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Peter Tankov

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First Name:Peter
Middle Name:
Last Name:Tankov
RePEc Short-ID:pta534
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  1. Cl\'ement M\'enass\'e & Peter Tankov, 2015. "Asymptotic indifference pricing in exponential L\'evy models," Papers 1502.03359,, revised Feb 2015.
  2. Zorana Grbac & David Krief & Peter Tankov, 2015. "Approximate Option Pricing in the L\'evy Libor Model," Papers 1511.08466,, revised Jul 2016.
  3. Jiatu Cai & Mathieu Rosenbaum & Peter Tankov, 2015. "Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach," Papers 1510.04295,
  4. Peter Tankov, 2014. "Tails of weakly dependent random vectors," Papers 1402.4683,, revised Jan 2016.
  5. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394,
  6. Archil Gulisashvili & Peter Tankov, 2013. "Tail behavior of sums and differences of log-normal random variables," Papers 1309.3057,, revised Jan 2016.
  7. Huy N. Chau & Peter Tankov, 2013. "Market models with optimal arbitrage," Papers 1312.4979,
  8. Ying Jiao & Olivier Klopfenstein & Peter Tankov, 2013. "Hedging under multiple risk constraints," Papers 1309.5094,
  9. Jos\'e E. Figueroa-L\'opez & Peter Tankov, 2012. "Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias," Papers 1203.2355,, revised Jul 2014.
  10. Arturo Kohatsu-Higa & Salvador Ortiz-Latorre & Peter Tankov, 2012. "Optimal simulation schemes for L\'evy driven stochastic differential equations," Papers 1204.4877,
  11. Carmine De Franco & Peter Tankov & Xavier Warin, 2012. "Numerical methods for the quadratic hedging problem in Markov models with jumps," Papers 1206.5393,, revised Dec 2013.
  12. Aleksandar Mijatovi\'c & Peter Tankov, 2012. "A new look at short-term implied volatility in asset price models with jumps," Papers 1207.0843,, revised Jul 2012.
  13. Carmine De Franco & Peter Tankov, 2011. "Portfolio Insurance under a risk-measure constraint," Papers 1102.4489,
  14. Mathieu Rosenbaum & Peter Tankov, 2011. "Asymptotically optimal discretization of hedging strategies with jumps," Papers 1108.5940,, revised Apr 2014.
  15. Marie Bernhart & Huyên Pham & Peter Tankov & Xavier Warin, 2011. "Swing Options Valuation:a BSDE with Constrained Jumps Approach," Working Papers hal-00553356, HAL.
  16. Rudra P. Jena & Peter Tankov, 2010. "Arbitrage Opportunities in Misspecified Stochastic volatility Models," Papers 1002.5041,, revised Sep 2011.
  17. Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Papers 1011.3599,
  18. Mats Brod\'en & Peter Tankov, 2010. "Tracking errors from discrete hedging in exponential L\'evy models," Papers 1003.0709,
  19. Peter Tankov, 2010. "Improved Frechet bounds and model-free pricing of multi-asset options," Papers 1004.4153,, revised Mar 2011.
  20. Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov, 2008. "Optimal consumption policies in illiquid markets," Working Papers hal-00292673, HAL.
  21. Rama Cont & Peter Tankov, 2007. "Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices," Working Papers hal-00129413, HAL.
  1. Rosenbaum, Mathieu & Tankov, Peter, 2011. "Asymptotic results for time-changed Lévy processes sampled at hitting times," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1607-1632, July.
  2. De Franco, Carmine & Tankov, Peter, 2011. "Portfolio insurance under a risk-measure constraint," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 361-370.
  3. Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov, 2011. "Optimal consumption policies in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 85-115, January.
  4. Kohatsu-Higa, Arturo & Tankov, Peter, 2010. "Jump-adapted discretization schemes for Lévy-driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2258-2285, November.
  5. Tankov, Peter & Voltchkova, Ekaterina, 2009. "Asymptotic analysis of hedging errors in models with jumps," Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 2004-2027, June.
  6. Rama Cont & Peter Tankov, 2009. "Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401.
  7. Huyên Pham & Peter Tankov, 2008. "A Model Of Optimal Consumption Under Liquidity Risk With Random Trading Times," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 613-627.
  8. Kallsen, Jan & Tankov, Peter, 2006. "Characterization of dependence of multidimensional Lévy processes using Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1551-1572, August.
  9. Jérémy Poirot & Peter Tankov, 2006. "Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 327-344, December.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (4) 2010-11-27 2012-03-21 2012-05-02 2012-07-08
  2. NEP-RMG: Risk Management (4) 2011-03-05 2013-09-25 2014-03-01 2014-06-07
  3. NEP-BAN: Banking (1) 2014-03-01
  4. NEP-ECM: Econometrics (1) 2014-03-01
  5. NEP-ENE: Energy Economics (1) 2012-07-08
  6. NEP-ETS: Econometric Time Series (1) 2014-03-01
  7. NEP-FMK: Financial Markets (1) 2013-09-25
  8. NEP-IAS: Insurance Economics (1) 2011-03-05
  9. NEP-LAM: Central & South America (1) 2013-09-25
  10. NEP-LTV: Unemployment, Inequality & Poverty (1) 2013-09-25
  11. NEP-NEU: Neuroeconomics (1) 2013-09-25
  12. NEP-ORE: Operations Research (1) 2012-05-02
  13. NEP-UPT: Utility Models & Prospect Theory (1) 2015-02-28

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