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Bernard Dumas
The Insead Chaired Professor of Finance, Emeritus

Bernard Dumas is Professor of Finance at INSEAD, which he joined in September 1999. Prior to joining INSEAD, he was Professor at HEC, The Wharton School of the University of Pennsylvania, and ESSEC. He has also taught at the Faculté des Hautes Etudes Commerciales in Lausanne, Switzerland, as well as the Swiss Finance Institute.
Professor Dumas specializes in International Finance and Finance Theory in Continuous Time. He is or has been Editor of various academic journals including The Review of Financial Studies. Professor Dumas' research has been published in prestigious journals.
Professor Dumas has been a Member of the Board of the American Finance Association, is a Research Associate of the National Bureau of Economic Research and a Research Fellow of the Centre for Economic Policy Research.
Professor Dumas has received his Engineering degree from Ecole Centrale de Paris and his MSc and PhD from Columbia University, New York.


INSEAD Finance department


"A Theory of the Nominal Character of Stock Securities" with Marcel Savioz (Swiss National Bank), January 2020

We construct recursive solutions for, and study the properties of the dynamic equilibrium of an economy with three types of agents: (i) household/investors who supply labor with a finite elasticity, consume a large variety of goods that are not perfect substitutes and trade government bonds; (ii) firms that produce those varieties of goods, receive productivity shocks and set prices in a Calvo manner; (iii) a government that collects an exogenous fiscal surplus and acts mechanically, buying and selling bonds in accordance with a Taylor policy rule based on expected inflation. In this setting we show that stock market returns are much less than one-for-one related to inflation over a one-year holding period, which means that stock securities have a strong nominal character. We also show that their nominal character diminishes as the length of the stock-holding period increases, in accordance with empirical evidence

"The Debt Capacity of a Government" with Paul Ehling (BI Norwegian Business School) and Chunyu Yang (BI Norwegian Business School), October 2021

In a deterministic overlapping-generations economy with production and physical capital, the price of debt can be positive without any budget surpluses being in the offing, because debt incorporates a rational bubble. Yet the dynamics of debt remain a function of the dynamics of the primary budget deficit. As a way to study their joint behavior, we endogenize a structural deficit in the form of an underfunded social-security scheme. We define debt capacity as the level of debt that can be just sustained without a change of policy all the way to an unstable steady state. When it starts below the capacity, the debt converges to a stable steady state, in which the bubble is sustained. Above capacity the bubble unravels and the deficit cannot be financed. In several realistic scenarios occurring in economies, we calculate the needed policy response, which is the true "fiscal cost" of exceeding debt capacity.


December 2008
Mathematica code for the Basak-Cuoco example in the paper, by Dumas and Lyasoff.

November 2009
Matlab code for the Basak-Cuoco example, written by Adrian Buss (Goethe Universität Frankfurt).

Policy Speech

"Ex ante vs. ex post", Pre-G8 summit conference in Paris on May 24, 2011

Old Working Paper

Here is a note which I wish I had published at the time of its writing (because it seems to have been the first derivation of what has come to be known as "forward" or "model-free" volatility):
Dumas, Bernard, 1995, "The meaning of the implicit volatility function in case of stochastic volatility."
This note was originally intended as an appendix to the Dumas, Fleming and Whaley (Journal of Finance, 1998) paper. It is the note referred to on Page 860 of Britten-Jones and Neuberger (Journal of Finance, 2000, pp. 839-866) and referred to as Dumas (1995) in Driessen, Maenhout and Vilkov (Journal of Finance, 2009).


"The Dynamic Properties of Financial-Market Equilibrium with Trading Fees" The Journal of Finance, LXXIV (2019), 795-844, with Adrian Buss (INSEAD).

"Differences of Opinion and International Equity Markets" with K.Lewis and E. Osambela, Review of Financial Studies, 30 (2017), 750-800.

"The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis" with A.Buss (INSEAD), R.Uppal (EDHEC) and G.Vilkov (Frankfurt School of Finance and Management), Journal of Monetary Economics, 81, 25-43

"Hysteresis bands on returns, holding period and transaction costs" with F.Delgado (Universidad del Pacifico) and G.W. Puopolo (Bocconi University, IGIER & CSEF), Journal of Banking and Finance 57, (2015) 86-100

"Incomplete-Market Equilibria Solved Recursively on an Event Tree", with Andrew Lyasoff , Journal of Finance 67, N°5 (2012) .

"Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," with A. Kurshev and R. Uppal, April 2009, Journal of Finance, Vol.64, N°2, pp 579-629

F&C, Case study, June 2007

Watson Wyatt, Case study, February 2007

What Can Rational Investors Do about Excessive Volatility and Sentiment Fluctuations?, Working paper, November 2005

Why Not Trade Pension Claims?, with Juerg Syz, Financial Analysts Journal, Vol.63, No. 1 (Jan -Feb, 2007), pp.46-54

Rothschild Bank AG, Case study, July 2005

Aronson+Johnson+Ortiz, Case study, May 2005

Cross-Border Valuation, in The INSEAD-Wharton Alliance on Globalizing: Strategies for Building Successful Global Businesses, January 2004

Are Correlations in International Stock Returns Justified by Subsequent Changes in National Outputs?, Journal of International Money and Finance Vol. 22, N°6, pp 77-811, January 2003

A central-planning approach to Dynamic incomplete-Market Equilibrium, December 2002 (Working paper, with Pascal Maenhout)

"Are Correlations in International Stock Returns Justified by Subsequent Changes in National Outputs?" with C. R. Harvey and P. Ruiz, The Journal of International Money and Finance, 22 (2003), 777-811.

"The Forward Calculation of Compound Option Prices," with A. Buraschi, The Journal of Derivatives, Fall 2001.

"Pass-through and Exposure," with G. Bodnar and R. C. Marston, The Journal of Finance, 57 (2002), 199-232.

"Global Diversification, Growth and Welfare with Imperfect Markets for Goods," with R. Uppal, The Review of Financial Studies, 14 (Spring 2001), 1, 277-305.

"Efficient Inter-temporal Allocations with Recursive Utility," with R. Uppal and T. Wang, Journal of Economic Theory, 93 (2000), 240-259.

"Implied Volatility Smiles: an Empirical Investigation," J. Fleming and R. E. Whaley, co-authors, The Journal of Finance, December 1998.

Financial Securities: Market Equilibrium and Pricing Methods, with B. ALLAZ, South Western publishing company, 1996.

Les titres financiers: équilibre du marché et méthodes d'évaluation, with B. ALLAZ, Presses Universitaires de France, 1995.

"Realignment Risk and Currency Option Pricing within a Target Zone," L. P. JENNERGREN and B. NASLUND, co-authors, European Economic Review, 39 (1995), 1523-1544.

"The World Price of Foreign Exchange Risk," B. SOLNIK, co-author, Journal of Finance, 50 (1995), 445-479.

"Siegels's Paradox and the Pricing of Currency Options," L. P. JENNERGREN and B. NASLUND, co-authors, Journal of International Money and Finance, 14 (1995), 213-223.

"A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," in J. A. FRANKEL, ed., The Internationalization of Securities Markets, University of Chicago Press, 1994.

"Some Models of the International Capital Market," proceedings of the EEA, European Economic Review, 38 (1994), 923-931.

"How Long do Unilateral Target Zones Last?," with L.E.O. SVENSSON, Journal of International Economics, 36 (1994), 467-481.

"Currency Option Pricing within a Credible Target Zone," L. P. JENNERGREN and B. NASLUND, co-authors, Review of Futures Markets, 12 (1993), 323-346.

"Partial vs General Equilibrium Models of the International Capital Market," in R. VAN DER PLOEG, ed., Handbook of International Macroeconomics, 1994, Cambridge, U.K.: Basil Blackwell publishers.

"Monetary Contracting and the Design of Sustainable Exchange Rate Zones," with F. DELGADO, Journal of International Economics, 34 (1993), 201-224.

"Capital Market Equilibrium and the Real Exchange Rate in a Spatially Separated World," Review of Financial Studies, 5 (1992), 2, 153-180.

"Target Zones Broad and Narrow," in P. KRUGMAN and M. MILLER eds, Exchange Rate Targets and Currency Bands, Cambridge University Press, 1992.

"An Exact Solution to a Portfolio Choice Problem under Transactions Costs," with E. LUCIANO, Journal of Finance, 46, June 1991, 577-595.

"Super Contact and Related Optimality Conditions," Journal of Economic Dynamics and Control, 15 (1991), 675-685.

"The Money and Bond Markets in France: Segmentation vs Integration," Journal of Banking and Finance, 14 (1990), 2/3 613-636, with B. JACQUILLAT.

"Performance of Currency Portfolios Chosen by a Bayesian Technique: 1967-1985," Journal of Banking and Finance, 14 (1990), 2/3, 539-558, with B. JACQUILLAT.

"Two-Person Dynamic Equilibrium in the Capital Market," Review of Financial Studies, 2 (1989), 2, 157-188.

"Exposure to Currency Risk: Definition and Measurement," Financial Management, Summer 1984, M. ADLER, co-author.

"La demande de dollars des agents économiques ne résidant pas aux U.S.A.," Archives de 1'I.S.M.E.A., 1983, P. PONCET, co-author.

"International Portfolio Choice and Corporate Finance: A Synthesis," Journal of Finance, June 1983, M. ADLER co-author.

"Accounting Standards and Exposure Measurement" in R. ENSOR and B. ANTL, eds., The Management of Foreign Exchange Risk, Euromoney Publications, 1982, M. ADLER co-author.

"A Quadratic Rational Expectations Theory of Capital Markets," Finance, 1982, no. 4

"Sharing Rules and Equilibrium in a Monetary Economy," in M. SARNAT and G. SZEGO, eds., Saving, Investment and Capital Markets in an Inflationary Economy, Ballinger 1982.q

"Should Exposure Management Depend on Translation Accounting Methods?" Euromoney, June 1981, M. ADLER co-author.

"Foreign Exchange Risk Management," in B. ANTL, ed., Currency Risk and the Corporation, Euromoney Publications, 1980, M. ADLER co-author.

"The Theorems of International Trade Under Generalized Uncertainty," Journal of International Economics, 10 (1980), pp. 481-498.

"The Exposure of Long-Term Foreign Currency Bonds," Journal of Financial and Quantitative Analysis, Vol. XV, no. 4, November 1980, M. ADLER co-author.

"Controlling E.E.C. External Trade by Open Market Intervention," with M. L. DEBATISSE and B. YON, The Banker, Vol. 130, no. 649, March 1980.

"La politique agricole commune et les marchés mondiaux: proposition de marchés à terme de prélèvement et restitution," with B. YON and M. L. DEBATISSE, Banque, no. 392, pp. 147, 152, February 1980.

"Minimiser les risques de change," Revue Francaise de Gestion, no. 23, November/December 1979.

Le coût du capital, valeur de la firme et interdépendence des décisions d'investissement et de financement," Analyse Financiere, ler trimestre 1979, P. PONCET, co-author.

"Financial Decision Making for the Firm in an Open Economy," Handbook of Financial Economics, J. BICKSLER, ed., North-Holland, 1978, M. ADLER, co-author.

Book review of: R. J. Herring & R. C. Marston, National Monetary Policy and International Financial Markets, in Vie et Science Economique, July 1978.

"The Theory of the Trading Firm Revisited," Journal of Finance, June 1978.

"The Micro-economics of the Firm in an Open Economy," American Economic Review, February 1977, M. ADLER, co-author.

"Default Risk and the Demand for forward Exchange," Financial Decision Making Under Uncertainty, H. LEVY and M. SARNAT, eds., Academic Press, 1977, M. ADLER, co-author.

"Anticipations rationnelles et efficience du marché," Institutions et Marchés Financiers, Séminaire E.S.S.E.C. - F.N.E.G.E., 3/4/5 June 1976.

"Portfolio Choice and the Demand for Forward Exchange", American Economic Review, May 1976, M. ADLER, co-author.

"Optimal International Acquisitions," Journal of Finance, March 1975, M. ADLER, co-author.

The Long Term Financial Decisions of the Multinational Corporation", International Capital Market, E. ELTON and M. GRUBER, eds., North-Holland, 1975, M. ADLER, co-author.



  • Empirical Asset Pricing (PhD)
  • Foundations of Financial Economics – Part A (PhD)
  • Investments (MBA)


Bernard Dumas
The Insead Chaired Professor of Finance, Emeritus

INSEAD Europe Campus
Boulevard de Constance
77305 Fontainebleau Cedex

Tel: +33 1 60 72 43 73
Fax: +33 1 60 72 40 45
Email: [email protected]

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