Peter Tankov

Orcid: 0000-0003-4882-9806

According to our database1, Peter Tankov authored at least 17 papers between 2006 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Bibliography

2024
Stochastic optimization with dynamic probabilistic forecasts.
Ann. Oper. Res., May, 2024

2023
Climate Impact Investing.
Manag. Sci., December, 2023

Importance sampling for McKean-Vlasov SDEs.
Appl. Math. Comput., September, 2023

2020
Volatility Options in Rough Volatility Models.
SIAM J. Financial Math., 2020

Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach.
SIAM J. Control. Optim., 2020

Price Formation and Optimal Trading in Intraday Electricity Markets.
Proceedings of the Network Games, Control and Optimization - 10th International Conference, 2020

2019
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing.
SIAM J. Financial Math., 2019

2018
Optimal Trading Policies for Wind Energy Producer.
SIAM J. Financial Math., 2018

2017
Hedging under multiple risk constraints.
Finance Stochastics, 2017

2016
Optimal Discretization of Hedging Strategies with Directional Views.
SIAM J. Financial Math., 2016

Tails of weakly dependent random vectors.
J. Multivar. Anal., 2016

2015
Market Models with Optimal Arbitrage.
SIAM J. Financial Math., 2015

2014
Optimal simulation schemes for Lévy driven stochastic differential equations.
Math. Comput., 2014

2011
Arbitrage Opportunities in Misspecified Stochastic Volatility Models.
SIAM J. Financial Math., 2011

A Finite-Dimensional Approximation for Pricing Moving Average Options.
SIAM J. Financial Math., 2011

Optimal consumption policies in illiquid markets.
Finance Stochastics, 2011

2006
Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem.
SIAM J. Control. Optim., 2006


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