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 0 1 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 0 1 3 73
Approximate Option Pricing in the L\'evy Libor Model 0 0 0 3 0 0 0 20
Arbitrage Opportunities in Misspecified Stochastic volatility Models 0 0 0 48 0 0 0 107
Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach 0 0 0 4 0 0 0 29
Asymptotic indifference pricing in exponential L\'evy models 0 0 0 11 0 3 7 43
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 1 1 1 114 1 1 4 284
Constant proportion portfolio insurance in presence of jumps in asset prices 0 0 0 0 0 1 4 32
Hedging under multiple risk constraints 0 0 0 24 0 0 0 33
Implied volatility of basket options at extreme strikes 0 0 3 17 0 3 8 23
Improved Frechet bounds and model-free pricing of multi-asset options 0 0 0 22 0 0 2 76
Market models with optimal arbitrage 0 0 0 7 0 1 2 40
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 0 0 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 0 2 3 64
Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias 0 0 0 7 0 0 2 64
Swing Options Valuation: a BSDE with Constrained Jumps Approach 0 0 0 9 0 1 2 49
Swing Options Valuation:a BSDE with Constrained Jumps Approach 0 0 0 17 1 1 2 85
Tail behavior of sums and differences of log-normal random variables 0 0 0 6 0 0 1 48
Tails of weakly dependent random vectors 0 0 0 28 2 3 5 54
Tracking errors from discrete hedging in exponential L\'evy models 0 0 0 15 0 0 1 77
Total Working Papers 1 1 4 447 4 17 52 1,536

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 1 16 0 0 4 56
Asymptotic analysis of hedging errors in models with jumps 0 0 2 4 0 0 5 93
Asymptotic results for time-changed Lévy processes sampled at hitting times 0 0 0 10 0 0 2 48
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES 0 0 0 55 1 4 8 148
Characterization of dependence of multidimensional Lévy processes using Lévy copulas 0 0 2 54 0 1 9 157
Jump-adapted discretization schemes for Lévy-driven SDEs 0 1 1 9 0 3 8 93
Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes 0 0 6 173 0 0 8 470
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 2 42
Total Journal Articles 0 1 12 339 2 9 46 1,153

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Statistics updated 2025-09-05