Peter Tankov

Publication Activity (10 Years)

Years Active: 2006-2024
Publications (10 Years): 11

Top Topics

Large Deviations

Electricity Markets

Stochastic Optimization

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Ann. Oper. Res.

Publications

Peter Tankov, Laura Tinsi
Stochastic optimization with dynamic probabilistic forecasts. Ann. Oper. Res. 336 (1-2) (2024)
Tiziano De Angelis, Peter Tankov, Olivier David Zerbib
Climate Impact Investing. Manag. Sci. 69 (12) (2023)
Gonçalo Dos Reis, Greig Smith, Peter Tankov
Importance sampling for McKean-Vlasov SDEs. Appl. Math. Comput. 453 (2023)
Blanka Horvath, Antoine Jacquier, Peter Tankov
Volatility Options in Rough Volatility Models. SIAM J. Financial Math. 11 (2) (2020)
Olivier Féron, Peter Tankov, Laura Tinsi
Price Formation and Optimal Trading in Intraday Electricity Markets. NetGCooP (2020)
Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov
Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach. SIAM J. Control. Optim. 58 (4) (2020)
Aurélien Alfonsi, David Krief, Peter Tankov
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing. SIAM J. Financial Math. 10 (4) (2019)
Zongjun Tan, Peter Tankov
Optimal Trading Policies for Wind Energy Producer. SIAM J. Financial Math. 9 (1) (2018)
Ying Jiao, Olivier Klopfenstein, Peter Tankov
Hedging under multiple risk constraints. Finance Stochastics 21 (2) (2017)
Peter Tankov
Tails of weakly dependent random vectors. J. Multivar. Anal. 145 (2016)
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov
Optimal Discretization of Hedging Strategies with Directional Views. SIAM J. Financial Math. 7 (1) (2016)
Huy N. Chau, Peter Tankov
Market Models with Optimal Arbitrage. SIAM J. Financial Math. 6 (1) (2015)
Arturo Kohatsu-Higa, Salvador Ortiz-Latorre, Peter Tankov
Optimal simulation schemes for Lévy driven stochastic differential equations. Math. Comput. 83 (289) (2014)
Rudra P. Jena, Peter Tankov
Arbitrage Opportunities in Misspecified Stochastic Volatility Models. SIAM J. Financial Math. 2 (1) (2011)
Marie Bernhart, Peter Tankov, Xavier Warin
A Finite-Dimensional Approximation for Pricing Moving Average Options. SIAM J. Financial Math. 2 (1) (2011)
Alessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov
Optimal consumption policies in illiquid markets. Finance Stochastics 15 (1) (2011)
Rama Cont, Peter Tankov
Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem. SIAM J. Control. Optim. 45 (1) (2006)