Bernard Cornet
Biographic Data
| ID | 5736029 |
|---|---|
| NAME | Bernard Cornet |
| GIVEN NAMES | Bernard |
| FAMILY NAME | Cornet |
| SIGNATURE | CORNET B |
| AFFILIATIONS | University of Kansas Lawrence Kansas USA |
| ORCID | 0000-0001-9774-9832 |
| VERIFIED | Yes |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 5 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
Pricing rules with market frictions: An axiomatic approach
Market frictions have motivated the development of nonlinear asset pricing models, as any departure from linearity in pricing reflects the presence of some form of friction. While sublinear pricing has been extensively studied, recent advances have extended the framework to encompass more general, and potentially nonconvex, pricing rules, most notably Choquet pricing. These developments raise foundational questions regarding the nature of arbitra…
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules
When prices of assets traded in a financial market are determined by nonlinear pricing rules, different parities between call and put options have been considered. We show that, under monotonicity, parities between call and put options and discount certificates characterize ambiguity‐sensitive (Choquet and/or Šipoš) pricing rules, that is, pricing rules that can be represented via discounted expectations with respect to non‐additive probability m…
Gain–loss hedging and cumulative prospect theory
Two acts are comonotonic if they co-vary in the same direction. The main purpose of this paper is to derive a new characterization of Cumulative Prospect Theory (CPT) through simple properties involving comonotonicity. The main novelty is a concept dubbed gain–loss hedging: mixing positive and negative acts creates hedging possibilities even when acts are comonotonic. This allows us to clarify in which sense CPT differs from Choquet expected util…
Contributions to Operations Research and Economics: The Twentieth Anniversary of Core
These original contributions by leading economists in the decision sciences - operations research, game theory, econometrics, and mathematical economics - show how the interactions between these disciplines can enrich them all. In Part I, Game Theory and Mathematical Economics, Robert Aumann illuminates the ideas that underlie a series of major contributions in game theory during the last two decades, and Paul Champsaur provides a synthesis on in…
Contributions to Operations Research and Economics: The Twentieth Anniversary of Core
Journal Article Contributions to Operations Research and Economics: The Twentieth Anniversary of CORE. Economic Decision-Making: Games, Econometrics and Optimisation: Contributions in Honour of Jacques H. Dreze. Get access Contributions to Operations Research and Economics: The Twentieth Anniversary of CORE. Edited by CORNET (BERNARD) and TULKENS (HENRY). (Cambridge, Mass., and London: MIT Press, 1990. Pp. xii + 561. £44.95 hardback. ISBN 0 262 0…
No prominent works on this page.
Contributions to Operations Research and Economics: The Twentieth Anniversary of Core
These original contributions by leading economists in the decision sciences - operations research, game theory, econometrics, and mathematical economics - show how the interactions between these disciplines can enrich them all. In Part I, Game Theory and Mathematical Economics, Robert Aumann illuminates the ideas that underlie a series of major contributions in game theory during the last two decades, and Paul Champsaur provides a synthesis on in…
Contributions to Operations Research and Economics: The Twentieth Anniversary of Core
Journal Article Contributions to Operations Research and Economics: The Twentieth Anniversary of CORE. Economic Decision-Making: Games, Econometrics and Optimisation: Contributions in Honour of Jacques H. Dreze. Get access Contributions to Operations Research and Economics: The Twentieth Anniversary of CORE. Edited by CORNET (BERNARD) and TULKENS (HENRY). (Cambridge, Mass., and London: MIT Press, 1990. Pp. xii + 561. £44.95 hardback. ISBN 0 262 0…
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules
When prices of assets traded in a financial market are determined by nonlinear pricing rules, different parities between call and put options have been considered. We show that, under monotonicity, parities between call and put options and discount certificates characterize ambiguity‐sensitive (Choquet and/or Šipoš) pricing rules, that is, pricing rules that can be represented via discounted expectations with respect to non‐additive probability m…
Gain–loss hedging and cumulative prospect theory
Two acts are comonotonic if they co-vary in the same direction. The main purpose of this paper is to derive a new characterization of Cumulative Prospect Theory (CPT) through simple properties involving comonotonicity. The main novelty is a concept dubbed gain–loss hedging: mixing positive and negative acts creates hedging possibilities even when acts are comonotonic. This allows us to clarify in which sense CPT differs from Choquet expected util…
Pricing rules with market frictions: An axiomatic approach
Market frictions have motivated the development of nonlinear asset pricing models, as any departure from linearity in pricing reflects the presence of some form of friction. While sublinear pricing has been extensively studied, recent advances have extended the framework to encompass more general, and potentially nonconvex, pricing rules, most notably Choquet pricing. These developments raise foundational questions regarding the nature of arbitra…
Economics (4 works) · Economic theories and models (3 works) · Arbitrage (2 works) · Arbitrage pricing theory (2 works) · Capital asset pricing model (2 works) · Computer Science (2 works) · Econometrics (2 works) · Mathematical economics (2 works) · Mathematics (2 works) · Stochastic processes and financial applications (2 works)