Delphine Lautier

University Paris Dauphine

Professor

place du Maréchal de Lattre de Tassigny

cedex 16

Paris, 75775

France

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 44,817

in Total Papers Citations

5

CROSSREF CITATIONS

6

Scholarly Papers (9)

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 513 (53,518)

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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 320 (94,195)
Citation 3

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

2.

Dynamic Hedging Strategies: An Application to the Crude Oil Market

Number of pages: 45 Posted: 11 Mar 2010
Delphine Lautier and Alain G. Galli
University Paris Dauphine and Cerna Mines-Paristech
Downloads 639 (40,758)

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Dynamic Hedging, Commodities, Futures, Long-term commitment, Calibration

3.

Hedging Pressure and Speculation in Commodity Markets

Economic Theory, Forthcoming
Number of pages: 41 Posted: 10 Sep 2013 Last Revised: 30 Apr 2018
Ivar Ekeland, Delphine Lautier and Bertrand Villeneuve
University of British Columbia (UBC) - Faculty of Education, University Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 567 (47,816)
Citation 3

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Equilibrium model; commodity; speculation; regulation; futures markets

4.

Dynamic Hedging Strategies: An Application to the Crude Oil Market

Review of Futures Market, Forthcoming
Number of pages: 45 Posted: 29 Mar 2010
Delphine Lautier and Alain G. Galli
University Paris Dauphine and Cerna Mines-Paristech
Downloads 254 (121,377)

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Dynamic Hedging, Commodities, Futures, Long-Term Commitment, Calibration

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 222 (138,386)

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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 98 (272,968)
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 74 (325,760)

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7.

Volatility in Electricity Derivative Markets: The Samuelson Effect Revisited

Energy Economics, Vol. 59, 2016
Number of pages: 36 Posted: 30 Apr 2014 Last Revised: 19 Feb 2017
Edouard Jaeck and Delphine Lautier
Université Paris Dauphine - Department of Finance and University Paris Dauphine
Downloads 131 (220,098)

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Samuelson effect, Commodity futures, Energy derivative markets, Electricity, Indirect storability, Volatility spillovers

8.

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 70 (332,327)

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

9.

The Determinants of Volatility on the American Crude Oil Futures Market

OPEC Energy Review, Vol. 32, Issue 2, pp. 105-122, June 2008
Number of pages: 18 Posted: 07 Aug 2008
Delphine Lautier and Fabrice Riva
University Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 2 (645,015)
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