PETER TANKOV
Names
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PETER |
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TANKOV |
Identifer
Contact
Affiliations
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Université Paris Diderot - Paris 7, Laboratoire de Probabilités et Modèles Aléatoires
- http://www.proba.jussieu.fr
- location: France, Paris
Research profile
author of:
- Arbitrage Opportunities in Misspecified Stochastic volatility Models (repec:arx:papers:1002.5041)
by Rudra P. Jena & Peter Tankov - Tracking errors from discrete hedging in exponential L\'evy models (repec:arx:papers:1003.0709)
by Mats Brod'en & Peter Tankov - Improved Frechet bounds and model-free pricing of multi-asset options (repec:arx:papers:1004.4153)
by Peter Tankov - A finite dimensional approximation for pricing moving average options (repec:arx:papers:1011.3599)
by Marie Bernhart & Peter Tankov & Xavier Warin - Swing Options Valuation: a BSDE with Constrained Jumps Approach (repec:arx:papers:1101.0975)
by Marie Bernhart & Huy^en Pham & Peter Tankov & Xavier Warin - Portfolio Insurance under a risk-measure constraint (repec:arx:papers:1102.4489)
by Carmine De Franco & Peter Tankov - Asymptotically optimal discretization of hedging strategies with jumps (repec:arx:papers:1108.5940)
by Mathieu Rosenbaum & Peter Tankov - Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias (repec:arx:papers:1203.2355)
by Jos'e E. Figueroa-L'opez & Peter Tankov - Optimal simulation schemes for L\'evy driven stochastic differential equations (repec:arx:papers:1204.4877)
by Arturo Kohatsu-Higa & Salvador Ortiz-Latorre & Peter Tankov - Numerical methods for the quadratic hedging problem in Markov models with jumps (repec:arx:papers:1206.5393)
by Carmine De Franco & Peter Tankov & Xavier Warin - A new look at short-term implied volatility in asset price models with jumps (repec:arx:papers:1207.0843)
by Aleksandar Mijatovi'c & Peter Tankov - Tail behavior of sums and differences of log-normal random variables (repec:arx:papers:1309.3057)
by Archil Gulisashvili & Peter Tankov - Hedging under multiple risk constraints (repec:arx:papers:1309.5094)
by Ying Jiao & Olivier Klopfenstein & Peter Tankov - Market models with optimal arbitrage (repec:arx:papers:1312.4979)
by Huy N. Chau & Peter Tankov - Tails of weakly dependent random vectors (repec:arx:papers:1402.4683)
by Peter Tankov - Implied volatility of basket options at extreme strikes (repec:arx:papers:1406.0394)
by Archil Gulisashvili & Peter Tankov - Asymptotic indifference pricing in exponential L\'evy models (repec:arx:papers:1502.03359)
by Cl'ement M'enass'e & Peter Tankov - Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach (repec:arx:papers:1510.04295)
by Jiatu Cai & Mathieu Rosenbaum & Peter Tankov - Approximate Option Pricing in the L\'evy Libor Model (repec:arx:papers:1511.08466)
by Zorana Grbac & David Krief & Peter Tankov - A Model Of Optimal Consumption Under Liquidity Risk With Random Trading Times (repec:bla:mathfi:v:18:y:2008:i:4:p:613-627)
by Huyên Pham & Peter Tankov - Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices (repec:bla:mathfi:v:19:y:2009:i:3:p:379-401)
by Rama Cont & Peter Tankov - Portfolio insurance under a risk-measure constraint (repec:eee:insuma:v:49:y:2011:i:3:p:361-370)
by De Franco, Carmine & Tankov, Peter - Characterization of dependence of multidimensional Lévy processes using Lévy copulas (repec:eee:jmvana:v:97:y:2006:i:7:p:1551-1572)
by Kallsen, Jan & Tankov, Peter - Asymptotic analysis of hedging errors in models with jumps (repec:eee:spapps:v:119:y:2009:i:6:p:2004-2027)
by Tankov, Peter & Voltchkova, Ekaterina - Jump-adapted discretization schemes for Lévy-driven SDEs (repec:eee:spapps:v:120:y:2010:i:11:p:2258-2285)
by Kohatsu-Higa, Arturo & Tankov, Peter - Asymptotic results for time-changed Lévy processes sampled at hitting times (repec:eee:spapps:v:121:y:2011:i:7:p:1607-1632)
by Rosenbaum, Mathieu & Tankov, Peter - Constant proportion portfolio insurance in presence of jumps in asset prices (repec:hal:journl:hal-00445646)
by Rama Cont & Peter Tankov - Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices (repec:hal:wpaper:hal-00129413)
by Rama Cont & Peter Tankov - Optimal consumption policies in illiquid markets (repec:hal:wpaper:hal-00292673)
by Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov - Swing Options Valuation:a BSDE with Constrained Jumps Approach (repec:hal:wpaper:hal-00553356)
by Marie Bernhart & Huyên Pham & Peter Tankov & Xavier Warin - A finite dimensional approximation for pricing moving average options (repec:hal:wpaper:hal-00554216)
by Marie Bernhart & Peter Tankov & Xavier Warin - Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes (repec:kap:apfinm:v:13:y:2006:i:4:p:327-344)
by Jérémy Poirot & Peter Tankov - Optimal consumption policies in illiquid markets (repec:spr:finsto:v:15:y:2011:i:1:p:85-115)
by Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov