Peter TANKOV


Peter TANKOV
CREST Permanent Member
Full Professor
Finance
Personal Website
This user account status is Approved

Contact

2021

  • Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models

    Advances in applied probability, vol. 53, iss. 1, pp. 220-250, 2021.
    By Z. Grbac, D. Krief, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Grbac2021Long-TimeModels,
    author = {Zorana Grbac and David Krief and Peter Tankov},
    title = {{Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models}},
    journal = {Advances in Applied Probability},
    year = {2021},
    volume = {53},
    number = {1},
    pages = {220-250},
    doi = {10.1017/apr.2020.58}}

2020

  • Measuring the risk of supply and demand imbalance at the monthly to seasonal scale in france

    Energies, vol. 13, iss. 18, 2020.
    By B. Alonzo, P. Drobinski, R. Plougonven, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Alonzo2020,
    author={Alonzo, B. and Drobinski, P. and Plougonven, R. and Tankov, P.},
    title={Measuring the risk of supply and demand imbalance at the monthly to seasonal scale in France},
    journal={Energies},
    year={2020},
    volume={13},
    number={18},
    doi={10.3390/en13184888},
    art_number={4888},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85091849057&doi=10.3390%2fen13184888&partnerID=40&md5=39de49e5285faa8ab27e4fd16b133347}, document_type={Article}, source={Scopus}, }
  • Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height

    International journal of forecasting, vol. 36, iss. 2, pp. 515-530, 2020.
    By B. Alonzo, P. Tankov, P. Drobinski, and R. Plougonven

    [DOI] [Bibtex]

    @ARTICLE{Alonzo2020515,
    author={Alonzo, B. and Tankov, P. and Drobinski, P. and Plougonven, R.},
    title={Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height},
    journal={International Journal of Forecasting},
    year={2020},
    volume={36},
    number={2},
    pages={515-530},
    doi={10.1016/j.ijforecast.2019.07.005},
    note={cited 
    By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076201219&doi=10.1016%2fj.ijforecast.2019.07.005&partnerID=40&md5=056a41c1d6ceb8f15ce082a0f6a87470}, document_type={Article}, source={Scopus}, }
  • Mean-field games of optimal stopping: a relaxed solution approach

    Siam journal on control and optimization, vol. 58, iss. 4, pp. 1795-1821, 2020.
    By G. Bouveret, R. Dumitrescu, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Bouveret20201795,
    author={Bouveret, G. and Dumitrescu, R. and Tankov, P.},
    title={Mean-field games of optimal stopping: A relaxed solution approach},
    journal={SIAM Journal on Control and Optimization},
    year={2020},
    volume={58},
    number={4},
    pages={1795-1821},
    doi={10.1137/18M1233480},
    note={cited 
    By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85088965171&doi=10.1137%2f18M1233480&partnerID=40&md5=efcfc7eb48c642c56c47f264adf33eef}, document_type={Article}, source={Scopus}, }
  • The economic value of wind energy nowcasting

    Energies, vol. 13, iss. 20, 2020.
    By A. Dupre, P. Drobinski, J. Badosa, C. Briard, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Dupre2020,
    author={Dupre, A. and Drobinski, P. and Badosa, J. and Briard, C. and Tankov, P.},
    title={The economic value of wind energy nowcasting},
    journal={Energies},
    year={2020},
    volume={13},
    number={20},
    doi={10.3390/en13205266},
    art_number={5266},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85092892529&doi=10.3390%2fen13205266&partnerID=40&md5=b2dee29601475f81260d8265e69d0fe4}, document_type={Article}, source={Scopus}, }
  • Price formation and optimal trading in intraday electricity markets with a major player

    Risks, vol. 8, iss. 4, pp. 1-21, 2020.
    By O. Feron, P. Tankov, and L. Tinsi

    [DOI] [Bibtex]

    @ARTICLE{Feron20201,
    author={Feron, O. and Tankov, P. and Tinsi, L.},
    title={Price formation and optimal trading in intraday electricity markets with a major player},
    journal={Risks},
    year={2020},
    volume={8},
    number={4},
    pages={1-21},
    doi={10.3390/risks8040133},
    art_number={133},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85097553301&doi=10.3390%2frisks8040133&partnerID=40&md5=3ae667c2ea9eb8ca42e02f251daa0320}, document_type={Article}, source={Scopus}, }
  • Optimal importance sampling for levy processes

    Stochastic processes and their applications, vol. 130, iss. 1, pp. 20-46, 2020.
    By A. Genin and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Genin202020,
    author={Genin, A. and Tankov, P.},
    title={Optimal importance sampling for Levy processes},
    journal={Stochastic Processes and their Applications},
    year={2020},
    volume={130},
    number={1},
    pages={20-46},
    doi={10.1016/j.spa.2018.12.019},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85059779944&doi=10.1016%2fj.spa.2018.12.019&partnerID=40&md5=47e9b4e7a46cee964eb7cdbba91b1919}, document_type={Article}, source={Scopus}, }
  • Volatility options in rough volatility models

    Siam journal on financial mathematics, vol. 11, iss. 2, pp. 437-469, 2020.
    By B. Horvath, A. Jacquier, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Horvath2020437,
    author={Horvath, B. and Jacquier, A. and Tankov, P.},
    title={Volatility options in rough volatility models},
    journal={SIAM Journal on Financial Mathematics},
    year={2020},
    volume={11},
    number={2},
    pages={437-469},
    doi={10.1137/18M1169242},
    note={cited 
    By 4}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85086104933&doi=10.1137%2f18M1169242&partnerID=40&md5=5b3ba6e410ce71129387b784ea24929a}, document_type={Article}, source={Scopus}, }
  • Interviews with researchers who started their career in physics but moved to finance

    Journal of derivatives, vol. 28, iss. 1, pp. 143-159, 2020.
    By M. Lorig, P. Tankov, A. Antonov, and A. B. Guerrero

    [DOI] [Bibtex]

    @ARTICLE{Lorig2020143,
    author={Lorig, M. and Tankov, P. and Antonov, A. and Guerrero, A.B.},
    title={Interviews with researchers who started their career in physics but moved to finance},
    journal={Journal of Derivatives},
    year={2020},
    volume={28},
    number={1},
    pages={143-159},
    doi={10.3905/jod.2020.1.112},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85100121097&doi=10.3905%2fjod.2020.1.112&partnerID=40&md5=5a1183e0f71ff8effbe850d33d260608}, document_type={Note}, source={Scopus}, }

2019

  • Long-time large deviations for the multiasset wishart stochastic volatility model and option pricing

    Siam journal on financial mathematics, vol. 10, iss. 4, pp. 942-976, 2019.
    By A. Alfonsi, D. Krief, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Alfonsi2019942,
    author={Alfonsi, A. and Krief, D. and Tankov, P.},
    title={Long-time large deviations for the Multiasset Wishart stochastic volatility model and option pricing},
    journal={SIAM Journal on Financial Mathematics},
    year={2019},
    volume={10},
    number={4},
    pages={942-976},
    doi={10.1137/18M1197588},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85077556862&doi=10.1137%2f18M1197588&partnerID=40&md5=97b5c21554c5e37be66e7a8ac118b7b7}, document_type={Article}, source={Scopus}, }
  • E4clim 1.0: the energy for a climate integrated model: description and application to italy

    Energies, vol. 12, iss. 22, 2019.
    By A. Tantet, M. Stefanon, P. Drobinski, J. Badosa, S. Concettini, A. Cretì, C. D’Ambrosio, D. Thomopulos, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Tantet2019,
    author={Tantet, A. and Stefanon, M. and Drobinski, P. and Badosa, J. and Concettini, S. and Cretì, A. and D’Ambrosio, C. and Thomopulos, D. and Tankov, P.},
    title={E4CLIM 1.0: The energy for a climate integrated model: Description and application to Italy},
    journal={Energies},
    year={2019},
    volume={12},
    number={22},
    doi={10.3390/en12224299},
    art_number={4299},
    note={cited 
    By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85075970117&doi=10.3390%2fen12224299&partnerID=40&md5=41c2b8be9ad6cc7bb985d87bb151889d}, document_type={Article}, source={Scopus}, }

2018

  • Arbitrage and utility maximization in market models with an insider

    Mathematics and financial economics, vol. 12, iss. 4, pp. 589-614, 2018.
    By H. N. Chau, W. J. Runggaldier, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Chau2018589,
    author={Chau, H.N. and Runggaldier, W.J. and Tankov, P.},
    title={Arbitrage and utility maximization in market models with an insider},
    journal={Mathematics and Financial Economics},
    year={2018},
    volume={12},
    number={4},
    pages={589-614},
    doi={10.1007/s11579-018-0217-4},
    note={cited 
    By 4}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046487113&doi=10.1007%2fs11579-018-0217-4&partnerID=40&md5=edbfb038f78ce909c1783026a1a04db6}, document_type={Article}, source={Scopus}, }
  • Optimal trading policies for wind energy producer

    Siam journal on financial mathematics, vol. 9, iss. 1, pp. 315-346, 2018.
    By Z. Tan and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Tan2018315,
    author={Tan, Z. and Tankov, P.},
    title={Optimal trading policies for wind energy producer},
    journal={SIAM Journal on Financial Mathematics},
    year={2018},
    volume={9},
    number={1},
    pages={315-346},
    doi={10.1137/16M1093069},
    note={cited 
    By 1}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85049663311&doi=10.1137%2f16M1093069&partnerID=40&md5=86ddd9a995a840e80f8b6ba2a69432f5}, document_type={Article}, source={Scopus}, }

2017

  • Modelling the variability of the wind energy resource on monthly and seasonal timescales

    Renewable energy, vol. 113, pp. 1434-1446, 2017.
    By B. Alonzo, H. -K. Ringkjob, B. Jourdier, P. Drobinski, R. Plougonven, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Alonzo20171434,
    author={Alonzo, B. and Ringkjob, H.-K. and Jourdier, B. and Drobinski, P. and Plougonven, R. and Tankov, P.},
    title={Modelling the variability of the wind energy resource on monthly and seasonal timescales},
    journal={Renewable Energy},
    year={2017},
    volume={113},
    pages={1434-1446},
    doi={10.1016/j.renene.2017.07.019},
    note={cited 
    By 12}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85021936116&doi=10.1016%2fj.renene.2017.07.019&partnerID=40&md5=9531c78d81adf486a27aa2affa6e1e5c}, document_type={Review}, source={Scopus}, }
  • Asymptotic optimal tracking: feedback strategies

    Stochastics, vol. 89, iss. 6-7, pp. 943-966, 2017.
    By J. Cai, M. Rosenbaum, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cai2017943,
    author={Cai, J. and Rosenbaum, M. and Tankov, P.},
    title={Asymptotic optimal tracking: feedback strategies},
    journal={Stochastics},
    year={2017},
    volume={89},
    number={6-7},
    pages={943-966},
    doi={10.1080/17442508.2017.1285304},
    note={cited 
    By 7}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013070402&doi=10.1080%2f17442508.2017.1285304&partnerID=40&md5=a32e1780cf57531d4deea348dc7b3bd4}, document_type={Article}, source={Scopus}, }
  • Asymptotic lower bounds for optimal tracking: a linear programming approach

    Annals of applied probability, vol. 27, iss. 4, pp. 2455-2514, 2017.
    By J. Cai, M. Rosenbaum, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cai20172455,
    author={Cai, J. and Rosenbaum, M. and Tankov, P.},
    title={Asymptotic lower bounds for optimal tracking: A linear programming approach},
    journal={Annals of Applied Probability},
    year={2017},
    volume={27},
    number={4},
    pages={2455-2514},
    doi={10.1214/16-AAP1264},
    note={cited 
    By 9}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85028704366&doi=10.1214%2f16-AAP1264&partnerID=40&md5=5473e325f6e4c57cb126fae61f0553d9}, document_type={Article}, source={Scopus}, }
  • Hedging under multiple risk constraints

    Finance and stochastics, vol. 21, iss. 2, pp. 361-396, 2017.
    By Y. Jiao, O. Klopfenstein, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Jiao2017361,
    author={Jiao, Y. and Klopfenstein, O. and Tankov, P.},
    title={Hedging under multiple risk constraints},
    journal={Finance and Stochastics},
    year={2017},
    volume={21},
    number={2},
    pages={361-396},
    doi={10.1007/s00780-017-0326-6},
    note={cited 
    By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85015018541&doi=10.1007%2fs00780-017-0326-6&partnerID=40&md5=329ee5d4ac74053416611cac05198f30}, document_type={Article}, source={Scopus}, }

2016

  • Optimal discretization of hedging strategies with directional views

    Siam journal on financial mathematics, vol. 7, iss. 1, pp. 34-69, 2016.
    By J. Cai, M. Fukasawa, M. Rosenbaum, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cai201634,
    author={Cai, J. and Fukasawa, M. and Rosenbaum, M. and Tankov, P.},
    title={Optimal discretization of hedging strategies with directional views},
    journal={SIAM Journal on Financial Mathematics},
    year={2016},
    volume={7},
    number={1},
    pages={34-69},
    doi={10.1137/151004306},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85007326753&doi=10.1137%2f151004306&partnerID=40&md5=782123603d47959fe50bfabcbdbe1ea3}, document_type={Article}, source={Scopus}, }
  • Tail behavior of sums and differences of log-normal random variables

    Bernoulli, vol. 22, iss. 1, pp. 444-493, 2016.
    By A. Gulisashvili and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Gulisashvili2016444,
    author={Gulisashvili, A. and Tankov, P.},
    title={Tail behavior of sums and differences of log-normal random variables},
    journal={Bernoulli},
    year={2016},
    volume={22},
    number={1},
    pages={444-493},
    doi={10.3150/14-BEJ665},
    note={cited 
    By 18}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013963774&doi=10.3150%2f14-BEJ665&partnerID=40&md5=98d31717ea90cd99eb4ffba032ba3e55}, document_type={Article}, source={Scopus}, }
  • A new look at short-term implied volatility in asset price models with jumps

    Mathematical finance, vol. 26, iss. 1, pp. 149-183, 2016.
    By A. Mijatović and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Mijatović2016149,
    author={Mijatović, A. and Tankov, P.},
    title={A new look at short-term implied volatility in asset price models with jumps},
    journal={Mathematical Finance},
    year={2016},
    volume={26},
    number={1},
    pages={149-183},
    doi={10.1111/mafi.12055},
    note={cited 
    By 25}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84954028341&doi=10.1111%2fmafi.12055&partnerID=40&md5=eac747900b6c9bb0b3bca6abd9cfc842}, document_type={Article}, source={Scopus}, }
  • Approximate indifference pricing in exponential levy models

    Applied mathematical finance, vol. 23, iss. 3, pp. 197-235, 2016.
    By C. Menasse and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Menasse2016197,
    author={Menasse, C. and Tankov, P.},
    title={Approximate indifference pricing in exponential Levy models},
    journal={Applied Mathematical Finance},
    year={2016},
    volume={23},
    number={3},
    pages={197-235},
    doi={10.1080/1350486X.2016.1227270},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986189978&doi=10.1080%2f1350486X.2016.1227270&partnerID=40&md5=87bd28e7133c8f3794f4e3e4de02a108}, document_type={Article}, source={Scopus}, }
  • Tails of weakly dependent random vectors

    Journal of multivariate analysis, vol. 145, pp. 73-86, 2016.
    By P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Tankov201673,
    author={Tankov, P.},
    title={Tails of weakly dependent random vectors},
    journal={Journal of Multivariate Analysis},
    year={2016},
    volume={145},
    pages={73-86},
    doi={10.1016/j.jmva.2015.12.008},
    note={cited 
    By 1}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84952918512&doi=10.1016%2fj.jmva.2015.12.008&partnerID=40&md5=c0cb0140f0813a372259afb209d5aee6}, document_type={Article}, source={Scopus}, }

2015

  • Market models with optimal arbitrage

    Siam journal on financial mathematics, vol. 6, iss. 1, pp. 66-85, 2015.
    By H. N. Chau and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Chau201566,
    author={Chau, H.N. and Tankov, P.},
    title={Market models with optimal arbitrage},
    journal={SIAM Journal on Financial Mathematics},
    year={2015},
    volume={6},
    number={1},
    pages={66-85},
    doi={10.1137/140953666},
    note={cited 
    By 5}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84925349149&doi=10.1137%2f140953666&partnerID=40&md5=fdc2721e37038d6a2c3dc25725dd3be3}, document_type={Article}, source={Scopus}, }
  • Numerical methods for the quadratic hedging problem in markov models with jumps

    Journal of computational finance, vol. 19, iss. 2, pp. 29-67, 2015.
    By C. De Franco, P. Tankov, and X. Warin

    [DOI] [Bibtex]

    @ARTICLE{DeFranco201529,
    author={De Franco, C. and Tankov, P. and Warin, X.},
    title={Numerical methods for the quadratic hedging problem in Markov models with jumps},
    journal={Journal of Computational Finance},
    year={2015},
    volume={19},
    number={2},
    pages={29-67},
    doi={10.21314/JCF.2015.294},
    note={cited 
    By 2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973597959&doi=10.21314%2fJCF.2015.294&partnerID=40&md5=2bd66dd89ce316fed17bb4cfada300a4}, document_type={Article}, source={Scopus}, }
  • Finite-dimensional representations for controlled diffusions with delay

    Applied mathematics and optimization, vol. 71, iss. 1, pp. 165-194, 2015.
    By S. Federico and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Federico2015165,
    author={Federico, S. and Tankov, P.},
    title={Finite-Dimensional Representations for Controlled Diffusions with Delay},
    journal={Applied Mathematics and Optimization},
    year={2015},
    volume={71},
    number={1},
    pages={165-194},
    doi={10.1007/s00245-014-9256-2},
    note={cited 
    By 4}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84922337834&doi=10.1007%2fs00245-014-9256-2&partnerID=40&md5=a0c08c349729b6c867330ca5ad77e989}, document_type={Article}, source={Scopus}, }

2014

  • Small-time asymptotics of stopped levy bridges and simulation schemes with controlled bias

    Bernoulli, vol. 20, iss. 3, pp. 1126-1164, 2014.
    By J. E. Figueroa-López and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Figueroa-López20141126,
    author={Figueroa-López, J.E. and Tankov, P.},
    title={Small-time asymptotics of stopped Levy bridges and simulation schemes with controlled bias},
    journal={Bernoulli},
    year={2014},
    volume={20},
    number={3},
    pages={1126-1164},
    doi={10.3150/13-BEJ517},
    note={cited 
    By 3}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84903947542&doi=10.3150%2f13-BEJ517&partnerID=40&md5=cf54049902a984a06e095b3df17dd39d}, document_type={Article}, source={Scopus}, }
  • Optimal simulation schemes for ĺevy driven stochastic differential equations

    Mathematics of computation, vol. 83, iss. 289, pp. 2293-2324, 2014.
    By A. Kohatsu-Higa, S. Ortiz-Latorre, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Kohatsu-Higa20142293,
    author={Kohatsu-Higa, A. and Ortiz-Latorre, S. and Tankov, P.},
    title={Optimal Simulation Schemes For Ĺevy driven stochastic differential equations},
    journal={Mathematics of Computation},
    year={2014},
    volume={83},
    number={289},
    pages={2293-2324},
    doi={10.1090/s0025-5718-2013-02786-x},
    note={cited 
    By 3}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84909989563&doi=10.1090%2fs0025-5718-2013-02786-x&partnerID=40&md5=4037a319aff3fe3ffffca35e6474384b}, document_type={Article}, source={Scopus}, }
  • Asymptotically optimal discretization of hedging strategies with jumps

    Annals of applied probability, vol. 24, iss. 3, pp. 1002-1048, 2014.
    By M. Rosenbaum and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Rosenbaum20141002,
    author={Rosenbaum, M. and Tankov, P.},
    title={Asymptotically optimal discretization of hedging strategies with jumps},
    journal={Annals of Applied Probability},
    year={2014},
    volume={24},
    number={3},
    pages={1002-1048},
    doi={10.1214/13-AAP940},
    note={cited 
    By 11}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84899538558&doi=10.1214%2f13-AAP940&partnerID=40&md5=6077021a4076cac3d81238aa5b541c9c}, document_type={Article}, source={Scopus}, }

2011

  • A finite-dimensional approximation for pricing moving average options

    Siam journal on financial mathematics, vol. 2, iss. 1, pp. 989-1013, 2011.
    By M. Bernhart, P. Tankov, and X. Warin

    [DOI] [Bibtex]

    @ARTICLE{Bernhart2011989,
    author={Bernhart, M. and Tankov, P. and Warin, X.},
    title={A finite-dimensional approximation for pricing moving average options},
    journal={SIAM Journal on Financial Mathematics},
    year={2011},
    volume={2},
    number={1},
    pages={989-1013},
    doi={10.1137/100815566},
    note={cited 
    By 5}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871069787&doi=10.1137%2f100815566&partnerID=40&md5=ce1f17736b5e33294f0f39f2fc1ce55b}, document_type={Article}, source={Scopus}, }
  • Tracking errors from discrete hedging in exponential levy models

    International journal of theoretical and applied finance, vol. 14, iss. 6, pp. 803-837, 2011.
    By M. Broden and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Broden2011803,
    author={Broden, M. and Tankov, P.},
    title={Tracking errors from discrete hedging in exponential Levy models},
    journal={International Journal of Theoretical and Applied Finance},
    year={2011},
    volume={14},
    number={6},
    pages={803-837},
    doi={10.1142/S0219024911006760},
    note={cited 
    By 12}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053418772&doi=10.1142%2fS0219024911006760&partnerID=40&md5=33503f2971d7b474b878f06bc1c2a5ce}, document_type={Article}, source={Scopus}, }
  • Preface

    Lecture notes in mathematics, vol. 2003, p. v-vi, 2011.
    By A. Cousin, J. -M. Lasry, S. Crepey, J. -P. Laurent, O. Gueant, P. -L. Lions, D. Hobson, P. Tankov, and M. Jeanblanc

    [Bibtex]

    @EDITORIAL{Cousin2011v,
    author={Cousin, A. and Lasry, J.-M. and Crepey, S. and Laurent, J.-P. and Gueant, O. and Lions, P.-L. and Hobson, D. and Tankov, P. and Jeanblanc, M.},
    title={Preface},
    journal={Lecture Notes in Mathematics},
    year={2011},
    volume={2003},
    pages={v-vi},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85072856742&partnerID=40&md5=22fea6d80f6db2247e6e16f386cbab51}, document_type={Editorial}, source={Scopus}, }
  • Optimal consumption policies in illiquid markets

    Finance and stochastics, vol. 15, iss. 1, pp. 85-115, 2011.
    By A. Cretarola, F. Gozzi, H. Pham, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cretarola201185,
    author={Cretarola, A. and Gozzi, F. and Pham, H. and Tankov, P.},
    title={Optimal consumption policies in illiquid markets},
    journal={Finance and Stochastics},
    year={2011},
    volume={15},
    number={1},
    pages={85-115},
    doi={10.1007/s00780-010-0123-y},
    note={cited 
    By 9}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651447545&doi=10.1007%2fs00780-010-0123-y&partnerID=40&md5=d33a1f2b00fa395e5f42d2e2ba30be4e}, document_type={Article}, source={Scopus}, }
  • Portfolio insurance under a risk-measure constraint

    Insurance: mathematics and economics, vol. 49, iss. 3, pp. 361-370, 2011.
    By C. De Franco and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{DeFranco2011361,
    author={De Franco, C. and Tankov, P.},
    title={Portfolio insurance under a risk-measure constraint},
    journal={Insurance: Mathematics and Economics},
    year={2011},
    volume={49},
    number={3},
    pages={361-370},
    doi={10.1016/j.insmatheco.2011.05.009},
    note={cited 
    By 7}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79959663154&doi=10.1016%2fj.insmatheco.2011.05.009&partnerID=40&md5=96db70397b76537222bc52b29658289a}, document_type={Article}, source={Scopus}, }
  • Arbitrage opportunities in misspecified stochastic volatility models

    Siam journal on financial mathematics, vol. 2, iss. 1, pp. 317-341, 2011.
    By R. P. Jena and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Jena2011317,
    author={Jena, R.P. and Tankov, P.},
    title={Arbitrage opportunities in misspecified stochastic volatility models},
    journal={SIAM Journal on Financial Mathematics},
    year={2011},
    volume={2},
    number={1},
    pages={317-341},
    doi={10.1137/100786678},
    note={cited 
    By 0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871081161&doi=10.1137%2f100786678&partnerID=40&md5=b5e05f30658fc7244094e3217a6f9679}, document_type={Article}, source={Scopus}, }
  • Asymptotic results for time-changed levy processes sampled at hitting times

    Stochastic processes and their applications, vol. 121, iss. 7, pp. 1607-1632, 2011.
    By M. Rosenbaum and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Rosenbaum20111607,
    author={Rosenbaum, M. and Tankov, P.},
    title={Asymptotic results for time-changed Levy processes sampled at hitting times},
    journal={Stochastic Processes and their Applications},
    year={2011},
    volume={121},
    number={7},
    pages={1607-1632},
    doi={10.1016/j.spa.2011.03.013},
    note={cited 
    By 11}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79956199041&doi=10.1016%2fj.spa.2011.03.013&partnerID=40&md5=ca139cd3069425d9cd23cb0a85b13690}, document_type={Article}, source={Scopus}, }
  • Improved frechet bounds and model-free pricing of multi-asset options

    Journal of applied probability, vol. 48, iss. 2, pp. 389-403, 2011.
    By P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Tankov2011389,
    author={Tankov, P.},
    title={Improved frechet bounds and model-free pricing of multi-asset options},
    journal={Journal of Applied Probability},
    year={2011},
    volume={48},
    number={2},
    pages={389-403},
    doi={10.1239/jap/1308662634},
    note={cited 
    By 40}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80054875295&doi=10.1239%2fjap%2f1308662634&partnerID=40&md5=733e0144953d58ad7893b759c1abffb0}, document_type={Article}, source={Scopus}, }
  • Pricing and hedging in exponential levy models: review of recent results

    Lecture notes in mathematics, vol. 2003, pp. 319-359, 2011.
    By P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Tankov2011319,
    author={Tankov, P.},
    title={Pricing and hedging in exponential Levy models: Review of recent results},
    journal={Lecture Notes in Mathematics},
    year={2011},
    volume={2003},
    pages={319-359},
    doi={10.1007/978-3-642-14660-2_5},
    note={cited 
    By 34}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77958474311&doi=10.1007%2f978-3-642-14660-2_5&partnerID=40&md5=af89646af6661ac0b04b5a83aa2bec57}, document_type={Article}, source={Scopus}, }

2010

  • Jump-adapted discretization schemes for levy-driven sdes

    Stochastic processes and their applications, vol. 120, iss. 11, pp. 2258-2285, 2010.
    By A. Kohatsu-Higa and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Kohatsu-Higa20102258,
    author={Kohatsu-Higa, A. and Tankov, P.},
    title={Jump-adapted discretization schemes for Levy-driven SDEs},
    journal={Stochastic Processes and their Applications},
    year={2010},
    volume={120},
    number={11},
    pages={2258-2285},
    doi={10.1016/j.spa.2010.07.001},
    note={cited 
    By 27}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77956393590&doi=10.1016%2fj.spa.2010.07.001&partnerID=40&md5=06a7d8cfcfd8eeb3cc2a9c7c5595bfaa}, document_type={Article}, source={Scopus}, }

2009

  • Constant proportion portfolio insurance in the presence of jumps in asset prices

    Mathematical finance, vol. 19, iss. 3, pp. 379-401, 2009.
    By R. Cont and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cont2009379,
    author={Cont, R. and Tankov, P.},
    title={Constant proportion portfolio insurance in the presence of jumps in asset prices},
    journal={Mathematical Finance},
    year={2009},
    volume={19},
    number={3},
    pages={379-401},
    doi={10.1111/j.1467-9965.2009.00377.x},
    note={cited 
    By 35}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650851506&doi=10.1111%2fj.1467-9965.2009.00377.x&partnerID=40&md5=d6f8d48eec2d54c7c882e15f775ccf3e}, document_type={Article}, source={Scopus}, }
  • A coupled system of integrodifferential equations arising in liquidity risk model

    Applied mathematics and optimization, vol. 59, iss. 2, pp. 147-173, 2009.
    By H. Pham and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Pham2009147,
    author={Pham, H. and Tankov, P.},
    title={A Coupled System of Integrodifferential Equations Arising in Liquidity Risk Model},
    journal={Applied Mathematics and Optimization},
    year={2009},
    volume={59},
    number={2},
    pages={147-173},
    doi={10.1007/s00245-008-9046-9},
    note={cited 
    By 7}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-60349123439&doi=10.1007%2fs00245-008-9046-9&partnerID=40&md5=6e69e4bb92fc9fd81b5fe42a47bad41a}, document_type={Article}, source={Scopus}, }
  • Asymptotic analysis of hedging errors in models with jumps

    Stochastic processes and their applications, vol. 119, iss. 6, pp. 2004-2027, 2009.
    By P. Tankov and E. Voltchkova

    [DOI] [Bibtex]

    @ARTICLE{Tankov20092004,
    author={Tankov, P. and Voltchkova, E.},
    title={Asymptotic analysis of hedging errors in models with jumps},
    journal={Stochastic Processes and their Applications},
    year={2009},
    volume={119},
    number={6},
    pages={2004-2027},
    doi={10.1016/j.spa.2008.10.002},
    note={cited 
    By 23}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-64549129187&doi=10.1016%2fj.spa.2008.10.002&partnerID=40&md5=5db670d871913648206ce0f232eb9c03}, document_type={Article}, source={Scopus}, }

2008

  • Multi-factor jump-diffusion models of electricity prices

    International journal of theoretical and applied finance, vol. 11, iss. 5, pp. 503-528, 2008.
    By T. Meyer-Brandis and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Meyer-Brandis2008503,
    author={Meyer-Brandis, T. and Tankov, P.},
    title={Multi-factor jump-diffusion models of electricity prices},
    journal={International Journal of Theoretical and Applied Finance},
    year={2008},
    volume={11},
    number={5},
    pages={503-528},
    doi={10.1142/S0219024908004907},
    note={cited 
    By 45}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-50949104370&doi=10.1142%2fS0219024908004907&partnerID=40&md5=f6261ffbd798860f928aa82225ffba69}, document_type={Article}, source={Scopus}, }
  • A model of optimal consumption under liquidity risk with random trading times

    Mathematical finance, vol. 18, iss. 4, pp. 613-627, 2008.
    By H. Pham and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Pham2008613,
    author={Pham, H. and Tankov, P.},
    title={A model of optimal consumption under liquidity risk with random trading times},
    journal={Mathematical Finance},
    year={2008},
    volume={18},
    number={4},
    pages={613-627},
    doi={10.1111/j.1467-9965.2008.00350.x},
    note={cited 
    By 20}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-52249122631&doi=10.1111%2fj.1467-9965.2008.00350.x&partnerID=40&md5=04afd320f7497e8bf243573bad11e79a}, document_type={Conference Paper}, source={Scopus}, }

2006

  • Retrieving levy processes from option prices: regularization of an ill-posed inverse problem

    Siam journal on control and optimization, vol. 45, iss. 1, pp. 1-25, 2006.
    By R. Cont and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cont20061,
    author={Cont, R. and Tankov, P.},
    title={Retrieving levy processes from option prices: Regularization of an ill-posed inverse problem},
    journal={SIAM Journal on Control and Optimization},
    year={2006},
    volume={45},
    number={1},
    pages={1-25},
    doi={10.1137/040616267},
    note={cited 
    By 35}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33847071261&doi=10.1137%2f040616267&partnerID=40&md5=7a58c28a80a8817c3577557e6d15265b}, document_type={Article}, source={Scopus}, }
  • Characterization of dependence of multidimensional levy processes using levy copulas

    Journal of multivariate analysis, vol. 97, iss. 7, pp. 1551-1572, 2006.
    By J. Kallsen and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Kallsen20061551,
    author={Kallsen, J. and Tankov, P.},
    title={Characterization of dependence of multidimensional Levy processes using Levy copulas},
    journal={Journal of Multivariate Analysis},
    year={2006},
    volume={97},
    number={7},
    pages={1551-1572},
    doi={10.1016/j.jmva.2005.11.001},
    note={cited 
    By 90}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33646774356&doi=10.1016%2fj.jmva.2005.11.001&partnerID=40&md5=583b0b178cb7a8e0d39a7be4dfa8a8c7}, document_type={Article}, source={Scopus}, }
  • Monte carlo option pricing for tempered stable (cgmy) processes

    Asia-pacific financial markets, vol. 13, iss. 4, pp. 327-344, 2006.
    By J. Poirot and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Poirot2006327,
    author={Poirot, J. and Tankov, P.},
    title={Monte Carlo option pricing for tempered stable (CGMY) processes},
    journal={Asia-Pacific Financial Markets},
    year={2006},
    volume={13},
    number={4},
    pages={327-344},
    doi={10.1007/s10690-007-9048-7},
    note={cited 
    By 37}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34548666654&doi=10.1007%2fs10690-007-9048-7&partnerID=40&md5=8e803c18c5471f893aaccfb65f53a2c4}, document_type={Conference Paper}, source={Scopus}, }