Bertrand Tavin

EMLYON Business School

23 Avenue Guy de Collongue

Ecully, 69132

France

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 36,164

SSRN RANKINGS

Top 36,164

in Total Papers Downloads

900

CITATIONS

0

Scholarly Papers (8)

1.

Implied Distribution as a Function of the Volatility Smile

Bankers Markets and Investors, No. 119 (Jul./Aug. 2012), pp. 31-42 (Accepted, July 2011)
Number of pages: 20 Posted: 13 Jan 2011 Last Revised: 17 Feb 2013
Bertrand Tavin
EMLYON Business School
Downloads 412 (48,826)

Abstract:

Option pricing, Risk-neutral distribution, Implied volatility smile

2.

From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options

Number of pages: 39 Posted: 27 Sep 2014 Last Revised: 10 Nov 2016
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 125 (111,324)

Abstract:

Multi-factor stochastic volatility, Futures curve modelling, Option pricing, Calendar spread options, Crude oil, Fourier inversion methods

Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 29 Posted: 09 Jun 2012 Last Revised: 09 Nov 2016
Bertrand Tavin
EMLYON Business School
Downloads 70 (266,910)

Abstract:

Arbitrage, Multi-Asset Derivative, Incomplete Market, Risk-Neutral Measure, Multivariate Distribution, Copula Function

Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals

Journal of Banking and Finance, Volume 53, April 2015, Pages 158-178
Posted: 26 Jul 2012 Last Revised: 04 Dec 2016
Bertrand Tavin
EMLYON Business School

Abstract:

Multi-Asset Derivative; Arbitrage; Incomplete Market; Risk-Neutral Measure; Multivariate Distribution; Copula Function

4.

Hedging Dependence Risk with Spread Options via the Power Frank and Power Student t Copulas

Number of pages: 38 Posted: 22 Dec 2012 Last Revised: 24 Apr 2014
Bertrand Tavin
EMLYON Business School
Downloads 64 (244,345)

Abstract:

Risk Management, Risk Measure, Dependence Modelling,Two-Asset Derivative, Spread Option, Implied Correlation, Copula Function

5.

Seasonal Stochastic Volatility and Correlation Together with the Samuelson Effect in Commodity Futures Markets

Number of pages: 24 Posted: 20 Jun 2015
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 30 (291,239)

Abstract:

Seasonal Commodities, Seasonal Volatility, Seasonal Correlation, Samuelson Effect, Stochastic Volatility, Calendar Spread Option, Multi-Factor Model, Joint Characteristic Function

6.

An Investigation of Model Risk in a Market with Jumps and Stochastic Volatility

European Journal of Operational Research, Volume 253, Issue 3, September 2016, Pages 648-658
Number of pages: 41 Posted: 02 Aug 2014 Last Revised: 04 Dec 2016
Guillaume Coqueret and Bertrand Tavin
Montpellier Business School and EMLYON Business School
Downloads 2 (440,350)

Abstract:

Risk Management, Model Risk, Robustness and Sensitivity Analysis, Variance Swap, Forward-start option

7.

Measuring Exposure to Dependence Risk with Random Bernstein Copula Scenarios

Number of pages: 36 Posted: 08 Dec 2016 Last Revised: 22 Dec 2016
Bertrand Tavin
EMLYON Business School
Downloads 0 (480,817)

Abstract:

Finance, Banking, Financial Modeling, Risk Management, Simulation, Bernstein Copulas, Random Matrices

8.

Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives

Springer-Verlag, Series Lecture Notes in Statistics, 2013, Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012, Jaworski, Piotr; Durante, Fabrizio; Härdle, Wolfgang Karl (Eds.).,
Posted: 16 Nov 2012
Bertrand Tavin
EMLYON Business School

Abstract:

Bernstein Copulas, Multi-asset Derivative Pricing, Approximation, Multivariate Distributions