Peter Tankov

19 papers Journal 18Unranked 1
YearRankTypeTitle / Venue / Authors
2026 J jnl
Price Impact and Long-Term Profitability of Energy Storage.
SIAM J. Financial Math.
Roxana Dumitrescu, Redouane Silvente, Peter Tankov
2025 J jnl
Climate Finance Bench.
CoRR
Rafik Mankour, Yassine Chafai, Hamada Saleh, Ghassen Ben Hassine, Thibaud Barreau, Peter Tankov
2024 J jnl
Stochastic optimization with dynamic probabilistic forecasts.
Ann. Oper. Res.
Peter Tankov, Laura Tinsi
2023 J jnl
Climate Impact Investing.
Manag. Sci.
Tiziano De Angelis, Peter Tankov, Olivier David Zerbib
2023 J jnl
Importance sampling for McKean-Vlasov SDEs.
Appl. Math. Comput.
Gonçalo Dos Reis, Greig Smith, Peter Tankov
2020 J jnl
Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach.
SIAM J. Control. Optim.
Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov
2020 — conf
Price Formation and Optimal Trading in Intraday Electricity Markets.
NetGCooP
Olivier Féron, Peter Tankov, Laura Tinsi
2020 J jnl
Volatility Options in Rough Volatility Models.
SIAM J. Financial Math.
Blanka Horvath, Antoine Jacquier, Peter Tankov
2019 J jnl
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing.
SIAM J. Financial Math.
Aurélien Alfonsi, David Krief, Peter Tankov
2018 J jnl
Optimal Trading Policies for Wind Energy Producer.
SIAM J. Financial Math.
Zongjun Tan, Peter Tankov
2017 J jnl
Hedging under multiple risk constraints.
Finance Stochastics
Ying Jiao, Olivier Klopfenstein, Peter Tankov
2016 J jnl
Optimal Discretization of Hedging Strategies with Directional Views.
SIAM J. Financial Math.
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov
2016 J jnl
Tails of weakly dependent random vectors.
J. Multivar. Anal.
Peter Tankov
2015 J jnl
Market Models with Optimal Arbitrage.
SIAM J. Financial Math.
Huy N. Chau, Peter Tankov
2014 J jnl
Optimal simulation schemes for Lévy driven stochastic differential equations.
Math. Comput.
Arturo Kohatsu-Higa, Salvador Ortiz-Latorre, Peter Tankov
2011 J jnl
A Finite-Dimensional Approximation for Pricing Moving Average Options.
SIAM J. Financial Math.
Marie Bernhart, Peter Tankov, Xavier Warin
2011 J jnl
Arbitrage Opportunities in Misspecified Stochastic Volatility Models.
SIAM J. Financial Math.
Rudra P. Jena, Peter Tankov
2011 J jnl
Optimal consumption policies in illiquid markets.
Finance Stochastics
Alessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov
2006 J jnl
Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem.
SIAM J. Control. Optim.
Rama Cont, Peter Tankov