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 0 2 5 46
A finite dimensional approximation for pricing moving average options 0 0 0 11 0 9 15 63
A new look at short-term implied volatility in asset price models with jumps 0 0 0 16 0 4 17 89
Approximate Option Pricing in the L\'evy Libor Model 0 0 0 3 0 1 4 24
Arbitrage Opportunities in Misspecified Stochastic volatility Models 0 0 0 48 0 4 9 116
Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach 0 0 0 4 0 1 5 34
Asymptotic indifference pricing in exponential L\'evy models 0 0 0 11 1 2 8 48
Asymptotically optimal discretization of hedging strategies with jumps 0 0 0 3 0 2 5 53
Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices 0 1 3 116 0 5 16 299
Constant proportion portfolio insurance in presence of jumps in asset prices 0 0 0 0 1 3 10 41
Hedging under multiple risk constraints 0 0 1 25 0 3 6 39
Implied volatility of basket options at extreme strikes 0 0 1 18 2 2 14 34
Improved Frechet bounds and model-free pricing of multi-asset options 0 0 1 23 0 3 6 82
Market models with optimal arbitrage 0 0 0 7 0 2 6 45
Numerical methods for the quadratic hedging problem in Markov models with jumps 0 0 0 16 1 5 10 58
Optimal consumption policies in illiquid markets 0 0 0 29 1 4 9 112
Optimal simulation schemes for L\'evy driven stochastic differential equations 0 0 0 9 1 5 7 54
Portfolio Insurance under a risk-measure constraint 0 0 0 22 0 1 13 75
Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias 0 0 0 7 0 3 10 74
Swing Options Valuation: a BSDE with Constrained Jumps Approach 0 0 1 10 0 1 5 53
Swing Options Valuation:a BSDE with Constrained Jumps Approach 0 0 0 17 0 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 0 1 29 0 5 20 71
Tracking errors from discrete hedging in exponential L\'evy models 0 0 0 15 2 5 9 86
Total Working Papers 0 1 8 454 9 74 220 1,739

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 0 4 9 65
Asymptotic analysis of hedging errors in models with jumps 0 0 1 5 1 4 11 104
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 8 23 167
Characterization of dependence of multidimensional Lévy processes using Lévy copulas 0 0 2 56 1 4 14 170
Jump-adapted discretization schemes for Lévy-driven SDEs 0 0 2 10 0 2 12 102
Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes 0 1 1 174 1 4 17 487
Optimal consumption policies in illiquid markets 0 0 0 7 0 3 8 54
Portfolio insurance under a risk-measure constraint 0 0 0 11 0 2 5 46
Total Journal Articles 0 1 6 344 6 31 105 1,249

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Statistics updated 2026-06-04