Delphine Lautier

University Paris Dauphine

Professor

place du Maréchal de Lattre de Tassigny

cedex 16

Paris, 75775

France

SCHOLARLY PAPERS

8

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3,163

SSRN CITATIONS
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SSRN RANKINGS

Top 30,356

in Total Papers Citations

22

CROSSREF CITATIONS

6

Scholarly Papers (8)

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 (72,495)
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 (120,706)
Citation 6

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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 676 (54,860)

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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 668 (55,689)
Citation 10

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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 256 (167,541)

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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 243 (175,607)

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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 (360,502)
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 83 (410,763)
Citation 1

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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 169 (244,780)
Citation 3

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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 79 (418,468)

Abstract:

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