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Tavin, Bertrand's
Scholarly Papers
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1.
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Tavin, Bertrand
Université Paris 1 - Panthéon Sorbonne
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13 Jan 11
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17 Feb 13
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333
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Option pricing, Risk-neutral distribution, Implied volatility smile
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2.
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Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals
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Tavin, Bertrand
Université Paris 1 - Panthéon Sorbonne
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Posted:
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09 Jun 12
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Last Revised:
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07 Nov 12
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109
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Tavin, Bertrand
Université Paris 1 - Panthéon Sorbonne
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26 Jul 12
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Last Revised:
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07 Nov 12
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85
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arbitrage, multi-asset derivative, incomplete market, risk-neutral measure, multivariate distribution, copula function
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Tavin, Bertrand
Université Paris 1 - Panthéon Sorbonne
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09 Jun 12
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Last Revised:
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07 Nov 12
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24
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Arbitrage, Multi-Asset Derivative, Incomplete Market, Risk-Neutral Measure, Multivariate Distribution, Copula Function
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3.
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Tavin, Bertrand
Université Paris 1 - Panthéon Sorbonne
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22 Dec 12
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Last Revised:
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28 May 13
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9
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Risk Management, Two-Asset Derivative, Spread Option, Implied Correlation, Multivariate Distribution, Copula Function
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4.
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Tavin, Bertrand
Université Paris 1 - Panthéon Sorbonne
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Bernstein Copulas, Multi-asset Derivative Pricing, Approximation, Multivariate Distributions
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