Bertrand Tavin

emlyon business school

Associate Professor

23 Avenue Guy de Collongue

Ecully, 69132

France

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 33,937

SSRN RANKINGS

Top 33,937

in Total Papers Downloads

2,008

SSRN CITATIONS

11

CROSSREF CITATIONS

8

Scholarly Papers (12)

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 706 (50,461)
Citation 2

Abstract:

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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

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 299 (139,648)
Citation 6

Abstract:

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

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 280 (149,418)
Citation 2

Abstract:

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Stochastic Volatility, Model Selection, Agricultural Commodities, Seasonal Volatility

4.

Scope 3 Emissions and Their Impact on Green Portfolios

Number of pages: 32 Posted: 27 Jan 2022 Last Revised: 04 Apr 2022
CARBON4 FINANCE, EMLYON Business School, emlyon business school and affiliation not provided to SSRN
Downloads 274 (152,720)

Abstract:

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Scope 3 emissions, portfolio optimization, sustainable finance

5.

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 118 (316,744)
Citation 9

Abstract:

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

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 99 (359,555)
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.

Dynamic decision making with predictive panels

Number of pages: 33 Posted: 03 Jun 2021 Last Revised: 06 Apr 2022
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and emlyon business school
Downloads 62 (465,479)

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

8.

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 52 (504,814)

Abstract:

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

9.

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 51 (508,951)

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10.

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 43 (545,397)
Citation 4

Abstract:

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

11.

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 24 (655,515)

Abstract:

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Bivariate Contracts, Implied Correlation, Risk Management

12.

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