Robust Portfolio Allocation Under Dependence Uncertainty and Ambiguity-Aversion (with E. ANDRE) [SSRN]
Status: Under Review.
Sustainable commodity factors (with G. Coqueret and Y. Zhou) [SSRN]
Status: Working paper.
Hedging dependence risk with spread options via the Power Frank and Power Student T copulas [SSRN]
(permanent working paper)
Measuring information flows in option markets: a relative entropy approach
Journal of Derivatives, 2023, Forthcoming https://doi.org/10.3905/jod.2023.1.191 (with E. ANDRE and L. SCHNEIDER)
Dynamic decision making with predictive panels
Journal of the Operational Research Society, 2023, Forthcoming https://doi.org/10.1080/01605682.2023.2231488 (with G. COQUERET)
[Sample notebook]
Scopes of carbon emissions and their impact on green portfolios
Economic Modelling, 2022, Volume 115, pp. 105951 https://doi.org/10.1016/j.econmod.2022.105951 (with T.ANQUETIN, G. COQUERET, L. WELGRYN)
Seasonal Volatility in Agricultural Markets: Modelling and Empirical Investigations.
Annals of Operations Research, 2021, Forthcoming https://link.springer.com/article/10.1007%2Fs10479-021-04241-7 (with L. SCHNEIDER)
A note on implied correlation for bivariate contracts.
Economics Bulletin, 2020, Vol. 40, Issue 2, pp. 1388-1396. http://www.accessecon.com/Pubs/EB/2020/Volume40/EB-20-V40-I2-P119.pdf (with G. COQUERET)
Procedural Rationality, Asset Heterogeneity and Market Selection.
Journal of Mathematical Economics, 2019, Vol. 82, pp. 125-149. https://doi.org/10.1016/j.jmateco.2019.02.001 (with G. COQUERET)
Measuring Exposure to Dependence Risk with Random Bernstein Copula Scenarios.
European Journal of Operational Research, 2018, Vol. 270, Issue 1, pp. 873-888. https://doi.org/10.1016/j.ejor.2017.10.044
From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An analysis of Crude Oil Calendar Spread Options.
Journal of Banking and Finance, 2018, Vol. 95, pp. 185-202. http://dx.doi.org/10.1016/j.jbankfin.2016.12.001 (with L. SCHNEIDER)
An investigation of model risk in a market with jumps and stochastic volatility.
European Journal of Operational Research, 2016, Vol. 253, Issue 3, pp. 648-658. http://dx.doi.org/10.1016/j.ejor.2016.03.018 (with G. COQUERET)
Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals.
Journal of Banking and Finance, 2015, Vol. 53, pp. 158-178. http://dx.doi.org/10.1016/j.jbankfin.2014.12.023
Application of Bernstein copulas to the pricing of multi-asset derivatives.
In: Copulae in Mathematical and Quantitative Finance. Springer-Verlag, Series Lecture Notes in Statistics Vol. 213, 2013, pp. 277-288. http://dx.doi.org/10.1007/978-3-642-35407-6_13
Implied distribution as a function of the volatility smile.
Bankers, Markets and Investors, No. 119 (July/August 2012), pp. 31-42