Peter Tankov

ENSAE, Institut Polytechnique de Paris

Palaiseau

France

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 5,277

SSRN RANKINGS

Top 5,277

in Total Papers Downloads

11,874

SSRN CITATIONS
Rank 13,815

SSRN RANKINGS

Top 13,815

in Total Papers Citations

30

CROSSREF CITATIONS

54

Scholarly Papers (21)

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 4,223 (3,476)
Citation 37

Abstract:

Loading...

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 2,648 (7,571)
Citation 13

Abstract:

Loading...

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 1,789 (14,241)
Citation 4

Abstract:

Loading...

Environmental finance, socially responsible investing, ESG, impact investing

4.

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 600 (67,021)
Citation 1

Abstract:

Loading...

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

5.

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 599 (67,021)
Citation 4

Abstract:

Loading...

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

6.

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 393 (111,515)

Abstract:

Loading...

physical climate risks, climate data, reanalysis

7.

Measuring and Pricing Cyclone-Related Physical Risk Under Changing Climate

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
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 280 (159,876)

Abstract:

Loading...

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

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 261 (171,752)

Abstract:

Loading...

sustainable finance, environmental indicators, impact measures, aggregation

9.

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 261 (171,752)
Citation 5

Abstract:

Loading...

rough volatility, VIX smile, Monte Carlo, Volterra process

Green investment and asset stranding under transition scenario uncertainty

Number of pages: 21 Posted: 11 Jan 2022
Maria Flora and Peter Tankov
CREST, CNRS, Institut Polytechnique de Paris and ENSAE, Institut Polytechnique de Paris
Downloads 139 (300,630)

Abstract:

Loading...

Transition risk, scenario uncertainty, Bayesian learning, stranded asset, real options

Green Investment and Asset Stranding Under Transition Scenario Uncertainty

Number of pages: 33 Posted: 15 Apr 2022
Maria Flora and Peter Tankov
CREST, CNRS, Institut Polytechnique de Paris and ENSAE, Institut Polytechnique de Paris
Downloads 51 (554,084)

Abstract:

Loading...

Transition risk, scenario uncertainty, Bayesian learning, stranded asset, real options

11.

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 151 (280,611)

Abstract:

Loading...

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

12.

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 147 (286,701)

Abstract:

Loading...

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

13.

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 140 (298,001)

Abstract:

Loading...

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

14.

Corporate Debt Value under Transition Scenario Uncertainty

Number of pages: 29 Posted: 13 Jul 2022 Last Revised: 17 Aug 2022
Théo Le Guenedal and Peter Tankov
CREST-ENSAE and ENSAE, Institut Polytechnique de Paris
Downloads 111 (355,395)

Abstract:

Loading...

default risk, endogenous default, climate transition risk, carbon price, scenario uncertainty

15.

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 71 (467,712)
Citation 3

Abstract:

Loading...

Intraday electricity market, renewable energy, mean-field games

16.

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 5 (885,709)
Citation 2

Abstract:

Loading...

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
Downloads 2 (923,942)

Abstract:

Loading...

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

18.

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 (923,942)
Citation 2

Abstract:

Loading...

19.

Optimal Exploration and Price Paths of a Non-Renewable Commodity with Stochastic Discoveries

NBER Working Paper No. w29934
Number of pages: 47 Posted: 11 Apr 2022 Last Revised: 17 Apr 2022
Université Paris Dauphine - CEREMADE, Columbia University - School of International & Public Affairs (SIPA), ENSAE, Institut Polytechnique de Paris and University of California, Berkeley
Downloads 1 (937,603)
  • Add to Cart

Abstract:

Loading...

20.

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 (951,284)
  • Add to Cart

Abstract:

Loading...

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

21.

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:

Loading...

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