Peter Tankov

ENSAE Paris

92245 Malakoff Cedex

France

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 5,883

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Top 5,883

in Total Papers Downloads

8,939

SSRN CITATIONS
Rank 14,531

SSRN RANKINGS

Top 14,531

in Total Papers Citations

30

CROSSREF CITATIONS

49

Scholarly Papers (17)

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 Paris
Downloads 4,038 (2,883)
Citation 37

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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 Paris
Downloads 2,559 (6,278)
Citation 12

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Portfolio insurance, CPPI, Levy process, hedging, CPPI option, Value at Risk, jump-diffusion models

3.

Environmental Impact Investing

Number of pages: 60 Posted: 13 Apr 2020 Last Revised: 14 Jul 2020
University of Manchester, ENSAE Paris and Tilburg University - Tilburg University School of Economics and Management
Downloads 849 (34,402)
Citation 3

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Environmental finance, socially responsible investing, ESG, impact investing

4.

Pricing and Hedging Gap Risk

Number of pages: 21 Posted: 05 Sep 2008 Last Revised: 10 Oct 2008
Peter Tankov
ENSAE Paris
Downloads 493 (70,021)
Citation 4

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

5.

Volatility Options in Rough Volatility Models

Number of pages: 29 Posted: 16 Feb 2018
ETH Zürich - Department of Mathematics, Imperial College London and ENSAE Paris
Downloads 212 (174,727)
Citation 4

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rough volatility, VIX smile, Monte Carlo, Volterra process

6.

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 Paris and Institut Louis Bachelier
Downloads 195 (189,642)

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

7.

Climate Data for Physical Risk Assessment in Finance

Number of pages: 25 Posted: 13 Nov 2019
Peter Tankov and Alexis Tantet
ENSAE Paris and Ecole Polytechnique, Palaiseau
Downloads 180 (202,633)

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physical climate risks, climate data, reanalysis

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 Paris and Tilburg University - Tilburg University School of Economics and Management
Downloads 150 (236,397)

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sustainable finance, environmental indicators, impact measures, aggregation

9.

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 Paris
Downloads 87 (350,383)

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

10.

Measuring and Pricing Cyclone-Related Physical Risk Under Changing Climate

Number of pages: 43 Posted: 03 Jun 2021
CREST - ENSAE, Ecole Polytechnique, Palaiseau and ENSAE Paris
Downloads 83 (358,001)

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

11.

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 Paris
Downloads 54 (448,621)

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

12.

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 Paris and affiliation not provided to SSRN
Downloads 34 (536,261)
Citation 3

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Intraday electricity market, renewable energy, mean-field games

13.

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 Paris
Downloads 3 (748,917)
Citation 2
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14.

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 Paris
Downloads 2 (758,583)
Citation 2
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15.

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 Paris and EDF Energy
Downloads 0 (786,965)
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Quadratic Hedging, Electricity Markets, Markov Jump Processes, Partial Integrodifferential Equation, Hamilton–Jacobi–Bellman Equation, Discretization Schemes for Partial Integrodifferential Equations

16.

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

17.

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 Paris

Abstract:

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