Curriculum vitae

Lautier Delphine

Professeur des universités
DRM

delphine.lautierping@dauphine.pslpong.eu
Tel : 01 44 05 46 73
Bureau : P406
Site web personnel

Biographie

Delphine LAUTIER is professor of finance at the University Paris-Dauphine and attached to DRM-Finance (UMR CNRS 7088). She is also part of the scientific and steering committees for the Chair Finance and Sustainable Development (http://events.chairefdd.org/?page_id=2), member of the FIME orientation committee (http://www.fime-lab.org/an/presentation), and associate researcher at Ecole des Mines ParisTech.

Her current research projects involve, first, the creation of equilibrium models designed to explain the relationships between the physical and the paper markets of commodities. Second, she develops new methodologies inspired by the graph-theory and statistical physics and applies it to the analysis of systemic risk. Her works are of interest to regulatory authorities, to the financial sector, and to the companies that produce, sell or use energy commodities. Since 2005, she has advised, several times, French and European regulators on commodity markets, speculation, and the design of regulatory policies.

Dernières publications

Articles

Ekeland I., Lautier D., Villeneuve B. (2018), Hedging pressure and speculation in commodity markets, Economic Theory

Jaeck E., Lautier D. (2016), Volatility in electricity derivative markets: the Samuelson effect revisited, Energy Economics, vol. 59, p. 300-313

Raynaud F., Lautier D. (2012), Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis, The Energy Journal, vol. 33, n°3, p. 215-239

Lautier D., Raynaud F. (2011), Statistical properties of derivatives: a journey in term structures, Physica. A, Statistical Mechanics and its Applications, vol. 390, n°11, p. 2009-2019

Galli A., Lautier D. (2010), Dynamic Hedging Strategies: An Application to the Crude Oil Market, The Review of Futures Markets, vol. 19, n°1, p. 7-41

Lautier D. (2009), Convenience Yield and Commodity Markets, Bankers, Markets & Investors, n°102, p. 59-66

Simon Y., Lautier D. (2009), Marchés dérivés de matières premières et de denrées : un panorama, Analyse financière, n°32, p. 16-19

Lautier D., Riva F. (2008), The Determinants Of Volatility On The American Crude Oil Futures Market, OPEC Energy Review, vol. 32, n°2, p. 105-122

Simon Y., Lautier D. (2008), Les réhausseurs de crédit : anatomie d'une crise, Risques, n°73-74, p. 285-294

Lautier D., Simon Y. (2008), Les rehausseurs de crédit : anatomie d'une crise, Revue d'économie financière, n°Supplement, p. 305-314

Lautier D. (2005), A Matter of Principal, Energy Risk, p. 58-62

Lautier D. (2005), The term structure of crude oil futures prices : a principal component analysis, Banque & marchés, n°76, p. 72-80

Lautier D. (2005), Segmentation in the Crude Oil Futures Term Structure, Finance India, vol. 19, n°4, p. 1303-1320

Galli A., Lautier D. (2004), Simple and extended Kalman filters : an application to term structures of commodity prices, Applied Financial Economics, vol. 14, n°13, p. 963-973

Lautier D., Riva F. (2004), Volatilité et liquidité sur le marché du pétrole brut, Option Finance, n°799, p. 58

Lautier D. (2004), Analyse de l'ouvrage de Didier MARTEAU, Jean CARLE, Stéphane FOURNEAUX, Ralph HOLZ, Michael MORENO, La gestion du risque climatique, Economica, Paris, 2004., Risques, n°57, p. 127-127

Simon Y., Lautier D. (2004), La volatilité des prix des matières premières, Revue d'économie financière, vol. 1, n°74, p. 45-84

Lautier D. (2003), Les performances des entreprises électriques européennes, Economies et Sociétés. Série EN, Economie de l'énergie, vol. 37, n°2-3, p. 257-287

Javaheri A., Galli A., Lautier D. (2003), Filtering in Finance, Wilmott, n°5, p. 67-83

Lautier D. (2003), Les options réelles : une idée séduisante, un concept utile et multiforme, un instrument facile à créer mais difficile à valoriser, Economies et sociétés, vol. 37, n°2-3, p. 403-432

Lautier D. (2002), Trois modèles de structure par terme des prix du pétrole : une comparaison, Banque & marchés, n°57, p. 46-57

Lautier D. (1998), Les opérations de metallgesellschaft sur les marchés à terme de produits pétroliers : spéculation ou couverture ?, Finance contrôle stratégie, vol. 1, n°3, p. 107-129

Ouvrages

Lasry J-M., Lautier D., Fessler D., Ekeland I. (2013), The ocean as a global system, Portland, Oregon: ESKA, 162 p.

Simon Y., Lautier D. (2011), Les 100 mots des marchés dérivés, Paris: PUF - Presses Universitaires de France, 126 p.

Lautier D. (2010), La structure par terme des prix des commodités : Analyse théorique et applications au marché pétrolier, Sarrebruck: Editions universitaires europeennes, 487 p.

Fessler D., Lautier D., Lasry J-M. (2010), The economics of sustainable development, Paris: Economica, 366 p.

Simon Y., Lautier D. (2009), Les 100 mots des marchés dérivés, Paris: PUF - Presses Universitaires de France, 127 p.

Morel C., Lautier D., Simon Y. (2009), Finance internationale, Paris: Economica, 966 p.

Lautier D., Simon Y. (2007), Finance internationale et gestion des risques : questions et exercices corrigés, Paris: Economica, 378 p.

Lautier D., Simon Y. (2006), Marchés dérivés de matières premières, Paris: Economica, 548 p.

Lautier D., Simon Y. (2003), Finance internationale et gestion des risques : questions et exercices corrigés, Paris: Economica, 384 p.

Lautier D., Simon Y. (2003), Techniques financières internationales - (8è ed.), Paris: Economica, 816 p.

Chapitres d'ouvrage

Lautier D., Aïd R. (2018), A model on the spot-futures no-arbitrage relations in commodity markets, in J. Chevallier, S. Goutte, D. Guerreiro, S. Saglio and B. Sanhaji, Handbook of Applied Econometrics: Financial Mathematics, Volatility and Covariance Modelling Routledge , p. 20

Lautier D., Ling J., Raynaud F. (2015), Integration of commodity derivative markets: Has it gone too far?, in René Aïd, Michael Ludkovski, Ronnie Sircar, Commodities, Energy and Environmental Finance, New York: Springer, p. 65-90

Raynaud F., Lautier D. (2013), Systemic Risk and Complex Systems: A Graph-Theory Analysis, in Ghosh, Asim, Econophysics of Systemic Risk and Network Dynamics, Berlin: Springer, p. 298

Lambinet R., Lautier D. (2013), Le rôle du marché à terme et du marché au comptant dans la formation des prix des matières premières, in Le Dolley, Erik, Droit, économie et marchés de matières premières agricoles, Paris: LGDJ - Librairie générale de droit et de jurisprudence, p. XII-300

Lautier D. (2013), Energy Finance: The case for derivative markets, in Geoffron, Patrice, The new energy crisis‎: climate, economics and geopolitics, Basingstoke: Springer, p. XX-319

Lautier D., Raynaud F. (2012), High dimensionality in finance: a graph-theory analysis, in Wagner, Niklas, Derivative Securities Pricing and Modelling, Bingley: Emerald, p. 93-119

Simon Y., Lautier D. (2012), Systemic Risk in Derivative Markets: an Empirical Assessment Through Network Analysis, in Wagner, Niklas, Contemporary Studies in Economics and Financial Analysis: Derivative Securities Pricing and Modelling Emerald, p. 450

Lautier D., Simon Y. (2009), Les marchés dérivés énergétiques, in Geoffron, Patrice, Les nouveaux défis de l'énergie : climat, économie, géopolitique, Paris: Economica, p. 299

Lautier D., Simon Y. (2009), Titrisation : analyse économique et financière, in Raimbourg, Philippe, Ingénierie financière, fiscale et juridique 2008-2009, Paris: Dalloz, p. 1408

Lautier D., Simon Y. (2009), Energy Finance: The Case for Derivative Markets, in Chevalier, Jean-Marie, The New Energy Crisis: Climate, Economics and Geopolitics, Basingstoke: Springer, p. 295

Communications sans actes

Lautier D., Ekeland I., Villeneuve B. (2018), Hedging pressure and speculation in commodity futures markets, 2nd Commodity Winter Workshop, Nantes, France

Lautier D., Robe M., Raynaud F. (2018), Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices, US Commodity Futures and Trading Commission Seminar, Washington, États-Unis

Lautier D., Raynaud F., Robe M. (2017), Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices, AFFI 34th International Conference, Valence, France

Lautier D., Jaeck E. (2014), Samuelson hypothesis and electricity derivative markets, 31st International French Finance Association Conference, AFFI 2014, Aix-en-Provence, France

Lautier D., Raynaud F. (2014), Information Flows in the term structure of commodity prices, 7th Financial Risks International Forum on 'Big Data in Finance and Insurance', Paris, France

Lautier D., Ling J., Raynaud F. (2014), Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?, 31st International French Finance Association Conference (AFFI 2014), Aix-en-Provence, France

Lautier D., Ekeland I., Villeneuve B. (2014), Speculation in commodity futures markets: A simple equilibrium model, séminaire Hotelling (RITM – ENS CACHAN), Paris, France

Jaeck E., Lautier D. (2014), Electricity derivative markets and Samuelson hypothesis, 14th IAEE European Energy Conference, Rome, Italie

Villeneuve B., Ekeland I., Lautier D. (2013), A simple equilibrium model for a commodity market with spot trades and futures contracts, 30th International French Finance Association Conference, Lyon, France

Raynaud F., Lautier D. (2011), The freight market and its interactions with the energy system, The Ocean, Green Shipping and Sustainable Energy, Paris, France

Raynaud F., Lautier D. (2010), Systemic risk in derivative markets: A graph-theory analysis, AFFI 2010, Saint-Malo, France

Galli A., Lautier D. (2010), Dynamic hedging strategies: An application to the crude oil market, Séminaire du CERNA (Centre d'Economie Industrielle) Mines Paris-Tech, Paris, France

Raynaud F., Lautier D. (2010), Systemic risk in derivative markets: A graph-theory analysis, Séminaire Economie du risque - Paris-Dauphine, Paris, France

Armstrong M., Lautier D., Galli A. (2009), A reality check of hedging practices in the mining industry, Project evaluation 2009 (The AusIMM ), Melbourne, Australie

Lautier D. (2008), Les prix des instruments financiers dérivés, source de décision politique et stratégique, Conférence du Conseil Français Energie : "La recherche en économie, source de la décision politique et stratégique : l’exemple de l’énergie", Paris, France

Lautier D. (2008), The theory of storage and the convenience yield, Summer School of Pacific Institute for the Mathematical Sciences (PIMS) in "Perceiving, measuring and managing risk : illiquidity, long-term risk, natural resources", Vancouver, Canada

Lautier D. (2008), Commodity derivative markets, Summer School of Pacific Institute for the Mathematical Sciences (PIMS) in "Perceiving, measuring and managing risk : illiquidity, long-term risk, natural resources", Vancouver, Canada

Lautier D., Riva F. (2004), Liquidity and volatility in the American crude oil futures market, Conférence internationale de l'Association Française de FInance (AFFI), Cergy, France

Riva F., Lautier D. (2004), Liquidity and volatility in the American crude oil futures market, Northern Finance Association, Saint John's, Canada

Galli A., Lautier D. (2004), Simple and extended Kalman filters : an application to term structure of commodity prices, Crossing frontiers in quantitative and qualitative research methods, Lyon, France

Lautier D. (2003), The informational value of crude oil futures prices, Congrès de l'Association Française de FInances (AFFI), Lyon, France

Galli A., Lautier D. (2003), Simple and extended Kalman filters : an application to term structure of commodity prices, Congrès de l'Association Française de FInances (AFFI), Lyon, France

Lautier D. (2003), Valuation of an oil field using real options and the information provided by term structures of commodity prices, 7th Annual Real Options Conference, Washington, États-Unis

Présentation(s) dans un séminaire de recherche

Lautier D., Raynaud F., Robe M. (2017), Shocks propagation across the futures term structure : evidence from crude oil prices, in The Commercial Ags Seminar Series, Illinois University at Urbana-Champaign,, Urbana-Champaign (Ill.), 42 p

Prépublications / Cahiers de recherche

Campi L., Aïd R., Lautier D. (2015), A note on the spot-forward no-arbitrage relations in an investment-production model for commodities, 14 p.

Lautier D., Raynaud F., Robe M. (2014), Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices, Les Cahiers de la Chaire Intelligence économique et stratégie des organisations (IESO), 34 p.

Raynaud F., Lautier D. (2010), Systemic risk in derivative markets: A graph-theory analysis, Paris, Université Paris-Dauphine

Lautier D. (2002), The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters, Paris, Cahier de recherche CEREG (DRM), 24 p.

Galli A., Lautier D. (2001), Un modèle de structure par terme des prix des matières premières avec comportement asymétrique du rendement d'opportunité, Paris, Cahier de recherche CEREG, 32 p.

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