Carole Bernard

Available identifiers

zbMath Open bernard.carole-lWikidataQ102374606 ScholiaQ102374606MaRDI QIDQ282292

List of research outcomes

Publication	Date of Publication	Type
Model Risk Management	2023-10-30	Paper
Corrigendum and addendum to: ``Range value-at-risk bounds for unimodal distributions under partial information	2023-10-12	Paper
The impact of correlation on (Range) Value-at-Risk	2023-07-12	Paper
Coskewness under dependence uncertainty	2023-07-12	Paper
Optimal multivariate financial decision making	2023-07-03	Paper
Cost-efficiency in Incomplete Markets	2022-06-24	Paper
Correction to: ``Semi-analytical prices for lookback and barrier options under the Heston model	2022-06-17	Paper
Optimization Methods in FinanceGerard Cornuejols and Reha Tütüncü	2022-01-19	Paper
Development and Pricing of a New Participating Contract	2021-12-22	Paper
Optimal annuity demand for general expected utility agents	2021-11-19	Paper
A model-free approach to multivariate option pricing	2021-08-19	Paper
BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS	2021-03-16	Paper
Range value-at-risk bounds for unimodal distributions under partial information	2020-11-19	Paper
STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES	2020-02-05	Paper
Semi-analytical prices for lookback and barrier options under the Heston model	2020-01-31	Paper
A new efficiency test for ranking investments: application to hedge fund performance	2019-07-10	Paper
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees	2019-05-28	Paper
Optimal strategies under omega ratio	2019-01-28	Paper
Optimal payoffs under state-dependent preferences	2018-09-19	Paper
Prices and Asymptotics for Discrete Variance Swaps	2018-09-11	Paper
Dynamic preferences for popular investment strategies in pension funds	2018-07-11	Paper
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY	2018-06-07	Paper
Rearrangement algorithm and maximum entropy	2018-03-23	Paper
Risk bounds for factor models	2017-07-21	Paper
ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS	2017-03-13	Paper
Algorithms for Finding Copulas Minimizing Convex Functions of Sums	2016-12-16	Paper
SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES	2016-12-08	Paper
Semi-static hedging of variable annuities	2016-05-12	Paper
Quantile of a mixture with application to model risk assessment	2016-01-21	Paper
Rationalizing investors' choices	2015-08-21	Paper
Conditional quantiles and tail dependence	2015-06-18	Paper
Optimal claims with fixed payoff structure	2015-04-14	Paper
Optimal portfolios under worst-case scenarios	2015-04-01	Paper
OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY	2015-02-20	Paper
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection	2015-02-03	Paper
Optimal surrender policy for variable annuity guarantees	2014-09-22	Paper
Impact of Counterparty Risk on the Reinsurance Market	2014-07-19	Paper
Risk aggregation with dependence uncertainty	2014-06-23	Paper
Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence	2014-05-21	Paper
Pricing and Hedging of Cliquet Options and Locally Capped Contracts	2014-01-23	Paper
An optimal insurance design problem under Knightian uncertainty	2013-11-07	Paper
Correction note for ``The large-maturity smile for the Heston model	2013-02-07	Paper
Performance regularity: a new class of executive compensation packages	2013-01-29	Paper
Static portfolio choice under cumulative prospect theory	2013-01-20	Paper
NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS	2013-01-16	Paper
A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011)	2012-10-29	Paper
Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework	2011-08-23	Paper
Improving the Design of Financial Products in a Multidimensional Black-Scholes Market	2011-06-07	Paper
Pricing derivatives with barriers in a stochastic interest rate environment	2010-01-19	Paper
On the regulator-insurer interaction in a structural model	2009-10-09	Paper
Market value of life insurance contracts under stochastic interest rates and default risk	2007-05-24	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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