Bertrand Tavin

I am Associate Professor in Finance at emlyon Business School. My research interests include the pricing of derivative products and the management of risks. I teach in the Grande Ecole Program and in the specialized masters in quantitative finance.

EDUCATION

• 2009 – 2013 : PhD in Management Sciences (Finance), Université Paris 1 – Panthéon Sorbonne, France.
• 2006 – 2007: Master of Science in Applied Mathematics, Université Paris 1 – Panthéon Sorbonne, France.
• 2005 – 2006: Master of Science in Quantitative finance, Université Paris 1 – Panthéon Sorbonne, France.
• 2002 – 2005: Engineer Degree, Institut Supérieur d’Electronique de Paris, France.
• Certification: FSA (Financial Services Authority, UK).

AWARDS

• 2015 - Award for the Second-Best Paper at the International Ruhr Energy Conference 2015 (INREC 2015): award received with co-author Lorenz SCHNEIDER and sponsored by the German section of the International Association for Energy Economics - IAEE
• 2011 - Award for the Best Paper in Risk Management: award attributed by the Global Association of Risk Professionals (GARP) during the EFMA 2011 annual meeting in Braga, Portugal.
• 2009 - French Ministry of Research Doctoral Fellowship: three-year research fellowship for the preparation of a doctoral thesis in a French university from Sept. 2009 to Sept. 2012.

EXPERIENCE

• Since 2017: Associate Professor in Finance at EMLYON Business School, Ecully, France
• 2013-2017: Assistant Professor in Finance at EMLYON Business School, Ecully, France
• 2009 – 2013: Research fellow and lecturer at Université Paris 1 – Panthéon Sorbonne, Paris, France
• 2007 – 2009: Trader of hybrid exotic derivatives at Crédit Agricole CIB (Calyon), London, UK

SCIENTIFIC COMMITTEES

Associate Editor: Finance Bulletin ( www.financebulletin.org)

Reviewer: Journal of Banking and Finance, European Journal of Operational Research, Journal of Risk, Economics Bulletin

EXPERTISE

Financial Markets, Derivative products, Risk management, Stochastic modeling, Numerical methods.

COURSES TAUGHT

EMLYON Business School (since 2013): - Specialized masters in quantitative finance: Options theory, Commodities and Energy - Grande école program: Introduction to derivatives, Risk management of financial institutions. Université Paris 1 – Panthéon Sorbonne (2009 – 2013): - Master of Science in Quantitative finance: Options theory.

- Bachelor in Management, Finance and Business tracks: Statistics (Exercice classes).

RESEARCH INTEREST

Financial Markets, Pricing of derivative products, Risk management, Dependence modeling, Arbitrage Theory, Implied distribution.

COMMUNICATIONS & SEMINARS

• 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

PUBLICATIONS

ACADEMIC ARTICLES (5)

‑ Tavin, Bertrand. 2017. Measuring exposure to dependence risk with random Bernstein copula scenarios.European Journal of Operational Research, FORTH

‑ Tavin, Bertrand, Schneider, Lorenz. 2016. From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options.Journal of Banking and Finance, FORTH

‑ 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.

BOOK CHAPTERS (1)

‑ Tavin, Bertrand. 2013. Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives., Copulae in Mathematical and Quantitative Finance: Proceedings of the Workshop Held in Cracow, 10-11 July 2012. : Springer, 277-288 P. (1) ‑ Tavin, Bertrand. 2013. Trois Essais en Finance de Marché. Thèse de doctorat en Sciences de gestion.: Université Paris I Panthéon Sorbonne, Ecole Doctorale de Management