Peter Tankov

ENSAE, Institut Polytechnique de Paris

Palaiseau

France

SCHOLARLY PAPERS

18

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Top 5,733

in Total Papers Downloads

9,541

SSRN CITATIONS
Rank 14,245

SSRN RANKINGS

Top 14,245

in Total Papers Citations

30

CROSSREF CITATIONS

53

Scholarly Papers (18)

1.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Rama Cont and Peter Tankov
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads 4,049 (3,040)
Citation 37

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levy process, jump-diffusion models, implied volatility, option pricing, model calibration, non-parametric methods, inverse problems, relative entropy, regularization

2.

Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices

Columbia University Center for Financial Engineering, Financial Engineering Report No. 2007-10
Number of pages: 27 Posted: 15 Oct 2007
Rama Cont and Peter Tankov
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads 2,571 (6,559)
Citation 13

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Portfolio insurance, CPPI, Levy process, hedging, CPPI option, Value at Risk, jump-diffusion models

3.

Climate Impact Investing

Number of pages: 77 Posted: 13 Apr 2020 Last Revised: 01 Jul 2021
University of Manchester, ENSAE, Institut Polytechnique de Paris and Boston University
Downloads 1,096 (24,967)
Citation 4

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Environmental finance, socially responsible investing, ESG, impact investing

4.

Pricing and Hedging Gap Risk

Number of pages: 21 Posted: 05 Sep 2008 Last Revised: 10 Oct 2008
Peter Tankov
ENSAE, Institut Polytechnique de Paris
Downloads 509 (69,978)
Citation 4

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Gap risk, gap option, exponential Levy model, quadratic hedging, Levy copula

5.

Portfolio Alignment to a 2°C Trajectory: Science or Art?

Number of pages: 16 Posted: 03 Aug 2020
Julie Raynaud, Peter Tankov and Stéphane Voisin
affiliation not provided to SSRN, ENSAE, Institut Polytechnique de Paris and Institut Louis Bachelier
Downloads 266 (145,249)

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energy transition scenario, CO2 emissions, portfolio alignment to a temperature trajectory, scenario uncertainty

6.

Volatility Options in Rough Volatility Models

Number of pages: 29 Posted: 16 Feb 2018
ETH Zürich - Department of Mathematics, Imperial College London and ENSAE, Institut Polytechnique de Paris
Downloads 227 (169,578)
Citation 5

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rough volatility, VIX smile, Monte Carlo, Volterra process

7.

Climate Data for Physical Risk Assessment in Finance

Number of pages: 25 Posted: 13 Nov 2019
Peter Tankov and Alexis Tantet
ENSAE, Institut Polytechnique de Paris and Ecole Polytechnique, Palaiseau
Downloads 211 (181,763)

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physical climate risks, climate data, reanalysis

8.

Indicateurs Environnementaux: Caractéristiques D’une Mesure Agrégée Pertinente (Environmental Indicators: Conditions for a Relevant Aggregated Measure)

Number of pages: 13 Posted: 14 Jul 2020 Last Revised: 21 Aug 2020
Sycomore Asset Management, affiliation not provided to SSRN, ENSAE, Institut Polytechnique de Paris and Boston University
Downloads 170 (220,266)

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sustainable finance, environmental indicators, impact measures, aggregation

9.

Measuring and Pricing Cyclone-Related Physical Risk Under Changing Climate

Number of pages: 43 Posted: 03 Jun 2021 Last Revised: 19 Oct 2021
CREST - ENSAE, Ecole Polytechnique, Palaiseau and ENSAE, Institut Polytechnique de Paris
Downloads 147 (248,665)

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Climate change, physical risk, cyclone, sovereign risk, Monte Carlo simulation, damage modeling

10.

Wind farm revenues in Western Europe in present and future climate

Number of pages: 55 Posted: 18 Feb 2021
Ecole Polytechnique, Palaiseau, Climate Economics Chair, affiliation not provided to SSRN, Ecole Polytechnique, Palaiseau and ENSAE, Institut Polytechnique de Paris
Downloads 110 (308,805)

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wind energy, climate variability, climate change, net present value

11.

Technological Change in Water Use: A Mean-Field Game Approach to Optimal Investment Timing

Number of pages: 30 Posted: 01 Jul 2020 Last Revised: 29 Oct 2020
Nanyang Technological University (NTU), King's College London and ENSAE, Institut Polytechnique de Paris
Downloads 71 (404,420)

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OR in Natural Resources, Mean-Field Game, Technology Investment, Strategic Timing

12.

Environmental transition alignment and portfolio performance

Number of pages: 32 Posted: 08 Jul 2021
Université Paris I Panthéon-Sorbonne, Sycomore Asset Management, Sycomore Asset Management and ENSAE, Institut Polytechnique de Paris
Downloads 68 (413,842)

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ESG, Net Environmental Contribution, portfolio performance, factor model, environmental transition, transition risk

13.

Price Formation and Optimal Trading in Intraday Electricity Markets

Number of pages: 29 Posted: 30 Oct 2020
Olivier FERON, Peter Tankov and Laura Tinsi
Électricité de France (EDF), ENSAE, Institut Polytechnique de Paris and affiliation not provided to SSRN
Downloads 41 (518,864)
Citation 3

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Intraday electricity market, renewable energy, mean-field games

14.

Constant Proportion Portfolio Insurance in the Presence of Jumps in Asset Prices

Mathematical Finance, Vol. 19, Issue 3, pp. 379-401, July 2009
Number of pages: 23 Posted: 30 Jun 2009
Rama Cont and Peter Tankov
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads 3 (772,321)
Citation 2
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15.

A Model of Optimal Consumption under Liquidity Risk with Random Trading Times

Mathematical Finance, Vol. 18, Issue 4, pp. 613-627, October 2008
Number of pages: 15 Posted: 19 Sep 2008
Huyên Pham and Peter Tankov
Université de Paris and ENSAE, Institut Polytechnique de Paris
Downloads 2 (781,666)
Citation 2
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16.

Numerical Methods for the Quadratic Hedging Problem in Markov Models with Jumps

Journal of Computational Finance, Vol. 19, No. 2, Pages 29–67, 2015
Number of pages: 40 Posted: 15 Jun 2016
Carmine De Franco, Peter Tankov and Xavier Warin
OSSIAM, ENSAE, Institut Polytechnique de Paris and EDF Energy
Downloads 0 (810,019)
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Quadratic Hedging, Electricity Markets, Markov Jump Processes, Partial Integrodifferential Equation, Hamilton–Jacobi–Bellman Equation, Discretization Schemes for Partial Integrodifferential Equations

17.

A New Look at Short‐Term Implied Volatility in Asset Price Models with Jumps

Mathematical Finance, Vol. 26, Issue 1, pp. 149-183, 2016
Number of pages: 35 Posted: 13 Jan 2016
Aleksandar Mijatovic and Peter Tankov
Imperial College London and ENSAE, Institut Polytechnique de Paris
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exponential Lévy models, Blumenthal–Getoor index, short‐dated options, implied volatility

18.

Multi-Factor Jump-Diffusion Models of Electricity Prices

International Journal of Theoretical and Applied Finance, Vol. 11, No. 5, pp. 503-528, 2008
Posted: 02 Dec 2009
Thilo Meyer-Brandis and Peter Tankov
University of Oslo and ENSAE, Institut Polytechnique de Paris

Abstract:

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Electricity prices, multi-factor models, Lévy-driven Ornstein-Uhlenbeck type processes, statistical estimation, nonlinear filtering