Peter Tankov

Ecole Polytechnique, Paris

route de Saclay

Palaiseau, 91128

France

SCHOLARLY PAPERS

7

DOWNLOADS
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Top 5,270

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6,550

CITATIONS
Rank 7,688

SSRN RANKINGS

Top 7,688

in Total Papers Citations

61

Scholarly Papers (7)

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
Imperial College London and Ecole Polytechnique, Paris
Downloads 3,505 (1,848)
Citation 27

Abstract:

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
Imperial College London and Ecole Polytechnique, Paris
Downloads 2,328 (3,939)
Citation 16

Abstract:

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
Ecole Polytechnique, Paris
Downloads 339 (57,806)
Citation 2

Abstract:

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

4.

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
Imperial College London and Ecole Polytechnique, Paris
Downloads 3 (524,689)
Citation 16

Abstract:

5.

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 Ecole Polytechnique, Paris
Downloads 2 (531,074)

Abstract:

6.

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 Ecole Polytechnique, Paris
Downloads 0 (553,280)

Abstract:

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

7.

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 Ecole Polytechnique, Paris

Abstract:

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