| . |
Tankov, Peter's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
5,390 |
Total
Citations
60 |
|
|
|
|
|
1.
|
|
|
Cont, Rama
Imperial College London Tankov, Peter
Ecole Polytechnique, Paris
|
|
3,259
(1,169)
|
28
|
|
| |
|
| |
levy process, jump-diffusion models, implied volatility, option pricing, model calibration, non-parametric methods, inverse problems, relative entropy, regularization
|
|
|
2.
|
|
|
Cont, Rama
Imperial College London Tankov, Peter
Ecole Polytechnique, Paris
|
|
1,848
(3,202)
|
15
|
|
| |
|
| |
Portfolio insurance, CPPI, Levy process, hedging, CPPI option, Value at Risk, jump-diffusion models
|
|
|
3.
|
|
|
Tankov, Peter
Ecole Polytechnique, Paris
|
| Posted: |
|
05 Sep 08
|
|
Last Revised:
|
|
10 Oct 08
|
|
278
(52,540)
|
2
|
|
| |
|
| |
Gap risk, gap option, exponential Levy model, quadratic hedging, Levy copula
|
|
|
4.
|
|
|
Cont, Rama
Imperial College London Tankov, Peter
Ecole Polytechnique, Paris
|
|
3
(330,630)
|
15
|
|
| |
|
| |
|
|
|
5.
|
|
|
Pham, Huyên
University of Paris 7 Denis Diderot Tankov, Peter
Ecole Polytechnique, Paris
|
|
2
(335,378)
|
|
|
| |
|
| |
|
|
|
6.
|
|
|
Meyer-Brandis, Thilo
University of Oslo Tankov, Peter
Ecole Polytechnique, Paris
|
|
|
|
|
| |
|
| |
Electricity prices, multi-factor models, Lévy-driven Ornstein-Uhlenbeck type processes, statistical estimation, nonlinear filtering
|
|
Records 1 -
6
of 6 matches
[
1
]
|
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo8 in 0.125 seconds
|
