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 1 3 3 51
A new look at short-term implied volatility in asset price models with jumps 0 0 0 16 6 10 13 83
Approximate Option Pricing in the L\'evy Libor Model 0 0 0 3 1 1 2 22
Arbitrage Opportunities in Misspecified Stochastic volatility Models 0 0 0 48 0 1 1 108
Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach 0 0 0 4 2 3 3 32
Asymptotic indifference pricing in exponential L\'evy models 0 0 0 11 0 2 8 46
Asymptotically optimal discretization of hedging strategies with jumps 0 0 0 3 2 2 2 50
Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices 0 0 1 114 6 8 11 292
Constant proportion portfolio insurance in presence of jumps in asset prices 0 0 0 0 3 4 7 36
Hedging under multiple risk constraints 0 0 0 24 1 1 1 34
Implied volatility of basket options at extreme strikes 0 0 1 17 0 4 10 27
Improved Frechet bounds and model-free pricing of multi-asset options 0 0 0 22 1 2 3 78
Market models with optimal arbitrage 0 0 0 7 0 0 1 40
Numerical methods for the quadratic hedging problem in Markov models with jumps 0 0 0 16 1 4 4 52
Optimal consumption policies in illiquid markets 0 0 0 29 1 4 5 107
Optimal simulation schemes for L\'evy driven stochastic differential equations 0 0 0 9 0 0 0 47
Portfolio Insurance under a risk-measure constraint 0 0 0 22 3 6 9 70
Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias 0 0 0 7 0 3 5 67
Swing Options Valuation: a BSDE with Constrained Jumps Approach 0 1 1 10 0 2 4 51
Swing Options Valuation:a BSDE with Constrained Jumps Approach 0 0 0 17 1 2 4 88
Tail behavior of sums and differences of log-normal random variables 0 0 0 6 4 4 4 52
Tails of weakly dependent random vectors 0 0 0 28 2 6 10 60
Tracking errors from discrete hedging in exponential L\'evy models 0 0 0 15 2 3 3 80
Total Working Papers 0 1 3 448 37 75 114 1,614

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 2 4 58
Asymptotic analysis of hedging errors in models with jumps 0 0 1 4 0 2 4 95
Asymptotic results for time-changed Lévy processes sampled at hitting times 0 0 0 10 1 1 2 49
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES 0 0 0 55 1 2 11 152
Characterization of dependence of multidimensional Lévy processes using Lévy copulas 0 1 2 55 1 3 8 161
Jump-adapted discretization schemes for Lévy-driven SDEs 0 1 2 10 4 6 9 99
Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes 0 0 3 173 1 5 9 475
Optimal consumption policies in illiquid markets 0 0 0 7 0 3 3 49
Portfolio insurance under a risk-measure constraint 0 0 0 11 0 0 2 42
Total Journal Articles 0 2 8 341 8 24 52 1,180

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Statistics updated 2026-01-09