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Bertrand Tavin
Bertrand Tavin
Associate Professor, EMLYON Business School
在 em-lyon.com 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options
L Schneider, B Tavin
Journal of Banking & Finance 95, 185-202, 2018
412018
Seasonal volatility in agricultural markets: modelling and empirical investigations
L Schneider, B Tavin
Annals of Operations Research, 1-52, 2021
30*2021
Scopes of carbon emissions and their impact on green portfolios
T Anquetin, G Coqueret, B Tavin, L Welgryn
Economic Modelling 115, 105951, 2022
252022
An investigation of model risk in a market with jumps and stochastic volatility
G Coqueret, B Tavin
European Journal of Operational Research 253 (3), 648-658, 2016
202016
Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals
B Tavin
Journal of Banking & Finance 53, 158-178, 2015
172015
Hedging Dependence Risk with Spread Options via the Power Frank and Power Student t Copulas
B TAVIN
82012
Implied distribution as a function of the volatility smile
B Tavin
Bankers, Markets and Investors 119, 31-42, 2012
82012
Application of Bernstein copulas to the pricing of multi-asset derivatives
B Tavin
Copulae in Mathematical and Quantitative Finance: Proceedings of the …, 2013
52013
Measuring exposure to dependence risk with random Bernstein copula scenarios
B Tavin
European Journal of Operational Research, 2017
42017
Dynamic decision making with predictive panels
G Coqueret, B Tavin
Available at SSRN 3853793, 2023
12023
A note on implied correlation for bivariate contracts
G Coqueret, B Tavin
Economics Bulletin 40 (2), 1388-1396, 2020
12020
Procedural rationality, asset heterogeneity and market selection
G Coqueret, B Tavin
Journal of Mathematical Economics 82, 125-149, 2019
12019
Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models
L Schneider, P Six, B Tavin
Available at SSRN, 2024
2024
Sustainable Commodity Factors
G Coqueret, B Tavin, Y Zhou
Available at SSRN 4698258, 2024
2024
Measuring information flows in option markets: a relative entropy approach
E André, L Schneider, B Tavin
The Journal of Derivatives 31 (2), 73-99, 2023
2023
Robust Portfolio Allocation Under Dependence Uncertainty and Ambiguity-Aversion
E André, B Tavin
Available at SSRN 4496438, 2023
2023
La Volatilité Locale
B TAVIN
2010
Corrélation et valorisation de tranche de CDO
B Tavin
2006
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