9
H index
9
i10 index
264
Citations
PETER TANKOV : Citation Profile
| RESEARCH PRODUCTION: 9 Articles 24 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
10 years (2006 - 2016). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with PETER TANKOV. | Is cited by:
| Cites to:
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Main data
Where PETER TANKOV has published?
| Journals with more than one article published | # docs |
|---|---|
| Stochastic Processes and their Applications | 3 |
| Mathematical Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 19 |
| Working Papers / HAL | 4 |
Recent works citing PETER TANKOV (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions. (2024). Gang, Tae Ung ; Choi, Jinhyuk. In: Papers. RePEc:arx:papers:2407.13547. Full description at Econpapers || Download paper |
| 2024 | On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework. (2024). Colaneri, Katia ; Oliva, Immacolata ; Mancinelli, Daniele. In: Papers. RePEc:arx:papers:2407.21148. Full description at Econpapers || Download paper |
| 2025 | Pathwise analysis of log-optimal portfolios. (2025). Allan, Andrew L ; Kwossek, Anna P ; Promel, David J ; Liu, Chong. In: Papers. RePEc:arx:papers:2507.18232. Full description at Econpapers || Download paper |
| 2025 | Fast and explicit European option pricing under tempered stable processes. (2025). Agazzotti, Gaetano ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2510.01211. Full description at Econpapers || Download paper |
| 2024 | On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization. (2024). Stadje, Mitja ; Zhang, Fangyuan ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:114-129. Full description at Econpapers || Download paper |
| 2025 | A comparative study of time-based maintenance and condition-based maintenance for multi-component systems. (2025). Nielsen, Bo Friis ; Andersen, Jesper Fink. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:256:y:2025:i:c:s0951832024008305. Full description at Econpapers || Download paper |
| 2024 | Solutions for Poissonian stopping problems of linear diffusions via extremal processes. (2024). Sillanpaa, Wiljami ; Lempa, Jukka ; Saarinen, Harto. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:172:y:2024:i:c:s0304414924000577. Full description at Econpapers || Download paper |
| 2024 | Approximation for the invariant measure with applications for jump processes (convergence in total variation distance). (2024). Qin, Yifeng ; Bally, Vlad. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:176:y:2024:i:c:s0304414924001224. Full description at Econpapers || Download paper |
| 2024 | A simplified Wiener–Hopf factorization method for pricing double barrier options under Lévy processes. (2024). Kudryavtsev, Oleg. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-024-00519-w. Full description at Econpapers || Download paper |
| 2024 | Pricing multi-asset options with tempered stable distributions. (2024). Xia, Yunfei ; Grabchak, Michael. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00649-9. Full description at Econpapers || Download paper |
| 2024 | Improved robust price bounds for multi-asset derivatives under market-implied dependence information. (2024). Lütkebohmert, Eva ; Ansari, Jonathan ; Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00539-z. Full description at Econpapers || Download paper |
| 2024 | Convergence of Weak Euler Approximation for Nondegenerate Stochastic Differential Equations Driven by Point and Martingale Measures. (2024). Zhang, Changyong ; Mikuleviius, Remigijus. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:1:d:10.1007_s10959-023-01260-x. Full description at Econpapers || Download paper |
| 2024 | Approximation Schemes for McKean–Vlasov and Boltzmann-Type Equations (Error Analysis in Total Variation Distance). (2024). Qin, Yifeng. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:2:d:10.1007_s10959-024-01324-6. Full description at Econpapers || Download paper |
Works by PETER TANKOV:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | Arbitrage Opportunities in Misspecified Stochastic volatility Models In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Tracking errors from discrete hedging in exponential L\evy models In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2011 | Improved Frechet bounds and model-free pricing of multi-asset options In: Papers. [Full Text][Citation analysis] | paper | 25 |
| 2010 | A finite dimensional approximation for pricing moving average options In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2010 | A finite dimensional approximation for pricing moving average options.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2011 | Swing Options Valuation: a BSDE with Constrained Jumps Approach In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Swing Options Valuation:a BSDE with Constrained Jumps Approach.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Portfolio Insurance under a risk-measure constraint In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2011 | Portfolio insurance under a risk-measure constraint.(2011) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2014 | Asymptotically optimal discretization of hedging strategies with jumps In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2014 | Small-time asymptotics of stopped L\evy bridges and simulation schemes with controlled bias In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Optimal simulation schemes for L\evy driven stochastic differential equations In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Numerical methods for the quadratic hedging problem in Markov models with jumps In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | A new look at short-term implied volatility in asset price models with jumps In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2016 | Tail behavior of sums and differences of log-normal random variables In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2013 | Hedging under multiple risk constraints In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Market models with optimal arbitrage In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Tails of weakly dependent random vectors In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Implied volatility of basket options at extreme strikes In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Asymptotic indifference pricing in exponential L\evy models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2016 | Approximate Option Pricing in the L\evy Libor Model In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES In: Mathematical Finance. [Full Text][Citation analysis] | article | 20 |
| 2009 | CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES In: Mathematical Finance. [Full Text][Citation analysis] | article | 34 |
| 2009 | Constant proportion portfolio insurance in presence of jumps in asset prices.(2009) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2007 | Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2006 | Characterization of dependence of multidimensional Lévy processes using Lévy copulas In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 54 |
| 2009 | Asymptotic analysis of hedging errors in models with jumps In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 14 |
| 2010 | Jump-adapted discretization schemes for Lévy-driven SDEs In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 8 |
| 2011 | Asymptotic results for time-changed Lévy processes sampled at hitting times In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 6 |
| 2008 | Optimal consumption policies in illiquid markets In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2011 | Optimal consumption policies in illiquid markets.(2011) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2006 | Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 25 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team