Peter Tankov

Peter Tankov

Ecole Nationale de la Statistique et de l'Administration Économique ENSAE ParisTech - Paris / France
Natural Sciences / Mathematical Sciences
AD Scientific Index ID: 1660472
person_outline Peter Tankov's MOST POPULAR ARTICLES
1-) Financial modelling with jump processesR Cont, P TankovChapman & Hall, 20045861*2004
2-) Nonparametric calibration of jump-diffusion option pricing models.R Cont, P TankovThe Journal of Computational Finance 7, 1-49, 20042892004
3-) The Skorokhod embedding problem and model-independent bounds for option pricesA Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ...Paris-Princeton lectures on mathematical finance 2010, 267-318, 20112642011
4-) Characterization of dependence of multidimensional Lévy processes using Lévy copulasJ Kallsen, P TankovJournal of Multivariate Analysis 97 (7), 1551-1572, 20062652006
5-) Constant proportion portfolio insurance in the presence of jumps in asset pricesR Cont, P TankovMathematical Finance 19 (3), 379-401, 20092022009