Franck Raynaud

Lausanne University, Swiss Institute of Bioinformatics

Post doctorate

bugnon 27

Lausanne, 1011

Switzerland

SCHOLARLY PAPERS

4

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1,393

SSRN CITATIONS
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SSRN RANKINGS

Top 43,545

in Total Papers Citations

12

CROSSREF CITATIONS

4

Scholarly Papers (4)

Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis

Number of pages: 35 Posted: 28 Mar 2010 Last Revised: 02 Nov 2014
Delphine Lautier and Franck Raynaud
University Paris Dauphine and Lausanne University, Swiss Institute of Bioinformatics
Downloads 538 (72,424)
Citation 1

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Integration, Systemic Risk, Energy, Derivatives, Graph Theory, Minimum Spanning Trees

Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis

USAEE Working Paper
Number of pages: 20 Posted: 21 Mar 2012
Delphine Lautier and Franck Raynaud
University Paris Dauphine and Lausanne University, Swiss Institute of Bioinformatics
Downloads 349 (120,558)
Citation 6

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Systemic risk, Energy, Derivative markets, High dimensional analysis, Graph theory, Minimum spanning trees

Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices

Number of pages: 42 Posted: 30 Apr 2014 Last Revised: 18 May 2018
Delphine Lautier, Franck Raynaud and Michel A. Robe
University Paris Dauphine, Lausanne University, Swiss Institute of Bioinformatics and University of Illinois at Urbana-Champaign
Downloads 243 (175,412)

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Mutual information, Market integration, Shocks propagation, Information entropy, Shock Propagation, Directed graphs, Term structure, Futures, Crude oil, WTI

Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices

The Energy Journal 40(3): 125-153, 2019
Posted: 24 Jun 2019 Last Revised: 06 Sep 2019
Delphine Lautier, Michel A. Robe and Franck Raynaud
University Paris Dauphine, University of Illinois at Urbana-Champaign and Lausanne University, Swiss Institute of Bioinformatics

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Statistical Properties of Derivatives: A Journey in Term Structures

Number of pages: 8 Posted: 03 Nov 2010
Delphine Lautier and Franck Raynaud
University Paris Dauphine and Lausanne University, Swiss Institute of Bioinformatics
Downloads 102 (360,131)
Citation 1

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Derivatives, Term Structures, Statistical Properties, Lévy Stable, Phase Diagram

Statistical Properties of Derivatives: A Journey in Term Structures

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 13 Posted: 09 May 2011
Delphine Lautier and Franck Raynaud
University Paris Dauphine and Lausanne University, Swiss Institute of Bioinformatics
Downloads 82 (413,272)
Citation 1

Abstract:

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4.

Integration of Commodity Derivative Markets: Has it Gone Too Far ?

Number of pages: 28 Posted: 30 Apr 2014 Last Revised: 16 Sep 2014
Delphine Lautier, Julien Ling and Franck Raynaud
University Paris Dauphine, Paris Dauphine University, Department of Finance and Lausanne University, Swiss Institute of Bioinformatics
Downloads 79 (418,027)

Abstract:

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commodity markets, financial markets, derivative markets, market integration, crises, graph theory, minimum spanning tree, centrality