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Peter Tankov

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Personal Details

First Name:Peter
Middle Name:
Last Name:Tankov
RePEc Short-ID:pta534
Email:[This author has chosen not to make the email address public]
Postal Address:
Location: Moscow, Russia
Phone: +7(495)7713232
Fax: +7(495)6287931
Postal: Myasnitskaya 20, Moscow 101000
Handle: RePEc:edi:qfhseru (more details at EDIRC)
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  1. Huy N. Chau & Peter Tankov, 2013. "Market models with optimal arbitrage," Papers 1312.4979,
  2. Archil Gulisashvili & Peter Tankov, 2013. "Tail behavior of sums and differences of log-normal random variables," Papers 1309.3057,
  3. Ying Jiao & Olivier Klopfenstein & Peter Tankov, 2013. "Hedging under multiple risk constraints," Papers 1309.5094,
  4. 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.
  5. 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.
  6. Arturo Kohatsu-Higa & Salvador Ortiz-Latorre & Peter Tankov, 2012. "Optimal simulation schemes for L\'evy driven stochastic differential equations," Papers 1204.4877,
  7. 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.
  8. Marie Bernhart & Huyên Pham & Peter Tankov & Xavier Warin, 2011. "Swing Options Valuation:a BSDE with Constrained Jumps Approach," Working Papers hal-00553356, HAL.
  9. Carmine De Franco & Peter Tankov, 2011. "Portfolio Insurance under a risk-measure constraint," Papers 1102.4489,
  10. Mathieu Rosenbaum & Peter Tankov, 2011. "Asymptotically optimal discretization of hedging strategies with jumps," Papers 1108.5940,, revised Apr 2014.
  11. Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Papers 1011.3599,
  12. Rudra P. Jena & Peter Tankov, 2010. "Arbitrage Opportunities in Misspecified Stochastic volatility Models," Papers 1002.5041,, revised Sep 2011.
  13. Peter Tankov, 2010. "Improved Frechet bounds and model-free pricing of multi-asset options," Papers 1004.4153,, revised Mar 2011.
  14. Mats Brod\'en & Peter Tankov, 2010. "Tracking errors from discrete hedging in exponential L\'evy models," Papers 1003.0709,
  15. Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov, 2008. "Optimal consumption policies in illiquid markets," Working Papers hal-00292673, HAL.
  16. Rama Cont & Peter Tankov, 2007. "Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices," Working Papers hal-00129413, HAL.
  1. Mats Brodén & Peter Tankov, 2011. "Tracking Errors From Discrete Hedging In Exponential Lévy Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 803-837.
  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. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Thilo Meyer-Brandis & Peter Tankov, 2008. "Multi-Factor Jump-Diffusion Models Of Electricity Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(05), pages 503-528.
  9. Huy�n 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.
  10. 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.
  11. Jérémy Poirot & Peter Tankov, 2006. "Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes," Asia-Pacific Financial Markets, Springer, vol. 13(4), pages 327-344, December.
12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (4) 2010-11-27 2012-03-21 2012-05-02 2012-07-08. Author is listed
  2. NEP-ENE: Energy Economics (1) 2012-07-08
  3. NEP-FMK: Financial Markets (1) 2013-09-25
  4. NEP-IAS: Insurance Economics (1) 2011-03-05
  5. NEP-LAM: Central & South America (1) 2013-09-25
  6. NEP-LTV: Unemployment, Inequality & Poverty (1) 2013-09-25
  7. NEP-NEU: Neuroeconomics (1) 2013-09-25
  8. NEP-ORE: Operations Research (1) 2012-05-02
  9. NEP-RMG: Risk Management (2) 2011-03-05 2013-09-25

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