Carole Bernard

According to our database, Carole Bernard authored at least 18 papers between 2008 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Implied value-at-risk and model-free simulation.

Carole Bernard, Andrea Perchiazzo, Steven Vanduffel

Ann. Oper. Res., May, 2024

Lp-norm spherical copulas.

Carole Bernard, Alfred Müller, Marco Oesting

J. Multivar. Anal., 2024

Examples and Counterexamples of Cost-efficiency in Incomplete Markets.

Carole Bernard, Stephan Sturm

CoRR, 2024

2023

Optimal multivariate financial decision making.

Carole Bernard, Luca De Gennaro Aquino, Steven Vanduffel

Eur. J. Oper. Res., May, 2023

2019

Optimal portfolio choice with benchmarks.

Carole Bernard, Rob H. De Staelen, Steven Vanduffel

J. Oper. Res. Soc., 2019

Optimal strategies under Omega ratio.

Carole Bernard, Steven Vanduffel, Jiang Ye

Eur. J. Oper. Res., 2019

2018

Catastrophe Aversion and Risk Equity in an Interdependent World.

Carole Bernard, Christoph M. Rheinberger, Nicolas Treich

Manag. Sci., 2018

Rearrangement algorithm and maximum entropy.

Carole Bernard, Oleg Bondarenko, Steven Vanduffel

Ann. Oper. Res., 2018

2017

Risk bounds for factor models.

Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Ruodu Wang

Finance Stochastics, 2017

2016

Algorithms for Finding Copulas Minimizing Convex Functions of Sums.

Carole Bernard, Don McLeish

Asia Pac. J. Oper. Res., 2016

2015

Conditional quantiles and tail dependence.

Carole Bernard, Claudia Czado

J. Multivar. Anal., 2015

2014

Optimal claims with fixed payoff structure.

Carole Bernard, Ludger Rüschendorf, Steven Vanduffel

J. Appl. Probab., 2014

Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection.

Carole Bernard, Steven Vanduffel

Eur. J. Oper. Res., 2014

2013

Pricing and Hedging of Cliquet Options and Locally Capped Contracts.

Carole Bernard, Wenbo V. Li

SIAM J. Financial Math., 2013

Correction note for 'The large-maturity smile for the Heston model'.

Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatovic

Finance Stochastics, 2013

2012

A Note on 'Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011).

Carole Bernard, Xiao Jiang, Steven Vanduffel

J. Appl. Probab., 2012

2009

On the regulator-insurer interaction in a structural model.

Carole Bernard, An Chen

J. Comput. Appl. Math., 2009

2008

Fast simulation of equity-linked life insurance contracts with a surrender option.

Carole Bernard, Christiane Lemieux

Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008