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Peter Tankov · Study
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Author
Peter Tankov
24 works
· latest 2023
· 10 institutions
cluster: provisional
ORCID 0000-0003-4882-9806
Works
24 shown
Green investment and asset stranding under transition scenario uncertainty
Energy Economics
·
2023
·
2 authors
·
Open access
33
citations
Climate Impact Investing
Management Science
·
2022
·
2 authors
·
Open access
137
citations
The entry and exit game in the electricity markets: a mean-field game approach
arXiv (Cornell University)
·
2020
·
3 authors
·
preprint
·
Open access
32
citations
Volatility Options in Rough Volatility Models
SIAM Journal on Financial Mathematics
·
2018
·
3 authors
·
Open access
49
citations
Tail behavior of sums and differences of log-normal random variables
Bernoulli
·
2015
·
2 authors
·
Open access
63
citations
A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
Mathematical Finance
·
2013
·
2 authors
·
Open access
49
citations
Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
Journal of Applied Probability
·
2011
·
1 author
·
Open access
64
citations
Paris-Princeton Lectures on Mathematical Finance 2010
Lecture notes in mathematics
·
2010
·
9 authors
·
book
149
citations
Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
Lecture notes in mathematics
·
2010
·
1 author
·
chapter
100
citations
Jump-adapted discretization schemes for Lévy-driven SDEs
Stochastic Processes and their Applications
·
2010
·
2 authors
·
Open access
59
citations
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
Mathematical Finance
·
2009
·
2 authors
111
citations
Jump-diffusion Models: a Practitioner's Guide
·
2009
·
2 authors
60
citations
Asymptotic analysis of hedging errors in models with jumps
Stochastic Processes and their Applications
·
2008
·
2 authors
·
Open access
41
citations
A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
Mathematical Finance
·
2008
·
2 authors
46
citations
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
International Journal of Theoretical and Applied Finance
·
2008
·
2 authors
·
Open access
107
citations
Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes
Asia-Pacific Financial Markets
·
2007
·
2 authors
73
citations
Hedging with Options in Models with Jumps
Springer eBooks
·
2007
·
3 authors
·
chapter
96
citations
Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices
SSRN Electronic Journal
·
2007
·
2 authors
·
preprint
·
Open access
49
citations
Retrieving Lévy processes from option prices : regularization of an ill-posed inverse problem
HAL
·
2007
·
2 authors
43
citations
Characterization of dependence of multidimensional Lévy processes using Lévy copulas
Journal of Multivariate Analysis
·
2006
·
2 authors
·
Open access
205
citations
Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
SIAM Journal on Control and Optimization
·
2006
·
2 authors
73
citations
Non-parametric calibration of jump–diffusion option pricing models
The Journal of Computational Finance
·
2004
·
2 authors
212
citations
Financial Modelling with Jump Processes
Chapman & Hall/CRC eBooks
·
2003
·
1 author
·
book
3,217
citations
Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach
SSRN Electronic Journal
·
2002
·
2 authors
·
preprint
·
Open access
52
citations