Details about Peter Tankov

Access statistics for papers by Peter Tankov.

Last updated 2016-02-06. Update your information in the RePEc Author Service.

Short-id: pta534

Working Papers

2016

1. Approximate Option Pricing in the L\'evy Libor Model
   Papers, arXiv.org View citations (1)
2. Tail behavior of sums and differences of log-normal random variables
   Papers, arXiv.org View citations (13)
3. Tails of weakly dependent random vectors
   Papers, arXiv.org

2015

4. Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach
   Papers, arXiv.org View citations (5)
5. Asymptotic indifference pricing in exponential L\'evy models
   Papers, arXiv.org

2014

6. Asymptotically optimal discretization of hedging strategies with jumps
   Papers, arXiv.org View citations (14)
7. Implied volatility of basket options at extreme strikes
   Papers, arXiv.org
8. Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias
   Papers, arXiv.org View citations (5)

2013

9. Hedging under multiple risk constraints
   Papers, arXiv.org View citations (2)
10. Market models with optimal arbitrage
    Papers, arXiv.org View citations (1)
11. Numerical methods for the quadratic hedging problem in Markov models with jumps
    Papers, arXiv.org

2012

12. A new look at short-term implied volatility in asset price models with jumps
    Papers, arXiv.org View citations (9)
13. Optimal simulation schemes for L\'evy driven stochastic differential equations
    Papers, arXiv.org

2011

14. Arbitrage Opportunities in Misspecified Stochastic volatility Models
    Papers, arXiv.org View citations (2)
15. Improved Frechet bounds and model-free pricing of multi-asset options
    Papers, arXiv.org View citations (23)
16. Portfolio Insurance under a risk-measure constraint
    Papers, arXiv.org View citations (7)
    See also Journal Article Portfolio insurance under a risk-measure constraint, Insurance: Mathematics and Economics, Elsevier (2011) View citations (7) (2011)
17. Swing Options Valuation: a BSDE with Constrained Jumps Approach
    Papers, arXiv.org View citations (1)
    Also in Working Papers, HAL (2011)

2010

18. A finite dimensional approximation for pricing moving average options
    Working Papers, HAL View citations (2)
    Also in Papers, arXiv.org (2010)
19. Tracking errors from discrete hedging in exponential L\'evy models
    Papers, arXiv.org View citations (7)

2009

20. Constant proportion portfolio insurance in presence of jumps in asset prices
    Post-Print, HAL View citations (27)
    Also in Working Papers, HAL (2007) View citations (6)
    See also Journal Article CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES, Mathematical Finance, Wiley Blackwell (2009) View citations (30) (2009)

2008

21. Optimal consumption policies in illiquid markets
    Working Papers, HAL View citations (4)
    See also Journal Article Optimal consumption policies in illiquid markets, Finance and Stochastics, Springer (2011) View citations (10) (2011)

Journal Articles

2011

1. Asymptotic results for time-changed Lévy processes sampled at hitting times
   Stochastic Processes and their Applications, 2011, 121, (7), 1607-1632 View citations (8)
2. Optimal consumption policies in illiquid markets
   Finance and Stochastics, 2011, 15, (1), 85-115 View citations (10)
   See also Working Paper Optimal consumption policies in illiquid markets, Working Papers (2008) View citations (4) (2008)
3. Portfolio insurance under a risk-measure constraint
   Insurance: Mathematics and Economics, 2011, 49, (3), 361-370 View citations (7)
   See also Working Paper Portfolio Insurance under a risk-measure constraint, Papers (2011) View citations (7) (2011)

2010

4. Jump-adapted discretization schemes for Lévy-driven SDEs
   Stochastic Processes and their Applications, 2010, 120, (11), 2258-2285 View citations (8)

2009

5. Asymptotic analysis of hedging errors in models with jumps
   Stochastic Processes and their Applications, 2009, 119, (6), 2004-2027 View citations (15)
6. CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
   Mathematical Finance, 2009, 19, (3), 379-401 View citations (30)
   See also Working Paper Constant proportion portfolio insurance in presence of jumps in asset prices, Post-Print (2009) View citations (27) (2009)

2008

7. A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
   Mathematical Finance, 2008, 18, (4), 613-627 View citations (21)

2006

8. Characterization of dependence of multidimensional Lévy processes using Lévy copulas
   Journal of Multivariate Analysis, 2006, 97, (7), 1551-1572 View citations (53)
9. Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes
   Asia-Pacific Financial Markets, 2006, 13, (4), 327-344 View citations (26)