Peter Tankov

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

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Stochastic optimization with dynamic probabilistic forecasts.

Peter Tankov, Laura Tinsi

Ann. Oper. Res., May, 2024

2023

Climate Impact Investing.

Tiziano De Angelis, Peter Tankov, Olivier David Zerbib

Manag. Sci., December, 2023

Importance sampling for McKean-Vlasov SDEs.

Gonçalo Dos Reis, Greig Smith, Peter Tankov

Appl. Math. Comput., September, 2023

2020

Volatility Options in Rough Volatility Models.

Blanka Horvath, Antoine Jacquier, Peter Tankov

SIAM J. Financial Math., 2020

Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach.

Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov

SIAM J. Control. Optim., 2020

Price Formation and Optimal Trading in Intraday Electricity Markets.

Olivier Féron, Peter Tankov, Laura Tinsi

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.

Aurélien Alfonsi, David Krief, Peter Tankov

SIAM J. Financial Math., 2019

2018

Optimal Trading Policies for Wind Energy Producer.

Zongjun Tan, Peter Tankov

SIAM J. Financial Math., 2018

2017

Hedging under multiple risk constraints.

Ying Jiao, Olivier Klopfenstein, Peter Tankov

Finance Stochastics, 2017

2016

Optimal Discretization of Hedging Strategies with Directional Views.

Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov

SIAM J. Financial Math., 2016

Tails of weakly dependent random vectors.

Peter Tankov

J. Multivar. Anal., 2016

2015

Market Models with Optimal Arbitrage.

Huy N. Chau, Peter Tankov

SIAM J. Financial Math., 2015

2014

Optimal simulation schemes for Lévy driven stochastic differential equations.

Arturo Kohatsu-Higa, Salvador Ortiz-Latorre, Peter Tankov

Math. Comput., 2014

2011

Arbitrage Opportunities in Misspecified Stochastic Volatility Models.

Rudra P. Jena, Peter Tankov

SIAM J. Financial Math., 2011

A Finite-Dimensional Approximation for Pricing Moving Average Options.

Marie Bernhart, Peter Tankov, Xavier Warin

SIAM J. Financial Math., 2011

Optimal consumption policies in illiquid markets.

Alessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov

Finance Stochastics, 2011

2006

Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem.

Rama Cont, Peter Tankov

SIAM J. Control. Optim., 2006