4. Mathematics
  5. Probability

Peter Tankov

Mathematics – Probability

Scientist

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Scientist

CMAP, Ecole Polytechnique

A finite dimensional approximation for pricing moving average options

Economy – Quantitative Finance – Pricing of Securities
Scientific paper

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Arbitrage Opportunities in Misspecified Stochastic volatility Models

Economy – Quantitative Finance – Pricing of Securities
Scientific paper

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Asymptotic results and statistical procedures for time-changed Lévy processes sampled at hitting times

Mathematics – Probability
Scientific paper

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Asymptotically optimal discretization of hedging strategies with jumps

Economy – Quantitative Finance – Risk Management
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High order weak approximation schemes for Lévy-driven SDEs

Mathematics – Probability
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