Bertrand TAVIN
Professeur associé
Thèmes de recherche
1. Finance de Marché
2. Évaluation des produits dérivés
3. Gestion des risques
4. Matières premières
5. Modélisation de la dépendance et de la volatilité
6. Théorie de l'arbitrage
7. Distribution implicite
Prix et récompenses
Publications
Coqueret, Guillaume, Tavin, Bertrand. 2024. Dynamic decision making with predictive panels. Journal of the Operational Research Society, 75 (6) : 1055-1075 p.
Schneider, Lorenz, Tavin, Bertrand. 2024. Seasonal volatility in agricultural markets: modelling and empirical investigations. Annals of Operations Research, 334 (1-3) : 7-58 p.
André, Eric, Schneider, Lorenz, Tavin, Bertrand. 2023. Measuring Information Flows in Option Markets: A Relative Entropy Approach. Journal of Derivatives, 31 (2) : 73-99 p.
Anquetin, Théophile, Coqueret, Guillaume, Tavin, Bertrand, Welgryn, Lou. 2022. Scopes of carbon emissions and their impact on green portfolios. Economic Modelling, 115 : 18 p.
Coqueret, Guillaume, Tavin, Bertrand. 2019. Procedural rationality, asset heterogeneity and market selection. Journal of Mathematical Economics, 82 : 125-149 p.
Tavin, Bertrand. 2018. Measuring exposure to dependence risk with random Bernstein copula scenarios. European Journal of Operational Research, 270 (3) : 873-888 p.
Tavin, Bertrand, Schneider, Lorenz. 2018. From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options. Journal of Banking and Finance, 95 : 185-202 p.
Coqueret, Guillaume, Tavin, Bertrand. 2016. An investigation of model risk in a market with jumps and stochastic volatility. European Journal of Operational Research, 253 (3) : 648-658 P.
Tavin, Bertrand. 2015. Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals. Journal of Banking and Finance, 53 : 158-178 P.
Tavin, Bertrand. 2012. Implied Distribution as a Function of the Volatility Smile. Bankers, Markets and Investors, 119 : 31-42 P.
Articles académiques
Communications et Séminaires
- 6th Paris Financial Management Conference (PFMC), Paris, France, December 2018
- 35th Annual Conference of the French Finance Association (AFFI), Paris, France, May 2018
- 11th Conference on Computational and Financial Econometrics (CFE), London, UK, December 2017
- 2nd Lyon-Grenoble Business Schools Finance Seminar, Grenoble, France, September 2017
- 21st International Congress on Insurance: Mathematics and Economics (IME), Vienna, Austria, July 2017
- Invited seminar at Université de Rennes (CREM), Rennes, France, Mars 2017
- International Workshop in Quantitative Finance, Risk and Decision Theory, Bordeaux, France, November 2016
- 28th European Conference on Operational Research (EURO), Poznan, Poland, July 2016
- 13th International Paris Finance Meeting (AFFI-EUROFIDAI), Paris, France, December 2015
- 1st EMLYON Workshop on Quantitative Finance and Insurance, Lyon, France, November 2015
- Invited seminar at Audencia Nantes (CFRM Research Center), Nantes, France, October 2015
- 7th Conference of the International Finance and Banking Society (IFABS), Hangzhou, China, June 2015
- 5th Conference of the Financial Engineering and Banking Society (FEBS), Nantes, France, June 2015
- 32nd Annual Conference of French Finance Association (AFFI), Paris, France, June 2015
- Research seminar at Société Générale Corporate and Investment Banking, Paris, France, January 2015
- 18th International Congress on Insurance: Mathematics and Economics (IME), Shanghai, China, July 2014
- Invited Seminar at the Shanghai Institute of Futures and Derivatives (SHIFD), Shanghai, China, July 2014
- French inter business school finance conference (as a discussant), Grenoble, France, February 2014
- 7th Conference on Computational and Financial Econometrics (CFE), London, UK, December 2013
- 3rd Conference of the Financial Engineering and Banking Society (FEBS), Paris, France, June 2013
- Invited Seminar, Accounting, Finance and Insurance department at KU Leuven, Leuven, Belgium, May 2013
- 30th Annual Conference of French Finance Association (AFFI), Lyon, France, May 2013
- Actuarial and Financial Mathematics Conference (AFMATH), Brussels, Belgium, February 2013
- 10th International Paris Finance Meeting (AFFI-EUROFIDAI), Paris, France, December 2012
- Workshop on Copulae in Mathematical and Quantitative Finance, Kraków, Poland, July 2012
- 16th International Congress on Insurance: Mathematics and Economics (IME), Hong Kong, June 2012
- 7th World Congress of the Bachelier Finance Society (BFS), Sydney, Australia, June 2012
- 3rd Mathematical Finance Days of Montréal Mathematical Finance Institute, Montréal, Canada, May 2012
- Annual conference of the European Financial Management Association (EFMA), Braga, Portugal, June 2011
- Journée Inter-Universitaire de Recherche en Finance (JIRF), Paris, France, May 2011
- 28th Annual Conference of French Finance Association (AFFI), PhD workshop, Montpellier, France, May 2011