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 11 9 11 15 63
A finite dimensional approximation for pricing moving average options 0 0 0 9 2 4 5 46
A new look at short-term implied volatility in asset price models with jumps 0 0 0 16 1 5 17 89
Approximate Option Pricing in the L\'evy Libor Model 0 0 0 3 1 1 4 24
Arbitrage Opportunities in Misspecified Stochastic volatility Models 0 0 0 48 1 6 9 116
Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach 0 0 0 4 1 1 5 34
Asymptotic indifference pricing in exponential L\'evy models 0 0 0 11 1 1 8 47
Asymptotically optimal discretization of hedging strategies with jumps 0 0 0 3 2 2 5 53
Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices 1 2 3 116 4 6 16 299
Constant proportion portfolio insurance in presence of jumps in asset prices 0 0 0 0 2 3 9 40
Hedging under multiple risk constraints 0 0 1 25 2 3 6 39
Implied volatility of basket options at extreme strikes 0 0 2 18 0 2 14 32
Improved Frechet bounds and model-free pricing of multi-asset options 0 1 1 23 2 4 6 82
Market models with optimal arbitrage 0 0 0 7 1 2 6 45
Numerical methods for the quadratic hedging problem in Markov models with jumps 0 0 0 16 3 4 9 57
Optimal consumption policies in illiquid markets 0 0 0 29 3 3 8 111
Optimal simulation schemes for L\'evy driven stochastic differential equations 0 0 0 9 3 4 6 53
Portfolio Insurance under a risk-measure constraint 0 0 0 22 1 2 13 75
Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias 0 0 0 7 2 5 10 74
Swing Options Valuation: a BSDE with Constrained Jumps Approach 0 0 1 10 1 1 5 53
Swing Options Valuation:a BSDE with Constrained Jumps Approach 0 0 0 17 1 1 6 90
Tail behavior of sums and differences of log-normal random variables 0 0 0 6 0 1 5 53
Tails of weakly dependent random vectors 0 1 1 29 3 8 20 71
Tracking errors from discrete hedging in exponential L\'evy models 0 0 0 15 1 3 7 84
Total Working Papers 1 4 9 454 47 83 214 1,730

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 0 16 4 4 9 65
Asymptotic analysis of hedging errors in models with jumps 0 1 1 5 3 5 10 103
Asymptotic results for time-changed Lévy processes sampled at hitting times 0 0 0 10 0 0 6 54
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES 0 0 0 55 3 7 21 164
Characterization of dependence of multidimensional Lévy processes using Lévy copulas 0 1 2 56 2 5 13 169
Jump-adapted discretization schemes for Lévy-driven SDEs 0 0 2 10 1 2 12 102
Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes 1 1 3 174 3 7 18 486
Optimal consumption policies in illiquid markets 0 0 0 7 3 3 8 54
Portfolio insurance under a risk-measure constraint 0 0 0 11 1 2 5 46
Total Journal Articles 1 3 8 344 20 35 102 1,243

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Statistics updated 2026-05-06