Details about Delphine Lautier

Access statistics for papers by Delphine Lautier.

Last updated 2012-01-07. Update your information in the RePEc Author Service.

Short-id: pla469

Working Papers

2011

1. Statistical properties of derivatives: a journey in term structures
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
   Also in Papers, arXiv.org (2010) View citations (1)

2010

2. Dynamic Hedging Strategies: An Application to the Crude Oil Market
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine

2009

3. Convenience Yield and Commodity Markets
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
4. Energy Finance: The Case for Derivative Markets
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
5. Titrisation: analyse économique et financière
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine

2008

6. Les réhausseurs de crédit: anatomie d'une crise
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
7. The Determinants Of Volatility On The American Crude Oil Futures Market
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
   See also Journal Article in OPEC Energy Review (2008)

2005

8. A Matter of Principal
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine View citations (1)
9. Segmentation in the Crude Oil Futures Term Structure
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine View citations (2)
10. Term Structure Models of Commodity Prices: A Review
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine View citations (4)
11. Term structure of crude oil futures prices: a principal component analysis
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine View citations (1)

2004

12. La volatilité des prix des matières premières
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
13. Simple and extended Kalman filters: an application to term structures of commodity prices
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
    See also Journal Article in Applied Financial Economics (2004)

2003

14. Filtering in Finance
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine View citations (5)
15. Les performances des entreprises électriques européennes
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine View citations (1)

2000

16. La structure par terme des prix des commodités: analyse théorique et applications au marché pétrolier
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine

Undated

17. Commodity derivative markets
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
18. Systemic risk in derivative markets: A graph-theory analysis
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine View citations (2)
    Also in Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
19. The freight market and its interactions with the energy system
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
20. The informational value of crude oil futures prices
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine View citations (2)
21. The theory of storage and the convenience yield
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine

Journal Articles

2008

1. The determinants of volatility on the American crude oil futures market
   OPEC Energy Review, 2008, 32, (2), 105-122
   See also Working Paper (2008)

2004

2. Simple and extended Kalman filters: an application to term structures of commodity prices
   Applied Financial Economics, 2004, 14, (13), 963-973
   See also Working Paper (2004)

1998

3. Les opérations de Metallgesellschaft sur les marchés à terme de produits pétroliers:spéculation ou couverture ?
   Revue Finance Contrôle Stratégie, 1998, 1, (3), 107-129 View citations (1)