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Peter Tankov
Peter Tankov
Verified email at ensae.fr - Homepage
Title
Cited by
Cited by
Year
Financial modelling with jump processes
R Cont, P Tankov
Chapman & Hall, 2004
6334*2004
Nonparametric calibration of jump-diffusion option pricing models.
R Cont, P Tankov
The Journal of Computational Finance 7, 1-49, 2004
3012004
The Skorokhod embedding problem and model-independent bounds for option prices
A Cousin, S CrÚpey, O GuÚant, D Hobson, M Jeanblanc, JM Lasry, ...
Paris-Princeton lectures on mathematical finance 2010, 267-318, 2011
2652011
Characterization of dependence of multidimensional LÚvy processes using LÚvy copulas
J Kallsen, P Tankov
Journal of Multivariate Analysis 97 (7), 1551-1572, 2006
2602006
Constant proportion portfolio insurance in the presence of jumps in asset prices
R Cont, P Tankov
Mathematical Finance 19 (3), 379-401, 2009
1952009
Multi-factor jump-diffusion models of electricity prices
T Meyer-Brandis, P Tankov
1632007
Hedging with options in models with jumps
R Cont, P Tankov, E Voltchkova
Stochastic analysis and applications, 197-217, 2007
150*2007
Pricing and hedging in exponential LÚvy models: review of recent results
P Tankov
Paris-Princeton Lectures on Mathematical Finance 2010, 319-359, 2011
1412011
Monte Carlo option pricing for tempered stable (CGMY) processes
J Poirot, P Tankov
Asia-Pacific Financial Markets 13 (4), 327-344, 2006
1222006
Jump-diffusion models: a practitioner’s guide
P Tankov, E Voltchkova
Banque et MarchÚs 99 (1), 24, 2009
1142009
Retrieving LÚvy processes from option prices: Regularization of an ill-posed inverse problem
R Cont, P Tankov
SIAM Journal on Control and Optimization 45 (1), 1-25, 2006
1102006
Calibration of jump-diffusion option-pricing models: a robust non-parametric approach
R Cont, P Tankov
preprint, 2002
1052002
LÚvy processes in finance: inverse problems and dependence modelling
P Tankov
TheŔse soutenue septembre2004, Ecole Polytechnique, 2004
100*2004
Climate impact investing
T De Angelis, P Tankov, OD Zerbib
Management Science 69 (12), 7669-7692, 2023
92*2023
Improved FrÚchet bounds and model-free pricing of multi-asset options
P Tankov
Journal of Applied Probability 48 (2), 389-403, 2011
922011
Jump-adapted discretization schemes for LÚvy-driven SDEs
A Kohatsu-Higa, P Tankov
Stochastic Processes and their Applications 120 (11), 2258-2285, 2010
902010
Tail behavior of sums and differences of log-normal random variables
A Gulisashvili, P Tankov
752016
A new look at short‐term implied volatility in asset price models with jumps
A Mijatović, P Tankov
Mathematical Finance 26 (1), 149-183, 2016
652016
Dependence structure of spectrally positive multidimensional LÚvy processes
P Tankov
Download from www. cmap. polytechnique. fr/~ tankov, 2003
652003
Volatility options in rough volatility models
B Horvath, A Jacquier, P Tankov
SIAM Journal on Financial Mathematics 11 (2), 437-469, 2020
622020
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