Access Statistics for Peter Tankov

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A finite dimensional approximation for pricing moving average options 0 0 0 9 1 1 2 41
A finite dimensional approximation for pricing moving average options 0 0 0 11 0 0 1 48
A new look at short-term implied volatility in asset price models with jumps 0 0 0 16 1 1 1 71
Approximate Option Pricing in the L\'evy Libor Model 0 0 1 3 0 0 1 20
Arbitrage Opportunities in Misspecified Stochastic volatility Models 0 0 0 48 0 0 1 107
Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach 0 0 0 4 0 0 1 29
Asymptotic indifference pricing in exponential L\'evy models 0 0 0 11 1 1 3 39
Asymptotically optimal discretization of hedging strategies with jumps 0 0 0 3 0 0 1 48
Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices 0 0 0 113 2 2 5 283
Constant proportion portfolio insurance in presence of jumps in asset prices 0 0 0 0 1 1 2 30
Hedging under multiple risk constraints 0 0 0 24 0 0 0 33
Implied volatility of basket options at extreme strikes 0 0 2 16 1 1 4 18
Improved Frechet bounds and model-free pricing of multi-asset options 0 0 0 22 1 1 2 76
Market models with optimal arbitrage 0 0 0 7 0 0 1 39
Numerical methods for the quadratic hedging problem in Markov models with jumps 0 0 0 16 0 0 1 48
Optimal consumption policies in illiquid markets 0 0 0 29 1 1 1 103
Optimal simulation schemes for L\'evy driven stochastic differential equations 0 0 0 9 0 0 1 47
Portfolio Insurance under a risk-measure constraint 0 0 0 22 1 1 1 62
Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias 0 0 0 7 1 2 2 64
Swing Options Valuation: a BSDE with Constrained Jumps Approach 0 0 0 9 0 0 1 47
Swing Options Valuation:a BSDE with Constrained Jumps Approach 0 0 0 17 0 0 1 84
Tail behavior of sums and differences of log-normal random variables 0 0 0 6 0 0 2 48
Tails of weakly dependent random vectors 0 0 1 28 0 1 3 51
Tracking errors from discrete hedging in exponential L\'evy models 0 0 0 15 0 0 1 77
Total Working Papers 0 0 4 445 11 13 39 1,513

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES 0 0 3 16 1 1 6 55
Asymptotic analysis of hedging errors in models with jumps 1 1 2 4 1 1 5 92
Asymptotic results for time-changed Lévy processes sampled at hitting times 0 0 0 10 0 1 2 48
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES 0 0 0 55 1 2 3 142
Characterization of dependence of multidimensional Lévy processes using Lévy copulas 0 0 7 53 2 3 14 155
Jump-adapted discretization schemes for Lévy-driven SDEs 0 0 0 8 0 0 7 90
Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes 0 2 6 171 0 4 11 468
Optimal consumption policies in illiquid markets 0 0 0 7 0 0 0 46
Portfolio insurance under a risk-measure constraint 0 0 0 11 1 1 1 41
Total Journal Articles 1 3 18 335 6 13 49 1,137

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Statistics updated 2025-03-03