Bertrand Tavin

EMLYON Business School

Associate Professor

23 Avenue Guy de Collongue

Ecully, 69132

France

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 28,862

SSRN RANKINGS

Top 28,862

in Total Papers Downloads

3,381

SSRN CITATIONS

22

CROSSREF CITATIONS

7

Scholarly Papers (16)

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 882 (52,178)
Citation 3

Abstract:

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Option pricing, Risk-neutral distribution, Implied volatility smile

2.

Scope 3 Emissions and Their Impact on Green Portfolios

Number of pages: 32 Posted: 27 Jan 2022 Last Revised: 15 Jul 2022
CARBON4 FINANCE, EMLYON Business School, EMLYON Business School and affiliation not provided to SSRN
Downloads 666 (75,863)

Abstract:

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Scope 3 emissions, portfolio optimization, sustainable finance

3.

Seasonal Volatility in Agricultural Markets: Modelling and Empirical Investigations

Number of pages: 41 Posted: 20 Jun 2015 Last Revised: 01 Sep 2021
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 370 (153,487)
Citation 3

Abstract:

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Stochastic Volatility, Model Selection, Agricultural Commodities, Seasonal Volatility

4.

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

Journal of Banking & Finance, Volume 95, October 2018, Pages 185-202
Number of pages: 39 Posted: 27 Sep 2014 Last Revised: 23 Feb 2019
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 357 (160,176)
Citation 12

Abstract:

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

5.

Sustainable commodity factors

Number of pages: 49 Posted: 05 Feb 2024 Last Revised: 29 May 2024
Guillaume Coqueret, Bertrand Tavin and YUXIN ZHOU
EMLYON Business School, EMLYON Business School and Lumière University Lyon 2
Downloads 241 (240,762)

Abstract:

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Green commodities, diversification, asset pricing, Environmental footprint

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 162 (344,088)
Citation 1

Abstract:

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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: 09 Dec 2017
Bertrand Tavin
EMLYON Business School

Abstract:

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

7.

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 153 (360,961)
Citation 9

Abstract:

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

8.

Dynamic decision making with predictive panels

Number of pages: 36 Posted: 03 Jun 2021 Last Revised: 05 Jun 2023
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 125 (423,135)
Citation 1

Abstract:

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Predictive Regressions, Panel Models, Error Decomposition, Out-of-Sample Accuracy, Distribution Shifts

9.

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
EMLYON Business School and EMLYON Business School
Downloads 93 (522,184)
Citation 4

Abstract:

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

10.

Robust Portfolio Allocation Under Dependence Uncertainty

Number of pages: 30 Posted: 05 Jul 2023 Last Revised: 30 Nov 2023
Eric André and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 86 (552,403)

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Portfolio allocation, Decision under ambiguity, Robustness, Dependence modeling

11.

Measuring Exposure to Dependence Risk with Random Bernstein Copula Scenarios

European Journal of Operational Research, Volume 270, Issue 3, 1 November 2018, Pages 873-888
Number of pages: 36 Posted: 08 Dec 2016 Last Revised: 23 Feb 2019
Bertrand Tavin
EMLYON Business School
Downloads 79 (577,022)

Abstract:

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

12.

Procedural Rationality, Asset Heterogeneity and Market Selection

Number of pages: 47 Posted: 16 Apr 2017 Last Revised: 23 Sep 2018
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 73 (603,144)

Abstract:

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13.

A Note on Implied Correlation for Bivariate Contracts

Economics Bulletin, 2020, Vol. 40, Issue 2, pp. 1388-1396
Number of pages: 10 Posted: 15 Mar 2021
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 69 (621,919)

Abstract:

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Bivariate Contracts, Implied Correlation, Risk Management

14.

Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models

Number of pages: 20 Posted: 10 Jul 2024
Lorenz Schneider, Pierre Six and Bertrand Tavin
EMLYON Business School, Neoma Business School and EMLYON Business School
Downloads 25 (929,311)

Abstract:

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Commodity Markets, Convenience Yield, Stochastic Volatility, Stochastic Correlation, Wishart Process, Joint Characteristic Function

15.

Measuring Information Flows in Option Markets: A Relative Entropy Approach

Posted: 10 Dec 2022 Last Revised: 31 Aug 2023
Eric André, Lorenz Schneider and Bertrand Tavin
EMLYON Business School, EMLYON Business School and EMLYON Business School

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Relative entropy, Information, Option contracts, Implied distribution

16.

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:

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