Guillaume Bernis

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
The design of optimal re-insurance contracts when losses are clustered Mathematics and Financial Economics	2026-03-24	Paper
Stochastic evolution of distributions and functional Bollinger bands Applied Stochastic Models in Business and Industry	2024-07-29	Paper
Interest Rates Term Structure Models Driven by Hawkes Processes SIAM Journal on Financial Mathematics	2023-11-23	Paper
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process Mathematics and Financial Economics	2021-09-28	Paper
Clustering effects via Hawkes processes Mathematical Lectures from Peking University	2020-11-12	Paper
Alternative to beta coefficients in the context of diffusions Quantitative Finance	2018-11-19	Paper
Sensitivity analysis for marked Hawkes processes: application to CLO pricing Mathematics and Financial Economics	2018-09-05	Paper
Optimal credit allocation under regime uncertainty with sensitivity analysis International Journal of Theoretical and Applied Finance	2015-04-15	Paper
Mark-to-model for cash CDOs through indifference pricing Quantitative Finance	2012-06-25	Paper
Nash implementation with an infinite-dimensional trade space Review of Economic Design	2006-06-12	Paper
Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints	2003-06-02	Paper
Equilibrium in a reinsurance market with short sale constraints Economic Theory	2003-03-25	Paper
Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options Mathematical Finance	2003-01-01	Paper

Research outcomes over time

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