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Improved Frechet bounds and model-free pricing of multi-asset options,
Peter Tankov,
from arXiv.org
(2011)
Tails of weakly dependent random vectors,
Peter Tankov,
from arXiv.org
(2016)
Tails of weakly dependent random vectors,
Peter Tankov,
in Journal of Multivariate Analysis
(2016)
Keywords: Tail dependence; Asymptotic independence; Copulas; Regular variation; Gaussian mixtures;
Registered author: Peter Tankov
Optimal trading policies for wind energy producer,
Zongjun Tan and Peter Tankov,
from arXiv.org
(2016)
TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS,
Mats Brodén and Peter Tankov,
in International Journal of Theoretical and Applied Finance (IJTAF)
(2011)
Keywords: Exponential Lévy models, quadratic hedging, delta hedging, discretization error, L2 convergence, digital options
Tail behavior of sums and differences of log-normal random variables,
Archil Gulisashvili and Peter Tankov,
from arXiv.org
(2016)
Implied volatility of basket options at extreme strikes,
Archil Gulisashvili and Peter Tankov,
from arXiv.org
(2014)
Optimal importance sampling for L\'evy Processes,
Adrien Genin and Peter Tankov,
from arXiv.org
(2016)
Asymptotic results for time-changed Lévy processes sampled at hitting times,
Mathieu Rosenbaum and Peter Tankov,
in Stochastic Processes and their Applications
(2011)
Keywords: Time-changed Levy processes Statistics of high frequency data Stable processes Hitting times Overshoots Blumenthal-Getoor index Central limit theorem
Optimal importance sampling for Lévy processes,
Adrien Genin and Peter Tankov,
in Stochastic Processes and their Applications
(2020)
Keywords: Lévy processes; Option pricing; Variance reduction; Importance sampling; Large deviations;
Asymptotic analysis of hedging errors in models with jumps,
Peter Tankov and Ekaterina Voltchkova,
in Stochastic Processes and their Applications
(2009)
Keywords: Discrete hedging Weak convergence Lévy process
Decision making with dynamic probabilistic forecasts,
Peter Tankov and Laura Tinsi,
from arXiv.org
(2021)
Green investment and asset stranding under transition scenario uncertainty,
Maria Flora and Peter Tankov,
in Energy Economics
(2023)
Keywords: Transition risk; Scenario uncertainty; Bayesian learning; Stranded asset; Real options;
Constant proportion portfolio insurance in presence of jumps in asset prices,
Rama Cont and Peter Tankov,
from HAL
(2009)
Keywords: portfolio insurance • CPPI • Lévy process • time-changed Lévy models • hedging • CPPI option • value at risk • expected loss
Characterization of dependence of multidimensional Lévy processes using Lévy copulas,
Jan Kallsen and Peter Tankov,
in Journal of Multivariate Analysis
(2006)
Keywords: Lévy process Copula Limit theorems
Asymptotically optimal discretization of hedging strategies with jumps,
Mathieu Rosenbaum and Peter Tankov,
from arXiv.org
(2014)
Decarbonization of financial markets: a mean-field game approach,
Pierre Lavigne and Peter Tankov,
from arXiv.org
(2023)
Approximate indifference pricing in exponential Lévy models,
Clément Ménassé and Peter Tankov,
in Applied Mathematical Finance
(2016)
A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES,
Huyên Pham and Peter Tankov,
in Mathematical Finance
(2008)
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES,
Rama Cont and Peter Tankov,
in Mathematical Finance
(2009)
A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS,
Aleksandar Mijatović and Peter Tankov,
in Mathematical Finance
(2016)
Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes,
Jérémy Poirot and Peter Tankov,
in Asia-Pacific Financial Markets
(2006)
Keywords: Monte Carlo, Option pricing, Lévy process, Tempered stable process, CGMY model,
Optimal stopping and divestment timing under scenario ambiguity and learning,
Andrea Mazzon and Peter Tankov,
from arXiv.org
(2024)
Optimal trading policies for wind energy producer,
Zongjun Tan and Peter Tankov,
from HAL
(2018)
Keywords: wind energy,forecasts,optimal trading policies,stochastic control
Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices,
Rama Cont and Peter Tankov,
from HAL
(2007)
Keywords: Portfolio insurance,CPPI,Lévy process,Value at Risk,expected loss
Stochastic optimization with dynamic probabilistic forecasts,
Peter Tankov and Laura Tinsi,
in Annals of Operations Research
(2024)
Keywords: Probabilistic forecasting, Ensemble forecasting, Stochastic control, Wind power trading
Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing,
Zorana Grbac, David Krief and Peter Tankov,
from arXiv.org
(2018)
Volatility options in rough volatility models,
Blanka Horvath, Antoine Jacquier and Peter Tankov,
from arXiv.org
(2019)
Hedging under rough volatility,
Masaaki Fukasawa, Blanka Horvath and Peter Tankov,
from arXiv.org
(2021)
Arbitrage Opportunities in Misspecified Stochastic volatility Models,
Rudra P. Jena and Peter Tankov,
from arXiv.org
(2011)
Tracking errors from discrete hedging in exponential L\'evy models,
Mats Brod\'en and Peter Tankov,
from arXiv.org
(2010)
Portfolio Insurance under a risk-measure constraint,
Carmine De Franco and Peter Tankov,
from arXiv.org
(2011)
A new look at short-term implied volatility in asset price models with jumps,
Aleksandar Mijatovi\'c and Peter Tankov,
from arXiv.org
(2012)
Hedging under multiple risk constraints,
Ying Jiao, Olivier Klopfenstein and Peter Tankov,
from arXiv.org
(2013)
Market models with optimal arbitrage,
Huy N. Chau and Peter Tankov,
from arXiv.org
(2013)
Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach,
Jiatu Cai, Mathieu Rosenbaum and Peter Tankov,
from arXiv.org
(2015)
Approximate Option Pricing in the L\'evy Libor Model,
Zorana Grbac, David Krief and Peter Tankov,
from arXiv.org
(2016)
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES,
Thilo Meyer-Brandis and Peter Tankov,
in International Journal of Theoretical and Applied Finance (IJTAF)
(2008)
Keywords: Electricity prices, multi-factor models, Lévy-driven Ornstein–Uhlenbeck type processes, statistical estimation, nonlinear filtering
Alignement des portefeuilles sur une trajectoire de 2 °C: science ou art ?,
Julie Raynaud, Peter Tankov and Stéphane Voisin,
in Revue d'économie financière
(2020)
Portfolio insurance under a risk-measure constraint,
Carmine De Franco and Peter Tankov,
in Insurance: Mathematics and Economics
(2011)
Keywords: Portfolio insurance; Utility maximization; Convex risk measures; Spectral risk measure; Entropic risk measure;
Jump-adapted discretization schemes for Lévy-driven SDEs,
Arturo Kohatsu-Higa and Peter Tankov,
in Stochastic Processes and their Applications
(2010)
Keywords: Lévy-driven stochastic differential equation Euler scheme Jump-adapted discretization Weak approximation Libor market model with jumps
The entry and exit game in the electricity markets: A mean-field game approach,
René Aïd, Roxana Dumitrescu and Peter Tankov,
from HAL
(2021)
Keywords: Mean-field games,optimal stopping,renewable energy,electricity markets
A finite dimensional approximation for pricing moving average options,
Marie Bernhart, Peter Tankov and Xavier Warin,
from arXiv.org
(2010)
Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player,
Olivier Féron, Peter Tankov and Laura Tinsi,
in Risks
(2020)
Keywords: intraday electricity market; renewable energy; mean field games; major player
Technological change in water use: A mean-field game approach to optimal investment timing,
Géraldine Bouveret, Roxana Dumitrescu and Peter Tankov,
in Operations Research Perspectives
(2022)
Keywords: OR in natural resources; Mean-field game; Technology investment; Strategic timing;
Optimal management of a wind power plant with storage capacity,
Jérôme Collet, Olivier Féron and Peter Tankov,
from HAL
(2017)
Keywords: wind power generation,battery storage,intraday electricity market,stochastic control
Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models,
Zorana Grbac, David Krief and Peter Tankov,
from HAL
(2021)
Keywords: large deviations Monte Carlo methods importance sampling affine stochastic volatility MSC2010: 91G60 60F10,large deviations,Monte Carlo methods,importance sampling,affine stochastic volatility
A finite dimensional approximation for pricing moving average options,
Marie Bernhart, Peter Tankov and Xavier Warin,
from HAL
(2010)
Keywords: American options,indexed swing options,moving average,finite-dimensional approximation,Laguerre polynomial,least squares Monte Carlo
Hedging under multiple risk constraints,
Ying Jiao, Olivier Klopfenstein and Peter Tankov,
in Finance and Stochastics
(2017)
Keywords: Multiple risk constraints, Snell envelope, Dynamic programming, Shortfall risk, Asset–liability management
Price impact and long-term profitability of energy storage,
Roxana Dumitrescu, Redouane Silvente and Peter Tankov,
from arXiv.org
(2024)
Optimal management of a wind power plant with storage capacity,
Jérôme Collet, Olivier Féron and Peter Tankov,
from Center for Research in Economics and Statistics
(2017)
Keywords: wind power generation, battery storage, intraday electricity market, stochastic control
Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing,
Aur\'elien Alfonsi, David Krief and Peter Tankov,
from arXiv.org
(2018)
Optimal Exploration of an Exhaustible Resource with Stochastic Discoveries,
Ivar Ekeland, Wolfram Schlenker, Peter Tankov and Brian Wright,
from arXiv.org
(2022)
Arbitrage and utility maximization in market models with an insider,
Ngoc Huy Chau, Wolfgang Runggaldier and Peter Tankov,
from arXiv.org
(2016)
Swing Options Valuation: a BSDE with Constrained Jumps Approach,
Marie Bernhart, Huy\^en Pham, Peter Tankov and Xavier Warin,
from arXiv.org
(2011)
Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias,
Jos\'e E. Figueroa-L\'opez and Peter Tankov,
from arXiv.org
(2014)
Optimal simulation schemes for L\'evy driven stochastic differential equations,
Arturo Kohatsu-Higa, Salvador Ortiz-Latorre and Peter Tankov,
from arXiv.org
(2012)
Numerical methods for the quadratic hedging problem in Markov models with jumps,
Carmine De Franco, Peter Tankov and Xavier Warin,
from arXiv.org
(2013)
Asymptotic indifference pricing in exponential L\'evy models,
Cl\'ement M\'enass\'e and Peter Tankov,
from arXiv.org
(2015)
Environmental Impact Investing,
Tiziano de Angelis, Tankov Peter and Olivier David Zerbib,
from HAL
(2020)
Climate Impact Investing,
Tiziano De Angelis, Peter Tankov and Olivier David Zerbib,
in Management Science
(2023)
Keywords: Climate finance, socially responsible investing, ESG, impact investing
Importance sampling for McKean-Vlasov SDEs,
Gonçalo dos Reis, Greig Smith and Peter Tankov,
in Applied Mathematics and Computation
(2023)
Keywords: McKean-Vlasov Stochastic Differential Equation; Interacting particle systems; Monte Carlo simulation; Importance sampling; Large deviations;
Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height,
Bastien Alonzo, Peter Tankov, Philippe Drobinski and Riwal Plougonven,
in International Journal of Forecasting
(2020)
Keywords: Wind energy resource; Wind speed forecasting; Seasonal forecasting; Probabilistic forecasting; Ensemble forecasts; Ensemble model output statistics;
Price formation and optimal trading in intraday electricity markets,
Olivier F\'eron, Peter Tankov and Laura Tinsi,
from arXiv.org
(2021)
Price formation and optimal trading in intraday electricity markets with a major player,
Olivier F\'eron, Peter Tankov and Laura Tinsi,
from arXiv.org
(2020)
Optimal consumption policies in illiquid markets,
Alessandra Cretarola, Fausto Gozzi, Huyên Pham and Peter Tankov,
from HAL
(2008)
Keywords: Illiquid market,optimal consumption,integrodifferential equations,viscosity solutions,semiconcavity,sub(super) differentials,optimal control
Measuring the Risk of Supply and Demand Imbalance at the Monthly to Seasonal Scale in France,
Bastien Alonzo, Philippe Drobinski, Riwal Plougonven and Peter Tankov,
in Energies
(2020)
Keywords: seasonal planning; seasonal forecast; risk measures; supply-demand imbalance; joint probability distribution function
Swing Options Valuation:a BSDE with Constrained Jumps Approach,
Marie Bernhart, Huyên Pham, Peter Tankov and Xavier Warin,
from HAL
(2011)
Keywords: Backward stochastic differential equations with constrained jumps,Impulse control problems,Swing options,Monte Carlo methods
Optimal consumption policies in illiquid markets,
Alessandra Cretarola, Fausto Gozzi, Huyên Pham and Peter Tankov,
in Finance and Stochastics
(2011)
Keywords: Illiquid market, Optimal consumption, Integrodifferential equations, Viscosity solutions, Semiconcavity, Sub/superdifferentials, Optimal control, 49K22, 49L25, 35F20, 91B28, G11,
Optimal Exploration and Price Paths of a Non-renewable Commodity with Stochastic Discoveries,
Ivar Ekeland, Wolfram Schlenker, Peter Tankov and Brian Wright,
from National Bureau of Economic Research, Inc
(2022)
Climate Impact Investing,
Tiziano De Angelis, Peter Tankov and Olivier David Zerbib,
from Collegio Carlo Alberto
(2022)
Keywords: Climate finance, socially responsible investing, ESG, impact investing
Probabilistic forecasting of the wind energy resource at the monthly to seasonal scale,
Bastien Alonzo, Philippe Drobinski, Riwal Plougonven and Peter Tankov,
from Center for Research in Economics and Statistics
(2017)
Keywords: Wind energy, Wind speed forecasting, Seasonal forecasting, Probabilistic forecasting, Ensemble forecasts, Ensemble model output statistics
Implied Volatility Asymptotics: Black–Scholes and Beyond,
P. Tankov,
from World Scientific Publishing Co. Pte. Ltd.
(2023)
Keywords: Options, Call, Put, Stock, Equity, Bond, Debt, Dividend, Investment, Diversification, Volatility, Black–Scholes, Merton Model, Stochastic, Swap, Commodity, Index, Contingent Claims, Exotic Option,
Indicateurs environnementaux: caractéristiques d'une mesure agrégée pertinente,
Jean-Guillaume Péladan, Julie Raynaud, Peter Tankov and Olivier David Zerbib,
in Revue d'économie financière
(2020)
Modelling the variability of the wind energy resource on monthly and seasonal timescales,
Bastien Alonzo, Hans-Kristian Ringkjob, Benedicte Jourdier, Philippe Drobinski, Riwal Plougonven and Peter Tankov,
in Renewable Energy
(2017)
Keywords: Seasonal modelling; Wind distribution; Variability; Large-scale circulation; Forecasts; Wind energy;
Profitability and Revenue Uncertainty of Wind Farms in Western Europe in Present and Future Climate,
Bastien Alonzo, Silvia Concettini, Anna Creti, Philippe Drobinski and Peter Tankov,
in Energies
(2022)
Keywords: wind energy; climate variability; demand uncertainty; climate change; net present value
The Economic Value of Wind Energy Nowcasting,
Aurore Dupré, Philippe Drobinski, Jordi Badosa, Christian Briard and Peter Tankov,
in Energies
(2020)
Keywords: wind energy forecasting; nowcasting; electricity market; balancing strategies
A model of strategic sustainable investment,
Tiziano De Angelis, Caio C\'esar Graciani Rodrigues and Peter Tankov,
from arXiv.org
(2024)
Les modèles intégrés économie-climat: quels usages pour quelles décisions ?,
Jean-Charles Hourcade, Peter Tankov, Stéphane Voisin, F. Ghersi and Julien Lefèvre,
from HAL
(2021)
Profitability and Revenue Uncertainty of Wind Farms in Western Europe in Present and Future Climate,
Bastien Alonzo, Silvia Concettini, Anna Creti, Philippe Drobinski and Peter Tankov,
from HAL
(2022)
e 4 clim 1.0: The Energy for a Climate Integrated Model: Description and Application to Italy,
Alexis Tantet, Marc Stéfanon, Philippe Drobinski, Jordi Badosa, Silvia Concettini, Anna Cretì, Claudia D’Ambrosio, Dimitri Thomopulos and Peter Tankov,
in Energies
(2019)
Keywords: renewable energy; climate variability; energy mix; mean-variance; sensitivity
Marketing of Multual Relations in Supply Chains Management,
Tankov Konstantin N.,
in Business Inform
(2012)
Keywords: concept of supply chain management, logistics, supply chain relationships, evolution theory of relationship marketing, the concept of demand chain management
Personnel Technology as Key-Element of Management System in Tourist Organization,
Tankov Konstantin N. and Chepurda Anna N.,
in Business Inform
(2012)
Keywords: personnel technology, management system, tourist organization
Outsourcing as a Tool of Effective Management of the Process of Tourist Services,
Tankov Konstantin N. and Guslistyy Aleksandr S.,
in Business Inform
(2013)
Keywords: process of tourist services, outsourcing, model of the system of process management, consumer value
Conceptual Task Setting for Defining the Tourist Product Notion,
Tankov Kostiantyn M. and Chepurda Hanna M.,
in Business Inform
(2014)
Keywords: tourist product notion, "good - service" continuum, interrelation theory, conceptual model of the tourist product
Strategic Approaches to Formation of Interrelations in Delivery Chains,
Tankov Konstantin N. and Backhurets Olga V.,,
in The Problems of Economy
(2011)
Keywords: chains of deliveries, mutual relations, models of connections, choice of strategy
Conceptual aspects of formation of the system of integrated management of quality of tourist services,
Tankov Kostiantyn M. and Chepurda Hanna M.,
in The Problems of Economy
(2014)
Keywords: quality, tourist service, conceptual model of the system of integrated management of quality of tourist services
On the Formation of the Line of Actual Problems as a Method of Priorities Selection for Decision-Making in Health Care,
Naigovizina Nelli, Vadim Filatov, Andrei Bessekeev, Sergei Tankov, Mikhail Chernrnkov and Ilya Sedakov,
in Ekonomicheskaya Politika / Economic Policy
(2012)
Keywords: health care, expert approach, method of sequential filtering
Australian funding begins long drift downhill,
Peter,
in Nature
(1997)
The Influence of Office Location on Commuting Behaviour,
Peter Wyatt Peter Wyatt,
from Henley Business School, University of Reading
“Do as the Romans Do in Rome”?,
Peter Verhezen, Peter Verhezen and Peter Verhezen,
from Springer
(2013)
Keywords: Corporate Governance, Unethical Behavior, Minority Shareholder, Fiduciary Duty, Corporate Governance Mechanism
A Question of Parliamentary power: Criminal Law and the Control of Greenhouse Gas Emissions,
Peter Hogg,
in C.D. Howe Institute Backgrounder
(2008)
Keywords: economic growth and innovation, greenhouse gas emissions, Parliament of Canada, cap-and-trade system
Mathematical Analysis of Money in the Scope of Austerity,
Peter Stallinga,
from arXiv.org
(2013)
The Australian Experience,
Peter Groenewegen,
in History of Political Economy
(1996)
Keynes and Marshall: Methodology, Society, and Politics,
Peter Groenewegen,
in History of Political Economy
(1995)
Keywords: John Maynard Keynes, Alfred Marshall, methodology, politics
Keynes in History,
Peter Clarke,
in History of Political Economy
(1994)
Keywords: John Maynard Keynes
Professor Porta on the Significance of Understanding Sraffa's Standard Commodity and the Marxian Theory of Surplus: A Comment,
Peter Groenewegen,
in History of Political Economy
(1986)
Keywords: Piero Sraffa, commodity, Karl Marx, surplus, Pier Luigi Porta
Forestry Economics in the Steady State: The Contribution of J. H. von Thünen,
Peter Manz,
in History of Political Economy
(1986)
Keywords: forestry economics, J. H. von Thünen
Science Bought and Sold: Essays in the Economics of Science, ed. by Philip Mirowski and Esther-Mirjam Sent. Chicago and London: The University of Chicago Press, 2002, pp. 583,
Fabienne Peter,
in History of Economic Ideas
(2003)
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