pith. sign in

Peter Tankov

Identifiers

  • name variant Peter Tankov 0.60 · backfill

Papers (30)

  1. Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing math.PR · 2018 · author #3
  2. Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing q-fin.PR · 2018 · author #3
  3. Importance sampling for McKean-Vlasov SDEs math.PR · 2018 · author #3
  4. Regression Monte Carlo for Microgrid Management math.OC · 2018 · author #5
  5. Volatility options in rough volatility models q-fin.PR · 2018 · author #3
  6. Optimal trading policies for wind energy producer q-fin.TR · 2016 · author #2
  7. Optimal importance sampling for L\'evy Processes q-fin.RM · 2016 · author #2
  8. Arbitrage and utility maximization in market models with an insider q-fin.RM · 2016 · author #3
  9. Asymptotic Optimal Tracking: Feedback Strategies math.PR · 2016 · author #3
  10. Approximate Option Pricing in the L\'evy Libor Model q-fin.PR · 2015 · author #3
  11. Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach math.PR · 2015 · author #3
  12. Asymptotic indifference pricing in exponential L\'evy models q-fin.PR · 2015 · author #2
  13. Implied volatility of basket options at extreme strikes q-fin.PR · 2014 · author #2
  14. Tails of weakly dependent random vectors math.PR · 2014 · author #1
  15. Market models with optimal arbitrage q-fin.PR · 2013 · author #2
  16. Finite-dimensional representations for controlled diffusions with delay math.PR · 2013 · author #2
  17. Hedging under multiple risk constraints q-fin.RM · 2013 · author #3
  18. Tail behavior of sums and differences of log-normal random variables math.PR · 2013 · author #2
  19. A new look at short-term implied volatility in asset price models with jumps q-fin.PR · 2012 · author #2
  20. Numerical methods for the quadratic hedging problem in Markov models with jumps q-fin.RM · 2012 · author #2
  21. Optimal simulation schemes for L\'evy driven stochastic differential equations math.PR · 2012 · author #3
  22. Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias math.PR · 2012 · author #2
  23. Asymptotically optimal discretization of hedging strategies with jumps q-fin.RM · 2011 · author #2
  24. Portfolio Insurance under a risk-measure constraint q-fin.RM · 2011 · author #2
  25. Swing Options Valuation: a BSDE with Constrained Jumps Approach q-fin.CP · 2011 · author #3
  26. High order weak approximation schemes for L\'evy-driven SDEs math.PR · 2010 · author #1
  27. A finite dimensional approximation for pricing moving average options q-fin.PR · 2010 · author #2
  28. Asymptotic results and statistical procedures for time-changed L\'evy processes sampled at hitting times math.PR · 2010 · author #2
  29. Tracking errors from discrete hedging in exponential L\'evy models q-fin.RM · 2010 · author #2
  30. Arbitrage Opportunities in Misspecified Stochastic volatility Models q-fin.PR · 2010 · author #2

Mentions

  • 1207.0843 #2 · backfill · confidence 0.70 Peter Tankov
  • 1206.5393 #2 · backfill · confidence 0.70 Peter Tankov
  • 1204.4877 #3 · backfill · confidence 0.70 Peter Tankov
  • 1203.2355 #2 · backfill · confidence 0.70 Peter Tankov
  • 1108.5940 #2 · backfill · confidence 0.70 Peter Tankov
  • 1102.4489 #2 · backfill · confidence 0.70 Peter Tankov
  • 1101.0975 #3 · backfill · confidence 0.70 Peter Tankov
  • 1012.5806 #1 · backfill · confidence 0.70 Peter Tankov
  • 1011.3599 #2 · backfill · confidence 0.70 Peter Tankov
  • 1007.1414 #2 · backfill · confidence 0.70 Peter Tankov
  • 1003.0709 #2 · backfill · confidence 0.70 Peter Tankov
  • 1002.5041 #2 · backfill · confidence 0.70 Peter Tankov

Frequent Coauthors