Peter Tankov

ENSAE Paris

92245 Malakoff Cedex

France

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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18

CROSSREF CITATIONS

47

Scholarly Papers (11)

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 Paris
Downloads 3,965 (2,509)
Citation 34

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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 Paris
Downloads 2,524 (5,377)
Citation 11

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

3.

Pricing and Hedging Gap Risk

Number of pages: 21 Posted: 05 Sep 2008 Last Revised: 10 Oct 2008
Peter Tankov
ENSAE Paris
Downloads 470 (64,807)
Citation 4

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

4.

Volatility Options in Rough Volatility Models

Number of pages: 29 Posted: 16 Feb 2018
ETH Zürich - Department of Mathematics, Imperial College London and ENSAE Paris
Downloads 182 (177,833)
Citation 2

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rough volatility, VIX smile, Monte Carlo, Volterra process

5.

Environmental Impact Investing

Number of pages: 59 Posted: 13 Apr 2020 Last Revised: 26 May 2020
University of Manchester, ENSAE Paris and Tilburg University - Tilburg University School of Economics and Management
Downloads 169 (189,807)

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Environmental finance, socially responsible investing, ESG, impact investing

6.

Climate Data for Physical Risk Assessment in Finance

Number of pages: 25 Posted: 13 Nov 2019
Peter Tankov and Alexis Tantet
ENSAE Paris and Ecole Polytechnique, Palaiseau
Downloads 106 (273,073)

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physical climate risks, climate data, reanalysis

7.

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 Paris
Downloads 3 (672,875)
Citation 1
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8.

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 Paris VII Denis Diderot and ENSAE Paris
Downloads 2 (682,278)
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9.

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 Paris and EDF Energy
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Quadratic Hedging, Electricity Markets, Markov Jump Processes, Partial Integrodifferential Equation, Hamilton–Jacobi–Bellman Equation, Discretization Schemes for Partial Integrodifferential Equations

10.

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 Paris
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exponential Lévy models, Blumenthal–Getoor index, short‐dated options, implied volatility

11.

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 Paris

Abstract:

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