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 2 3 3 44
A finite dimensional approximation for pricing moving average options 0 0 0 11 2 4 6 54
A new look at short-term implied volatility in asset price models with jumps 0 0 0 16 1 8 14 85
Approximate Option Pricing in the L\'evy Libor Model 0 0 0 3 0 2 3 23
Arbitrage Opportunities in Misspecified Stochastic volatility Models 0 0 0 48 2 4 5 112
Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach 0 0 0 4 0 3 4 33
Asymptotic indifference pricing in exponential L\'evy models 0 0 0 11 0 0 7 46
Asymptotically optimal discretization of hedging strategies with jumps 0 0 0 3 0 3 3 51
Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices 1 1 2 115 1 8 11 294
Constant proportion portfolio insurance in presence of jumps in asset prices 0 0 0 0 1 5 8 38
Hedging under multiple risk constraints 0 1 1 25 0 3 3 36
Implied volatility of basket options at extreme strikes 0 1 2 18 2 5 14 32
Improved Frechet bounds and model-free pricing of multi-asset options 1 1 1 23 1 2 3 79
Market models with optimal arbitrage 0 0 0 7 0 3 4 43
Numerical methods for the quadratic hedging problem in Markov models with jumps 0 0 0 16 0 2 5 53
Optimal consumption policies in illiquid markets 0 0 0 29 0 2 5 108
Optimal simulation schemes for L\'evy driven stochastic differential equations 0 0 0 9 0 2 2 49
Portfolio Insurance under a risk-measure constraint 0 0 0 22 1 7 12 74
Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias 0 0 0 7 2 4 7 71
Swing Options Valuation: a BSDE with Constrained Jumps Approach 0 0 1 10 0 1 5 52
Swing Options Valuation:a BSDE with Constrained Jumps Approach 0 0 0 17 0 2 5 89
Tail behavior of sums and differences of log-normal random variables 0 0 0 6 0 4 4 52
Tails of weakly dependent random vectors 1 1 1 29 3 8 15 66
Tracking errors from discrete hedging in exponential L\'evy models 0 0 0 15 0 3 4 81
Total Working Papers 3 5 8 453 18 88 152 1,665

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 3 6 61
Asymptotic analysis of hedging errors in models with jumps 1 1 1 5 2 5 8 100
Asymptotic results for time-changed Lévy processes sampled at hitting times 0 0 0 10 0 6 6 54
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES 0 0 0 55 2 8 17 159
Characterization of dependence of multidimensional Lévy processes using Lévy copulas 1 1 3 56 2 6 11 166
Jump-adapted discretization schemes for Lévy-driven SDEs 0 0 2 10 0 5 10 100
Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes 0 0 2 173 4 9 15 483
Optimal consumption policies in illiquid markets 0 0 0 7 0 2 5 51
Portfolio insurance under a risk-measure constraint 0 0 0 11 0 2 3 44
Total Journal Articles 2 2 8 343 10 46 81 1,218

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Statistics updated 2026-03-04