Carole Bernard

Grenoble Ecole de Management

Professor

12, rue Pierre Sémard

Grenoble Cedex, 38003

France

SCHOLARLY PAPERS

48

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13,376

CITATIONS
Rank 4,933

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Top 4,933

in Total Papers Citations

106

Scholarly Papers (48)

1.

Mr. Madoff's Amazing Returns: An Analysis of the Split-Strike Conversion Strategy

Journal of Derivatives, Vol. 17, No. 1, 2009
Number of pages: 30 Posted: 01 Apr 2009 Last Revised: 23 May 2011
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 2,286 (3,668)
Citation 7

Abstract:

Madoff, split-strike conversion strategy, performance measurement

2.

Locally-Capped Investment Products and the Retail Investor

Journal of Derivatives, Vol. 18, No. 4, pp. 72-88
Number of pages: 34 Posted: 07 Mar 2008 Last Revised: 29 Jan 2012
Carole Bernard, Phelim P. Boyle and Will Gornall
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and University of British Columbia (UBC) - Sauder School of Business
Downloads 882 (18,967)
Citation 4

Abstract:

Household finance, structured products, retail investor, locally-capped contracts

3.

Pricing Timer Options

Journal of Computational Finance, Vol. 15, No. 1, 2011
Number of pages: 37 Posted: 19 May 2010 Last Revised: 24 Jan 2012
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology
Downloads 821 (16,208)
Citation 2

Abstract:

Stochastic volatility, Volatility derivative, timer option, quadratic variation, correlation, Heston model, Hull and White model.

4.
Downloads 669 ( 31,406)
Citation 5

Explicit Representation of Cost-Efficient Strategies

Number of pages: 39 Posted: 30 Jul 2010 Last Revised: 18 Apr 2013
Carole Bernard, Phelim P. Boyle and Steven Vanduffel
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and Vrije Universiteit Brussel (VUB)
Downloads 522 (42,992)
Citation 5

Abstract:

Law-invariant increasing preferences, Stochastic Dominance, Expected Utility, State-dependent preferences, Copulas

Explicit Representation of Cost-Efficient Strategies

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 22 Oct 2010
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 147 (169,216)
Citation 5

Abstract:

Stochastic Dominance, Efficiency Cost, Expected Utility Optimization, Portfolio Choice

5.

Monte Carlo Methods for Pricing Discrete Parisian Options

European Journal of Finance, Vol. 17, Issue 3, 2011
Number of pages: 40 Posted: 11 Jul 2009 Last Revised: 24 Jan 2012
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 548 (37,327)
Citation 51

Abstract:

Parisian Options, Monte Carlo, Discrete Monitoring, Control Variate, Early Exercise, Executive Stock Options, Mr. Thain.

6.

Static Portfolio Choice Under Cumulative Prospect Theory

Mathematics and Financial Economics, Vol. 2, No. 4, March, 2010
Number of pages: 40 Posted: 30 Apr 2009 Last Revised: 19 Jul 2010
Carole Bernard and Mario Ghossoub
Grenoble Ecole de Management and University of Waterloo
Downloads 498 (42,208)
Citation 8

Abstract:

Cumulative Prospect Theory, Portfolio Choice, Behavioral Finance, Omega Measure

7.

Statistical Assessments of Systemic Risk Measures

Number of pages: 19 Posted: 12 May 2012
Grenoble Ecole de Management, Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 415 (43,615)

Abstract:

Optimal Insurance Design Under Rank-Dependent Expected Utility

Number of pages: 42 Posted: 11 Jul 2011 Last Revised: 11 Dec 2012
Carole Bernard, Xue Dong He, Jia‐An Yan and Xun Yu Zhou
Grenoble Ecole de Management, The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 386 (62,621)

Abstract:

optimal insurance design, rank-dependent expected utility, inverse-S shaped probability distortion, indemnity, quantile formulation, deductible

Optimal Insurance Design Under Rank‐Dependent Expected Utility

Mathematical Finance, Vol. 25, Issue 1, pp. 154-186, 2015
Number of pages: 33 Posted: 17 Jan 2015
Carole Bernard, Xuedong He, Jia‐An Yan and Xun Yu Zhou
Grenoble Ecole de Management, Columbia University, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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Abstract:

optimal insurance design, rank‐dependent expected utility, inverse‐S shaped probability distortion, indemnity, quantile formulation, deductible

9.

Pricing Derivatives With Barriers in a Stochastic Interest Rate Environment

Journal of Economic Dynamics and Control, Vol. 32, No. 9, pp. 2903-2938, September 2008
Number of pages: 32 Posted: 26 Mar 2005 Last Revised: 14 Apr 2010
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 365 (60,461)
Citation 1

Abstract:

Change of Numéraire, HJM model, Barrier Option, Markovian Approximation

Value-at-Risk Bounds with Variance Constraints

Number of pages: 38 Posted: 18 Oct 2013 Last Revised: 10 Jul 2015
Grenoble Ecole de Management, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 348 (70,779)

Abstract:

Value-at-Risk, Convex order, Comonotonicity, Model risk, Rearrangement algorithm

Value‐At‐Risk Bounds with Variance Constraints

Journal of Risk and Insurance, Vol. 84, Issue 3, pp. 923-959, 2017
Number of pages: 37 Posted: 15 Aug 2017
Grenoble Ecole de Management, University of Freiburg and Vrije Universiteit Brussel (VUB)
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Abstract:

11.

A New Approach to Assessing Model Risk in High Dimensions

Journal of Banking and Finance, Forthcoming
Number of pages: 28 Posted: 10 Feb 2014 Last Revised: 03 Apr 2015
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 342 (52,092)

Abstract:

Model Risk, VaR, TVaR, variance, tail dependence, tail correlation

12.

Improving the Design of Financial Products in a Multidimensional Black-Scholes Market

North American Actuarial Journal, Vol. 15, No.1, pp. 77-96
Number of pages: 26 Posted: 14 Apr 2010 Last Revised: 07 Dec 2011
Carole Bernard, Mateusz Maj and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Vrije Universiteit Brussel (VUB)
Downloads 323 (74,897)
Citation 2

Abstract:

cost-efficiency, optimal design, Black-Scholes

13.

Impact of Counterparty Risk on the Reinsurance Market

North American Actuarial Journal, Forthcoming
Number of pages: 34 Posted: 07 Jan 2011 Last Revised: 24 Jan 2012
Carole Bernard and Michael Ludkovski
Grenoble Ecole de Management and University of California, Santa Barbara
Downloads 271 (86,480)
Citation 1

Abstract:

Optimal Insurance Design, Multiplicative background risk, Counterparty risk, Reinsurance market, Stop-loss Insurance

14.

Fixed-Strike European Arithmetic Asian Options: A Comment

Number of pages: 11 Posted: 29 Sep 2009
Carole Bernard, Phelim P. Boyle and Will Gornall
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and University of British Columbia (UBC) - Sauder School of Business
Downloads 271 (92,380)

Abstract:

Asian options, Tse and Mok formula, pricing

15.

Nearly Exact Option Price Simulation Using Characteristic Functions

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 37 Posted: 23 Jul 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology and University of Waterloo
Downloads 216 (110,712)

Abstract:

Characteristic function, Monte Carlo, Option pricing, Parisian option, Heston model

16.

Note on 'Improved Frechet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011)

Journal of Applied Probability, Forthcoming
Number of pages: 12 Posted: 13 Feb 2012 Last Revised: 11 May 2012
Carole Bernard, Xiao Jiang and Steven Vanduffel
Grenoble Ecole de Management, University of Waterloo and Vrije Universiteit Brussel (VUB)
Downloads 214 (103,031)

Abstract:

bounds, copulas, Frechet Hoeffding bounds, quasi-copula, optimal investment, state dependent constraints

17.
Downloads 191 (134,050)

Financial Bounds for Insurance Claims

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 13 Oct 2011 Last Revised: 11 Feb 2012
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 191 (133,901)
Citation 1

Abstract:

Cost-efficiency, Jensen’s inequality, Fréchet bounds, Indifference pricing

Financial Bounds for Insurance Claims

Journal of Risk and Insurance, Vol. 81, Issue 1, pp. 27-56, 2014
Number of pages: 30 Posted: 15 Feb 2014
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 0
Citation 1
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Abstract:

Financial Bounds for Insurance Claims

Journal of Risk and Insurance, Forthcoming.
Posted: 23 Aug 2011 Last Revised: 22 Nov 2014
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)

Abstract:

18.

Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework

North American Actuarial Journal, Vol. 14, No. 1, pp. 131-149, 2010
Number of pages: 31 Posted: 17 Jan 2006 Last Revised: 15 Aug 2015
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 190 (133,394)

Abstract:

Participating Contracts, Safety Loading, Default Risk, Interest Rate Risk, Market Value, Fair Value Principle, Premium Principle, Equity Default Swap

19.

Prices and Asymptotics for Discrete Variance Swaps

Applied Mathematical Finance, Forthcoming
Number of pages: 44 Posted: 23 Jul 2012 Last Revised: 19 Jun 2013
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology
Downloads 186 (119,902)
Citation 2

Abstract:

Discrete variance swaps, Heston model, Hull-White model, Schoebel-Zhu model

20.

Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection

Forthcoming in European Journal of Operational Research
Number of pages: 27 Posted: 30 Sep 2012 Last Revised: 23 Jun 2013
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 173 (132,089)

Abstract:

Mean-variance, Fraud detection, Optimal portfolio, Correlation constraints

21.

A Note on Exchange Options Under Stochastic Interest Rates

Number of pages: 7 Posted: 17 Jun 2010
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology
Downloads 169 (132,089)

Abstract:

Exchange options, Stochastic interest rates

22.

A New Procedure for Pricing Parisian Options

Journal of Derivatives, Vol. 12, No. 4, 2005
Number of pages: 32 Posted: 13 Feb 2012 Last Revised: 12 Jan 2014
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 166 (130,881)
Citation 2

Abstract:

23.

Development and Pricing of a New Participating Contract

North American Actuarial Journal, Vol. 10, No. 4, pp. 179-195, 2006
Number of pages: 22 Posted: 30 Jan 2006 Last Revised: 01 Mar 2010
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 166 (148,327)
Citation 3

Abstract:

Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Dubins-Schwarz theorem

24.

Optimal Portfolios Under Worst-Case Scenarios

Forthcoming in Quantitative Finance
Number of pages: 32 Posted: 04 Nov 2013
Carole Bernard, Jit Seng Chen and Steven Vanduffel
Grenoble Ecole de Management, Independent and Vrije Universiteit Brussel (VUB)
Downloads 165 (104,753)

Abstract:

Behavioral Portfolio Selection, State-dependent preferences, Risk Diversification, Cost-efficiency, Path-dependent Strategies, Growth Optimal Portfolio

25.

Measuring Portfolio Risk Under Partial Dependence Information

Number of pages: 39 Posted: 09 Mar 2014 Last Revised: 17 Jun 2016
Carole Bernard, Michel Denuit and Steven Vanduffel
Grenoble Ecole de Management, Catholic University of Louvain and Vrije Universiteit Brussel (VUB)
Downloads 137 (98,749)

Abstract:

Stochastic dominance, Moment space, s-convex order, Value-at-Risk

26.

Risk Sharing & Pricing in the Reinsurance Market

Number of pages: 42 Posted: 24 Dec 2012
Carole Bernard
Grenoble Ecole de Management
Downloads 115 (178,800)

Abstract:

reinsurance market, optimal design, insurance policies, intermediation, risk management, risk sharing, basis risk, moral hazard, securitization, reinsurance premium

27.

Comment on 'The Large-Maturity Smile for the Heston Model'

Number of pages: 9 Posted: 21 Mar 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology and University of Waterloo
Downloads 108 (191,132)

Abstract:

Moment explosion, Heston model, Asymptotics for large maturity, Essential smoothness, Large deviations principle

28.

Performance Regularity: A New Class of Executive Compensation Packages

Asia-Pacific Financial Markets, Vol. 19, No. 4, pp. 353-370, 2012
Number of pages: 24 Posted: 23 Jan 2012 Last Revised: 11 Jan 2014
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 96 (224,824)
Citation 1

Abstract:

Executive stock options, Parisian options, Optimal compensation

29.

Risk Management of Policyholder Behavior in Equity Linked Life Insurance

Number of pages: 34 Posted: 08 Feb 2015
University of Waterloo, University of Montreal - Department of Mathematics and Statistics, Grenoble Ecole de Management and University of Waterloo
Downloads 87 (132,745)

Abstract:

Variable annuities, pricing, GMMB, dynamic hedging, surrender behavior

30.

State-Dependent Fees for Variable Annuity Guarantees

Number of pages: 29 Posted: 30 Apr 2013 Last Revised: 27 Jul 2013
Carole Bernard, Mary R. Hardy and Anne MacKay
Grenoble Ecole de Management, University of Waterloo and University of Waterloo
Downloads 77 (223,340)
Citation 1

Abstract:

Variable annuities, pricing, GMMB, GMDB, surrender option

On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 02 Oct 2013 Last Revised: 12 Jul 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology and University of Waterloo
Downloads 59 (312,639)

Abstract:

Martingale property, Local martingale, Stochastic volatility, Engelbert-Schmidt zero-one law

On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions

Mathematical Finance, Vol. 27, Issue 1, pp. 194-223, 2017
Number of pages: 30 Posted: 15 Jan 2017
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology and University of Waterloo
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Abstract:

Martingale property, local martingale, stochastic volatility, Engelbert Schmidt zero‐one law

32.

How Robust is the Value-at-Risk of Credit Risk Portfolios?

Number of pages: 30 Posted: 27 Feb 2015
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 56 (189,991)

Abstract:

Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk portfolio. Minimum variance

33.

Risk Bounds for Factor Models

Finance and Stochastics, Forthcoming
Number of pages: 31 Posted: 03 Mar 2015 Last Revised: 09 Feb 2017
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 48 (134,050)

Abstract:

factor models, risk aggregation, dependence uncertainty, Value-at-Risk

34.

Optimal Surrender Policy for Variable Annuity Guarantees

Number of pages: 32 Posted: 11 Nov 2013 Last Revised: 31 Jan 2014
Carole Bernard, Anne MacKay and Max Muehlbeyer
Grenoble Ecole de Management, University of Waterloo and University of Ulm
Downloads 45 (319,151)

Abstract:

Variable annuities, Optimal surrender, GMMB, GMSB

35.

Rationalizing Investors Choice

Journal of Mathematical Economics, Forthcoming
Number of pages: 30 Posted: 02 Feb 2014 Last Revised: 01 May 2015
Carole Bernard, Jit Seng Chen and Steven Vanduffel
Grenoble Ecole de Management, Independent and Vrije Universiteit Brussel (VUB)
Downloads 42 (324,803)

Abstract:

First-order stochastic dominance, Expected Utility, Utility Estimation, Risk Aversion, Law-invariant Preferences, Decreasing Absolute Risk Aversion, Arrow-Pratt risk aversion measure

36.

Bounds on Capital Requirements for Bivariate Risk with Given Marginals and Partial Information on the Dependence

Number of pages: 23 Posted: 04 Oct 2013
Grenoble Ecole de Management, University of Waterloo, University of Waterloo and INSEAD
Downloads 27 (383,327)

Abstract:

Copulas, Fréchet-Hoeffding bounds, Capital requirements

37.

Optimal Reinsurance Arrangements Under Tail Risk Measures

Journal of Risk and Insurance, Vol. 76, Issue 3, pp. 709-725, September 2009
Number of pages: 17 Posted: 13 Oct 2009
Carole Bernard and Weidong Tian
Grenoble Ecole de Management and University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration
Downloads 3 (532,568)
Citation 4
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Abstract:

38.

Optimal Portfolio Choice with Benchmarks

Number of pages: 35 Posted: 21 Jun 2017
Carole Bernard, Rob De Staelen and Steven Vanduffel
Grenoble Ecole de Management, Ghent University-Universiteit Gent and Vrije Universiteit Brussel (VUB)
Downloads 0 (403,290)

Abstract:

optimal portfolio, algorithm, law-invariant, distortion, utility, GOP, cost-efficiency, state-dependent preferences, discrete optimization

39.

Risk Management of Policyholder Behavior in Equity‐Linked Life Insurance

Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 661-690, 2017
Number of pages: 30 Posted: 15 May 2017
ETH Zurich - Department of Mathematics, University of Montreal - Department of Mathematics and Statistics, Grenoble Ecole de Management and University of Waterloo
Downloads 0 (544,931)
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Abstract:

40.

Optimal Strategies Under Omega Ratio

Number of pages: 27 Posted: 05 Apr 2017
Carole Bernard, Steven Vanduffel and Jiang Ye
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 0 (313,672)

Abstract:

Portfolio choice, Omega ratio, ill-posedness

41.

Le Point Sur... Les Options Parisiennes et leurs Applications (An Update On... Parisian Options and Their Applications)

Banque et Marchés, N° 82, p. 81-90, 2006 ,
Number of pages: 20 Posted: 13 Feb 2017
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 0 (509,187)

Abstract:

42.

Asset Risk Management of Participating Contracts

Asia-Pacific Journal of Risk and Insurance, Vol. 6, N°2, 2012,
Number of pages: 27 Posted: 08 Feb 2017
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 0 (447,001)

Abstract:

Participating Contracts, CPPI, Equity Default Swap, Market Valuation

43.

Market Value of Life Insurance Contracts Under Stochastic Interest Rates and Default Risk

Insurance: Mathematics and Economics, Vol. 36, No. 3, 2005
Number of pages: 23 Posted: 08 Feb 2017
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 0 (494,000)
Citation 11

Abstract:

Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Fortet’s Equation

44.

A Study of Mutual Insurance for Bank Deposits

Geneva Risk and Insurance Review, Vol. 30, No. 2, 2005
Number of pages: 20 Posted: 08 Feb 2017
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 0 (527,963)

Abstract:

45.

Optimal Portfolios Under a Correlation Constraint

Number of pages: 26 Posted: 25 May 2016
Carole Bernard, Dries Cornilly and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 0 (217,373)

Abstract:

Optimal portfolio selection, correlation constraint, Sharpe ratio, Mean-variance, Capital at Risk

46.

Impact of Flexible Periodic Premiums on Variable Annuity Guarantees

Number of pages: 35 Posted: 29 Feb 2016
Carole Bernard, Zhenyu Cui and Steven Vanduffel
Grenoble Ecole de Management, Stevens Institute of Technology and Vrije Universiteit Brussel (VUB)
Downloads 0 (293,561)

Abstract:

variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning

47.

Rearrangement Algorithm and Maximum Entropy

Number of pages: 39 Posted: 23 Dec 2015 Last Revised: 17 Aug 2017
Carole Bernard, Oleg Bondarenko and Steven Vanduffel
Grenoble Ecole de Management, University of Illinois at Chicago - Department of Finance and Vrije Universiteit Brussel (VUB)
Downloads 0 (173,746)

Abstract:

Entropy, Block Rearrangement Algorithm, Inferring dependence, Maximum determinant

48.

Convergence of the Discrete Variance Swap in Time-Homogeneous Diffusion Models

Quantitative Finance Letters, Forthcoming
Posted: 01 Oct 2013 Last Revised: 09 May 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology and University of Waterloo

Abstract:

Discrete variance swap, realized variance, quadratic variation, time-homogeneous diffusions