Carole Bernard

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Optimal Portfolio Choice with Benchmarks

Carole Bernard, Rob De Staelen, Steven Vanduffel, 2017 .

Optimization Methods in Finance Gerard Cornuejols and Reha Tütüncü

Carole Bernard, 2008 .

Conditional quantiles and tail dependence

Claudia Czado, Carole Bernard, C. Czado, 2015, J. Multivar. Anal..

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

Christiane Lemieux, Carole Bernard, C. Lemieux, 2008, 2008 Winter Simulation Conference.

Optimal Strategies Under Omega Ratio

Carole Bernard, Steven Vanduffel, Jiang Ye, 2018, Eur. J. Oper. Res..

Rearrangement algorithm and maximum entropy

Carole Bernard, Steven Vanduffel, Oleg Bondarenko, 2017, Ann. Oper. Res..

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

Carole Bernard, Steven Vanduffel, Xiao Jiang, 2012, J. Appl. Probab..

Risk bounds for factor models

Ruodu Wang, Ludger Rüschendorf, Carole Bernard, 2017, Finance Stochastics.

Algorithms for Finding Copulas Minimizing Convex Functions of Sums

Carole Bernard, Don McLeish, D. McLeish, 2015, Asia Pac. J. Oper. Res..

Catastrophe Aversion and Risk Equity in an Interdependent World

Carole Bernard, Nicolas Treich, Christoph M. Rheinberger, 2017, Manag. Sci..

Correction note for ‘The large-maturity smile for the Heston model’

Zhenyu Cui, Antoine Jacquier, Carole Bernard, 2013, Finance Stochastics.

Bounds on Multi-asset Derivatives via Neural Networks

Carole Bernard, Luca De Gennaro Aquino, 2019 .

On the regulator-insurer interaction in a structural model

An Chen, Carole Bernard, C. Bernard, 2009, J. Comput. Appl. Math..

Pricing and Hedging of Cliquet Options and Locally Capped Contracts

Carole Bernard, Wenbo V. Li, Wenbo V. Li, 2013, SIAM J. Financial Math..

Optimal portfolio choice with benchmarks

Carole Bernard, Steven Vanduffel, Rob De Staelen, 2017, J. Oper. Res. Soc..

When do two- or three-fund separation theorems hold?

Carole Bernard, Steven Vanduffel, Corrado De Vecchi, 2021, Quantitative Finance.

Market Value of Life Insurance Contracts Under Stochastic Interest Rates and Default Risk

Carole Bernard, Francois Quittard-Pinon, C. Bernard, 2005 .

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

Carole Bernard, Steven Vanduffel, Xiao Jiang, 2012 .

On the cost of regulation under Solvency II

Carole Bernard, Antoon Pelsser, An Chen, 2008 .

Value-at-Risk Bounds with Variance Constraints

Ludger Rüschendorf, Carole Bernard, Steven Vanduffel, 2015 .

Nearly Exact Option Price Simulation Using Characteristic Functions

Carole Bernard, Don McLeish, Zhenyu Cui, 2012 .

Handbook on Systemic Risk: Statistical Assessments of Systemic Risk Measures

Eike Christian Brechmann, Claudia Czado, Carole Bernard, 2013 .

A Study of Mutual Insurance for Bank Deposits

Carole Bernard, C. Bernard, Olivier Le Courtois, 2005 .

Risk Management of Policyholder Behavior in Equity Linked Life Insurance

Carole Bernard, Maciej Augustyniak, Anne MacKay, 2015 .

Dynamic preferences for popular investment strategies in pension funds

Minsuk Kwak, Carole Bernard, C. Bernard, 2016 .

Value‐At‐Risk Bounds with Variance Constraints

Ludger Rüschendorf, Carole Bernard, Steven Vanduffel, 2017 .

Risk aggregation with dependence uncertainty

Ruodu Wang, Carole Bernard, Ruodu Wang, 2014 .

Impact of Counterparty Risk on the Reinsurance Market

Michael Ludkovski, Carole Bernard, 2011 .

How robust is the value-at-risk of credit risk portfolios?

Ludger Rüschendorf, Carole Bernard, Steven Vanduffel, 2015 .

A New Procedure for Pricing Parisian Options

Carole Bernard, Olivier Le Courtois, Francois Quittard-Pinon, 2005 .

STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES

Carole Bernard, Anne MacKay, M. Hardy, 2013, ASTIN Bulletin.

On the Martingale Property in Stochastic Volatility Models Based on Time‐Homogeneous Diffusions

Carole Bernard, Don McLeish, Zhenyu Cui, 2017 .

Prices and Asymptotics for Discrete Variance Swaps

Carole Bernard, Zhenyu Cui, Zhenyu Cui, 2013, 1305.7092.

Prices and Asymptotics for Discrete Variance Swaps

Carole Bernard, Zhenyu Cui, Zhenyu Cui, 2013 .

Optimal Reinsurance Arrangements Under Tail Risk Measures

Carole Bernard, C. Bernard, Weidong Tian, 2009 .

Bounds on Capital Requirements for Bivariate Risk with Given Marginals and Partial Information on the Dependence

Carole Bernard, Jinyuan Zhang, Yuntao Liu, 2013 .

Statistical Assessments of Systemic Risk Measures

Claudia Czado, Carole Bernard, C. Czado, 2012 .

Convergence of the Discrete Variance Swap in Time-Homogeneous Diffusion Models

Carole Bernard, Don McLeish, Zhenyu Cui, 2013 .

ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS

Carole Bernard, Don McLeish, Zhenyu Cui, 2013, 1310.0092.

Risk Management of Policyholder Behavior in Equity‐Linked Life Insurance

Carole Bernard, Maciej Augustyniak, Anne MacKay, 2017 .