
Directeur Régulation, EDF

Patrice Geoffron
Professeur d’économie, Université Paris-Dauphine

Philippe Vassilopoulos
Director of Product Design, EPEX Spot

Thomas Veyrenc
Director of Markets and Regulatory Affairs, RTE

Yannick Le Pen
Researcher

ResearchersResearchers

Contributing to the research.

Alexandre Coquentin
Former Research Assistant from the École des Mines de Paris

Alvaro Alcazar Andaluz
Researcher

Anna Creti
Researcher

Antoine Verrier
Researcher

Cédric Clastres
Researcher

Charlotte Boureau
Former Research Assistant from Université Paris-Dauphine

Charlotte Scouflaire
Doctoral Student

Dominique Finon
Researcher

Fabien Roques
Conseiller scientifique CEEM, et Compass Lexecon

Guillaume Dezobry
Associate Professor, Université d’Amiens and Lawyer at Paris bar

Hyun Jin Julie Yu
Researcher

Jan Horst Keppler
Scientific director of the Chaire EEM

Julien Fouquau
Associate Professor, Rouen Business School

Manuel Villavicencio
Researcher

María Eugenia Sanin
Assistant Professor, Université d´Evry Val d´Essonne

Marie Bessec
Researcher

Marie Petitet
Researcher

Mauricio Cepeda
Researcher

Michel Cruciani
Researcher

Morwenna Guichoux
Researcher

Patrice Geoffron
Professeur d’économie, Université Paris-Dauphine

Patricia Van Horn Florin
Independent Researcher and Energy Consultant

Régis Bourbonnais
Assistant Professor, University Paris-Dauphine

Sébastien Phan
Researcher

Stéphane Goutte
Researcher

Thao Pham
Researcher

William Meunier
Former Research Assistant from the École des Mines de Paris

Yannick Le Pen
Researcher

Yuanjing Li
Researcher