Bertrand Tavin

emlyon business school

Associate Professor

23 Avenue Guy de Collongue

Ecully, 69132

France

  • emlyon business school

SCHOLARLY PAPERS

9

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1,453

SSRN CITATIONS

9

CROSSREF CITATIONS

7

Scholarly Papers (9)

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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 626 (49,521)
Citation 1

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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 276 (129,691)
Citation 5

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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: 47 Posted: 20 Jun 2015 Last Revised: 07 Jan 2020
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and emlyon business school
Downloads 224 (159,503)
Citation 2

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Finance, Agricultural Commodities, Seasonal Volatility, Samuelson Effect, Kalman Filter

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 109 (290,089)
Citation 9

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

5.

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

Downloads 96 (315,826)

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 96 (318,122)

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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

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

6.

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 49 (452,460)

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

7.

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 42 (481,639)

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8.

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 31 (534,355)
Citation 4

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

9.

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