Publications (33)
Portfolio Insurance under a risk-measure constraint
Carmine De Franco, Peter Tankov
Asymptotically optimal discretization of hedging strategies with jumps
Mathieu Rosenbaum, Peter Tankov
Tracking errors from discrete hedging in exponential Lévy models
Mats Brodén, Peter Tankov
Optimal importance sampling for Lévy Processes
Adrien Genin, Peter Tankov
Asymptotic Optimal Tracking: Feedback Strategies
Jiatu Cai, Mathieu Rosenbaum, Peter Tankov
Optimal consumption policies in illiquid markets
Alessandra Cretarola, Fausto Gozzi, Huyên Pham +1
Arbitrage Opportunities in Misspecified Stochastic volatility Models
Rudra P. Jena, Peter Tankov
Asymptotic indifference pricing in exponential Lévy models
Clément Ménassé, Peter Tankov
High order weak approximation schemes for Lévy-driven SDEs
Peter Tankov
Hedging under multiple risk constraints
Ying Jiao, Olivier Klopfenstein, Peter Tankov
Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing
Aurélien Alfonsi, David Krief, Peter Tankov
Approximate Option Pricing in the Lévy Libor Model
Zorana Grbac, David Krief, Peter Tankov
Optimal simulation schemes for Lévy driven stochastic differential equations
Arturo Kohatsu-Higa, Salvador Ortiz-Latorre, Peter Tankov
A finite dimensional approximation for pricing moving average options
Marie Bernhart, Peter Tankov, Xavier Warin
Asymptotic results and statistical procedures for time-changed Lévy processes sampled at hitting times
Mathieu Rosenbaum, Peter Tankov
Regression Monte Carlo for Microgrid Management
Clemence Alasseur, Alessandro Balata, Sahar Ben Aziza +3
Optimal discretization of hedging strategies with directional views
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum +1
Importance sampling for McKean-Vlasov SDEs
Goncalo dos Reis, Greig Smith, Peter Tankov
Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing
Zorana Grbac, David Krief, Peter Tankov
Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
José E. Figueroa-López, Peter Tankov
Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach
Jiatu Cai, Mathieu Rosenbaum, Peter Tankov
Market models with optimal arbitrage
Huy N. Chau, Peter Tankov
A new look at short-term implied volatility in asset price models with jumps
Aleksandar MijatoviÄ, Peter Tankov
Tails of weakly dependent random vectors
Peter Tankov
Numerical methods for the quadratic hedging problem in Markov models with jumps
Carmine De Franco, Peter Tankov, Xavier Warin
Optimal trading policies for wind energy producer
Zongjun Tan, Peter Tankov
Arbitrage and utility maximization in market models with an insider
Ngoc Huy Chau, Wolfgang Runggaldier, Peter Tankov
Swing Options Valuation: a BSDE with Constrained Jumps Approach
Marie Bernhart, Huyên Pham, Peter Tankov +1
Finite-dimensional representations for controlled diffusions with delay
Salvatore Federico, Peter Tankov
Improved Frechet bounds and model-free pricing of multi-asset options
Peter Tankov
Volatility options in rough volatility models
Blanka Horvath, Antoine Jacquier, Peter Tankov
Tail behavior of sums and differences of log-normal random variables
Archil Gulisashvili, Peter Tankov
Implied volatility of basket options at extreme strikes
Archil Gulisashvili, Peter Tankov