IDEAS home Printed from https://ideas.repec.org/f/c/pta534.html
   My authors  Follow this author

Peter Tankov

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Zorana Grbac & David Krief & Peter Tankov, 2015. "Approximate Option Pricing in the L\'evy Libor Model," Papers 1511.08466, arXiv.org, revised Jul 2016.

    Cited by:

    1. Aleksandar Mijatovi'c & Romain Palfray, 2022. "A weak MLMC scheme for L\'evy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives," Papers 2211.02528, arXiv.org.

  2. Jiatu Cai & Mathieu Rosenbaum & Peter Tankov, 2015. "Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach," Papers 1510.04295, arXiv.org.

    Cited by:

    1. Huyên Pham, 2016. "Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications ," Post-Print hal-01305929, HAL.
    2. Johannes Muhle-Karbe & Max Reppen & H. Mete Soner, 2016. "A Primer on Portfolio Choice with Small Transaction Costs," Papers 1612.01302, arXiv.org, revised May 2017.
    3. Huy^en Pham, 2016. "Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications ," Papers 1604.06609, arXiv.org, revised Mar 2017.
    4. Peter Bank & Mete Soner & Moritz Vo{ss}, 2015. "Hedging with Temporary Price Impact," Papers 1510.03223, arXiv.org, revised Jul 2016.

  3. Archil Gulisashvili & Peter Tankov, 2013. "Tail behavior of sums and differences of log-normal random variables," Papers 1309.3057, arXiv.org, revised Jan 2016.

    Cited by:

    1. Ankush Agarwal & Stefano de Marco & Emmanuel Gobet & Gang Liu, 2017. "Rare event simulation related to financial risks: efficient estimation and sensitivity analysis," Working Papers hal-01219616, HAL.
    2. Zdravko I. Botev & Robert Salomone & Daniel Mackinlay, 2019. "Fast and accurate computation of the distribution of sums of dependent log-normals," Annals of Operations Research, Springer, vol. 280(1), pages 19-46, September.
    3. Alouini Mohamed-Slim & Ben Rached Nadhir & Kammoun Abla & Tempone Raul, 2018. "On the efficient simulation of the left-tail of the sum of correlated log-normal variates," Monte Carlo Methods and Applications, De Gruyter, vol. 24(2), pages 101-115, June.
    4. Pirjol, Dan & Zhu, Lingjiong, 2016. "Discrete sums of geometric Brownian motions, annuities and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 19-37.
    5. Furman, Edward & Hackmann, Daniel & Kuznetsov, Alexey, 2020. "On log-normal convolutions: An analytical–numerical method with applications to economic capital determination," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 120-134.
    6. Boyle, Phelim & Jiang, Ruihong, 2023. "A note on portfolios of averages of lognormal variables," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 97-109.
    7. Nakatsu, Tomonori, 2023. "On density functions related to discrete time maximum of some one-dimensional diffusion processes," Applied Mathematics and Computation, Elsevier, vol. 441(C).
    8. Peter Tankov, 2014. "Tails of weakly dependent random vectors," Papers 1402.4683, arXiv.org, revised Jan 2016.
    9. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
    10. Dan Pirjol & Lingjiong Zhu, 2016. "Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options," Papers 1609.07558, arXiv.org.
    11. Chakrabarty, Arijit & Samorodnitsky, Gennady, 2018. "Asymptotic behaviour of high Gaussian minima," Stochastic Processes and their Applications, Elsevier, vol. 128(7), pages 2297-2324.
    12. Kemal Dinçer Dingeç & Wolfgang Hörmann, 2022. "Efficient Algorithms for Tail Probabilities of Exchangeable Lognormal Sums," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 2093-2121, September.
    13. Robert Parham, 2023. "The Difference-of-Log-Normals Distribution: Properties, Estimation, and Growth," Papers 2302.02486, arXiv.org.

  4. Huy N. Chau & Peter Tankov, 2013. "Market models with optimal arbitrage," Papers 1312.4979, arXiv.org.

    Cited by:

    1. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.

  5. Ying Jiao & Olivier Klopfenstein & Peter Tankov, 2013. "Hedging under multiple risk constraints," Papers 1309.5094, arXiv.org.

    Cited by:

    1. Bruno Bouchard & Jean-François Chassagneux & Géraldine Bouveret, 2016. "A backward dual representation for the quantile hedging of Bermudan options," Post-Print hal-01069270, HAL.

  6. Jos'e E. Figueroa-L'opez & Peter Tankov, 2012. "Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias," Papers 1203.2355, arXiv.org, revised Jul 2014.

    Cited by:

    1. Michael B. Giles & Yuan Xia, 2017. "Multilevel Monte Carlo for exponential Lévy models," Finance and Stochastics, Springer, vol. 21(4), pages 995-1026, October.
    2. Kyoung-Kuk Kim & Sojung Kim, 2016. "Simulation of Tempered Stable Lévy Bridges and Its Applications," Operations Research, INFORMS, vol. 64(2), pages 495-509, April.
    3. Aleksandar Mijatovic & Martijn Pistorius & Johannes Stolte, 2014. "Randomisation and recursion methods for mixed-exponential Levy models, with financial applications," Papers 1410.7316, arXiv.org.
    4. Mike Giles & Yuan Xia, 2014. "Multilevel Monte Carlo For Exponential L\'{e}vy Models," Papers 1403.5309, arXiv.org, revised May 2017.
    5. Jorge Ignacio Gonz'alez C'azares & Aleksandar Mijatovi'c, 2021. "Monte Carlo algorithm for the extrema of tempered stable processes," Papers 2103.15310, arXiv.org, revised Dec 2022.

  7. Aleksandar Mijatovi'c & Peter Tankov, 2012. "A new look at short-term implied volatility in asset price models with jumps," Papers 1207.0843, arXiv.org, revised Jul 2012.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
    2. Antoine Jacquier & Patrick Roome, 2013. "The Small-Maturity Heston Forward Smile," Papers 1303.4268, arXiv.org, revised Aug 2013.
    3. Masaaki Fukasawa, 2015. "Short-time at-the-money skew and rough fractional volatility," Papers 1501.06980, arXiv.org.
    4. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Small-time asymptotics for Gaussian self-similar stochastic volatility models," Papers 1505.05256, arXiv.org, revised Mar 2016.
    5. Stefan Gerhold & I. Cetin Gulum & Arpad Pinter, 2013. "Small-maturity asymptotics for the at-the-money implied volatility slope in L\'evy models," Papers 1310.3061, arXiv.org, revised May 2016.
    6. Peter Friz & Stefan Gerhold & Arpad Pinter, 2016. "Option Pricing in the Moderate Deviations Regime," Papers 1604.01281, arXiv.org.
    7. Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson, 2014. "Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility," Papers 1404.0601, arXiv.org, revised Oct 2014.
    8. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
    9. Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson, 2015. "Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps," Papers 1502.02595, arXiv.org, revised Dec 2015.

  8. Mathieu Rosenbaum & Peter Tankov, 2011. "Asymptotically optimal discretization of hedging strategies with jumps," Papers 1108.5940, arXiv.org, revised Apr 2014.

    Cited by:

    1. Yaroslav Melnyk & Frank Thomas Seifried, 2018. "Small†cost asymptotics for long†term growth rates in incomplete markets," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 668-711, April.
    2. Martin Herdegen & Johannes Muhle-Karbe, 2018. "Stability of Radner equilibria with respect to small frictions," Finance and Stochastics, Springer, vol. 22(2), pages 443-502, April.
    3. Johannes Muhle-Karbe & Max Reppen & H. Mete Soner, 2016. "A Primer on Portfolio Choice with Small Transaction Costs," Papers 1612.01302, arXiv.org, revised May 2017.
    4. Bouchard, Bruno & Muhle-Karbe, Johannes, 2022. "Simple bounds for utility maximization with small transaction costs," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 98-113.
    5. Christoph Kuhn & Johannes Muhle-Karbe, 2013. "Optimal Liquidity Provision," Papers 1309.5235, arXiv.org, revised Feb 2015.
    6. Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," School of Economics and Public Policy Working Papers 2015-17, University of Adelaide, School of Economics and Public Policy.
    7. Masaaki Fukasawa, 2014. "Efficient discretization of stochastic integrals," Finance and Stochastics, Springer, vol. 18(1), pages 175-208, January.
    8. Kühn, Christoph & Muhle-Karbe, Johannes, 2015. "Optimal liquidity provision," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2493-2515.
    9. Ibrahim Ekren & Ren Liu & Johannes Muhle-Karbe, 2015. "Optimal Rebalancing Frequencies for Multidimensional Portfolios," Papers 1510.05097, arXiv.org, revised Sep 2017.
    10. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2020. "Optimal hedging of a perpetual American put with a single trade," Papers 2003.06249, arXiv.org, revised Sep 2020.
    11. Albert Altarovici & Johannes Muhle-Karbe & H. Mete Soner, 2013. "Asymptotics for Fixed Transaction Costs," Papers 1306.2802, arXiv.org, revised Oct 2013.
    12. Albert Altarovici & Johannes Muhle-Karbe & Halil Soner, 2015. "Asymptotics for fixed transaction costs," Finance and Stochastics, Springer, vol. 19(2), pages 363-414, April.
    13. Jiatu Cai & Mathieu Rosenbaum & Peter Tankov, 2015. "Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach," Papers 1510.04295, arXiv.org.

  9. Marie Bernhart & Huyên Pham & Peter Tankov & Xavier Warin, 2011. "Swing Options Valuation:a BSDE with Constrained Jumps Approach," Working Papers hal-00553356, HAL.

    Cited by:

    1. Tiziano De Angelis & Yerkin Kitapbayev, 2014. "On the optimal exercise boundaries of swing put options," Papers 1407.6860, arXiv.org, revised Jan 2017.

  10. Carmine De Franco & Peter Tankov, 2011. "Portfolio Insurance under a risk-measure constraint," Papers 1102.4489, arXiv.org.

    Cited by:

    1. Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, December.
    2. Géraldine Bouveret, 2018. "Portfolio Optimization Under A Quantile Hedging Constraint," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-36, November.
    3. Goovaerts, Marc & Linders, Daniël & Van Weert, Koen & Tank, Fatih, 2012. "On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 10-18.
    4. Donnelly, Catherine & Gerrard, Russell & Guillén, Montserrat & Nielsen, Jens Perch, 2015. "Less is more: Increasing retirement gains by using an upside terminal wealth constraint," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 259-267.
    5. Chen, An & Stadje, Mitja & Zhang, Fangyuan, 2024. "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 114-129.
    6. Pézier, Jacques & Scheller, Johanna, 2013. "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 263-274.
    7. Catherine Donnelly & Russell Gerrard & Montserrat Guillén & Jens Perch Nielsen, 2015. "Less is more: increasing retirement gains by using an upside terminal wealth constraint," Working Papers 2015-02, Universitat de Barcelona, UB Riskcenter.

  11. Rudra P. Jena & Peter Tankov, 2010. "Arbitrage Opportunities in Misspecified Stochastic volatility Models," Papers 1002.5041, arXiv.org, revised Sep 2011.

    Cited by:

    1. Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.

  12. Mats Brod'en & Peter Tankov, 2010. "Tracking errors from discrete hedging in exponential L\'evy models," Papers 1003.0709, arXiv.org.

    Cited by:

    1. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.
    2. Mathieu Rosenbaum & Peter Tankov, 2011. "Asymptotically optimal discretization of hedging strategies with jumps," Papers 1108.5940, arXiv.org, revised Apr 2014.
    3. Takafumi Amaba, 2014. "A Discrete-Time Clark-Ocone Formula for Poisson Functionals," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 97-120, May.
    4. Huu Thai Nguyen & Serguei Pergamenchtchikov, 2014. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Working Papers hal-00979199, HAL.
    5. Thai Huu Nguyen & Serguei Pergamenschchikov, 2015. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Papers 1505.02627, arXiv.org, revised Sep 2019.
    6. Stefan Geiss & Emmanuel Gobet, 2011. "Fractional smoothness and applications in Finance," Post-Print hal-00474803, HAL.
    7. Cl'ement M'enass'e & Peter Tankov, 2015. "Asymptotic indifference pricing in exponential L\'evy models," Papers 1502.03359, arXiv.org, revised Feb 2015.

  13. Peter Tankov, 2010. "Improved Frechet bounds and model-free pricing of multi-asset options," Papers 1004.4153, arXiv.org, revised Mar 2011.

    Cited by:

    1. Carole Bernard & Jit Seng Chen & Steven Vanduffel, 2014. "Optimal portfolios under worst-case scenarios," ULB Institutional Repository 2013/257677, ULB -- Universite Libre de Bruxelles.
    2. Bernard, Carole & Jiang, Xiao & Wang, Ruodu, 2014. "Risk aggregation with dependence uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 93-108.
    3. Papapantoleon Antonis & Yanez Sarmiento Paulo, 2021. "Detection of arbitrage opportunities in multi-asset derivatives markets," Dependence Modeling, De Gruyter, vol. 9(1), pages 439-459, January.
    4. Thibaut Lux & Antonis Papapantoleon, 2016. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Papers 1610.09734, arXiv.org, revised Nov 2018.
    5. Antonis Papapantoleon & Paulo Yanez Sarmiento, 2020. "Detection of arbitrage opportunities in multi-asset derivatives markets," Papers 2002.06227, arXiv.org, revised Nov 2021.
    6. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
    7. Bernard, Carole & Vanduffel, Steven, 2015. "A new approach to assessing model risk in high dimensions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178.
    8. Yanqin Fan & Carlos A. Manzanares, 2017. "Partial identification of average treatment effects on the treated through difference-in-differences," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 1057-1080, October.
    9. Steffen Grønneberg & Jonas Moss & Njål Foldnes, 2020. "Partial Identification of Latent Correlations with Binary Data," Psychometrika, Springer;The Psychometric Society, vol. 85(4), pages 1028-1051, December.
    10. Jonathan Ansari & Eva Lutkebohmert & Ariel Neufeld & Julian Sester, 2022. "Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information," Papers 2204.01071, arXiv.org, revised Sep 2023.
    11. Thibaut Lux & Antonis Papapantoleon, 2016. "Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance," Papers 1602.08894, arXiv.org, revised Jun 2017.
    12. Julian Sester, 2023. "On intermediate Marginals in Martingale Optimal Transportation," Papers 2307.09710, arXiv.org, revised Nov 2023.
    13. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2020. "Model-free bounds for multi-asset options using option-implied information and their exact computation," Papers 2006.14288, arXiv.org, revised Jan 2022.
    14. Jae Youn Ahn & Sebastian Fuchs, 2020. "On Minimal Copulas under the Concordance Order," Journal of Optimization Theory and Applications, Springer, vol. 184(3), pages 762-780, March.
    15. Daniel Bartl & Michael Kupper & Thibaut Lux & Antonis Papapantoleon & Stephan Eckstein, 2017. "Marginal and dependence uncertainty: bounds, optimal transport, and sharpness," Papers 1709.00641, arXiv.org, revised Aug 2018.
    16. Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.
    17. Jonas Moss & Steffen Grønneberg, 2023. "Partial Identification of Latent Correlations with Ordinal Data," Psychometrika, Springer;The Psychometric Society, vol. 88(1), pages 241-252, March.
    18. Lux, Thibaut & Papapantoleon, Antonis, 2019. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 73-83.
    19. Baule, Rainer & Shkel, David, 2021. "Model risk and model choice in the case of barrier options and bonus certificates," Journal of Banking & Finance, Elsevier, vol. 133(C).
    20. Durante Fabrizio & Fernández-Sánchez Juan & Trutschnig Wolfgang, 2014. "Solution to an open problem about a transformation on the space of copulas," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-8, November.
    21. Markus Hofer & Maria Rita Iacò, 2014. "Optimal Bounds for Integrals with Respect to Copulas and Applications," Journal of Optimization Theory and Applications, Springer, vol. 161(3), pages 999-1011, June.
    22. Jonathan Ansari & Eva Lütkebohmert & Ariel Neufeld & Julian Sester, 2024. "Improved robust price bounds for multi-asset derivatives under market-implied dependence information," Finance and Stochastics, Springer, vol. 28(4), pages 911-964, October.

  14. Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Papers 1011.3599, arXiv.org.

    Cited by:

    1. Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella, 2015. "A pricing formula for delayed claims: Appreciating the past to value the future," Papers 1505.04914, arXiv.org, revised Jul 2022.
    2. Xavier Warin, 2012. "Hedging Swing contract on gas markets," Papers 1208.5303, arXiv.org.

  15. Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov, 2008. "Optimal consumption policies in illiquid markets," Working Papers hal-00292673, HAL.

    Cited by:

    1. Paul Gassiat & Huyên Pham & Mihai Sîrbu, 2011. "Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 17-40.
    2. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2017. "Impact Of Time Illiquidity In A Mixed Market Without Full Observation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 401-437, April.
    3. Castellano, Rosella & Cerqueti, Roy, 2014. "Mean–Variance portfolio selection in presence of infrequently traded stocks," European Journal of Operational Research, Elsevier, vol. 234(2), pages 442-449.
    4. Paul Gassiat & Huyên Pham & Mihai Sîrbu, 2012. "Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 15, pages 349-372, World Scientific Publishing Co. Pte. Ltd..
    5. Paul Gassiat & Huyen Pham & Mihai Sirbu, 2009. "Optimal investment on finite horizon with random discrete order flow in illiquid markets," Papers 0907.2203, arXiv.org.
    6. Michael Ludkovski & Hyekyung Min, 2010. "Illiquidity Effects in Optimal Consumption-Investment Problems," Papers 1004.1489, arXiv.org, revised Sep 2010.
    7. Stefano Baccarin, 2013. "Optimal Consumption of a Generalized Geometric Brownian Motion with Fixed and Variable Intervention Costs," Working papers 021, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    8. Paul Gassiat & Fausto Gozzi & Huy^en Pham, 2011. "Investment/consumption problem in illiquid markets with regime-switching," Papers 1107.4210, arXiv.org, revised Apr 2012.
    9. Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
    10. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.
    11. Tae Ung Gang & Jin Hyuk Choi, 2024. "Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions," Papers 2407.13547, arXiv.org.
    12. Jin Hyuk Choi & Tae Ung Gang, 2021. "Optimal investment in illiquid market with search frictions and transaction costs," Papers 2101.09936, arXiv.org, revised Aug 2021.

  16. Rama Cont & Peter Tankov, 2007. "Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices," Working Papers hal-00129413, HAL.

    Cited by:

    1. Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
    2. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    3. Weng, Chengguo, 2013. "Constant proportion portfolio insurance under a regime switching exponential Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 508-521.
    4. Carmine De Franco & Peter Tankov, 2011. "Portfolio Insurance under a risk-measure constraint," Papers 1102.4489, arXiv.org.
    5. Dorn, Jochen, 2010. "Modeling of CPDOs - Identifying optimal and implied leverage," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1371-1382, June.
    6. Bahaji, Hamza, 2014. "Equity portfolio insurance against a benchmark: Setting, replication and optimality," Economic Modelling, Elsevier, vol. 40(C), pages 382-391.
    7. Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. João Carvalho & João Beleza Sousa & Raquel M. Gaspar, 2019. "On Path–dependency ofConstant Proportion Portfolio Insurance strategies," Working Papers REM 2019/94, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    9. Ine Marquet & Wim Schoutens, 2018. "CONIC CPPIs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-20, March.
    10. Alexander Schied, 2013. "Model-free CPPI," Papers 1305.5915, arXiv.org, revised Jan 2014.
    11. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
    12. Louis Paulot & Xavier Lacroze, 2009. "One-Dimensional Pricing of CPPI," Papers 0905.2926, arXiv.org, revised Feb 2010.
    13. Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
    14. Killian Pluzanski & Jean-Luc Prigent, 2023. "Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure," THEMA Working Papers 2023-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    15. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Post-Print hal-00867667, HAL.
    16. Busra Zeynep Temocin & Ralf Korn & A. Sevtap Selcuk-Kestel, 2018. "Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading," Annals of Operations Research, Springer, vol. 260(1), pages 515-544, January.
    17. Chris Kenyon & Andrew Green, 2016. "Option-Based Pricing of Wrong Way Risk for CVA," Papers 1609.00819, arXiv.org, revised Oct 2021.
    18. Branger, Nicole & Mahayni, Antje & Schneider, Judith C., 2010. "On the optimal design of insurance contracts with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 485-492, June.
    19. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
    20. Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst, 2020. "Behavioral portfolio insurance strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 353-399, December.
    21. Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.
    22. Louis Paulot & Xavier Lacroze, 2009. "Efficient Pricing of CPPI using Markov Operators," Papers 0901.1218, arXiv.org.
    23. Schied, Alexander, 2014. "Model-free CPPI," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 84-94.
    24. Mostafa Zandieh & Seyed Omid Mohaddesi, 2018. "Portfolio Rebalancing under Uncertainty Using Meta-heuristic Algorithm," Papers 1812.07635, arXiv.org.
    25. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.
    26. Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, University of Reading.
    27. Pézier, Jacques & Scheller, Johanna, 2013. "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 263-274.
    28. Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
    29. Katia Colaneri & Daniele Mancinelli & Immacolata Oliva, 2024. "On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework," Papers 2407.21148, arXiv.org.
    30. Alexandre Hocquard & Nicolas Papageorgiou & Bruno Remillard, 2015. "The payoff distribution model: an application to dynamic portfolio insurance," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 299-312, February.
    31. Juho Kanniainen & Ye Yue, 2019. "The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach," Papers 1901.02691, arXiv.org.
    32. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.

Articles

  1. Rosenbaum, Mathieu & Tankov, Peter, 2011. "Asymptotic results for time-changed Lévy processes sampled at hitting times," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1607-1632, July.

    Cited by:

    1. José E. Figueroa-López & Sveinn Ólafsson, 2016. "Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility," Finance and Stochastics, Springer, vol. 20(1), pages 219-265, January.
    2. José Figueroa-López & Sveinn Ólafsson, 2016. "Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility," Finance and Stochastics, Springer, vol. 20(1), pages 219-265, January.
    3. Mathieu Rosenbaum & Peter Tankov, 2011. "Asymptotically optimal discretization of hedging strategies with jumps," Papers 1108.5940, arXiv.org, revised Apr 2014.
    4. José E. Figueroa-López & Sveinn Ólafsson, 2016. "Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps," Finance and Stochastics, Springer, vol. 20(4), pages 973-1020, October.
    5. Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2012. "High-order short-time expansions for ATM option prices of exponential L\'evy models," Papers 1208.5520, arXiv.org, revised Apr 2014.
    6. Jos'e E. Figueroa-L'opez & Peter Tankov, 2012. "Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias," Papers 1203.2355, arXiv.org, revised Jul 2014.
    7. Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson, 2014. "Short-time expansions for close-to-the-money options under a L\'evy jump model with stochastic volatility," Papers 1404.0601, arXiv.org, revised Oct 2014.
    8. Jos'e E. Figueroa-L'opez & Sveinn 'Olafsson, 2015. "Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps," Papers 1502.02595, arXiv.org, revised Dec 2015.

  2. De Franco, Carmine & Tankov, Peter, 2011. "Portfolio insurance under a risk-measure constraint," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 361-370.
    See citations under working paper version above.
  3. Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov, 2011. "Optimal consumption policies in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 85-115, January.
    See citations under working paper version above.
  4. Kohatsu-Higa, Arturo & Tankov, Peter, 2010. "Jump-adapted discretization schemes for Lévy-driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2258-2285, November.

    Cited by:

    1. Alaya, Mohamed Ben & Hajji, Kaouther & Kebaier, Ahmed, 2016. "Importance sampling and statistical Romberg method for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1901-1931.
    2. Rey Clément, 2017. "Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 23(1), pages 1-12, March.
    3. Arturo Kohatsu-Higa & Salvador Ortiz-Latorre & Peter Tankov, 2012. "Optimal simulation schemes for L\'evy driven stochastic differential equations," Papers 1204.4877, arXiv.org.
    4. Mikulevicius, R., 2012. "On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 122(7), pages 2730-2757.
    5. Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011. "Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models," Papers 1106.0866, arXiv.org, revised Jan 2012.
    6. Rey, Clément, 2019. "Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process," Stochastic Processes and their Applications, Elsevier, vol. 129(2), pages 539-571.
    7. Rosenbaum, Mathieu & Tankov, Peter, 2011. "Asymptotic results for time-changed Lévy processes sampled at hitting times," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1607-1632, July.

  5. Tankov, Peter & Voltchkova, Ekaterina, 2009. "Asymptotic analysis of hedging errors in models with jumps," Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 2004-2027, June.

    Cited by:

    1. Flavio Angelini & Stefano Herzel, 2015. "Evaluating discrete dynamic strategies in affine models," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 313-326, February.
    2. Mats Brod'en & Peter Tankov, 2010. "Tracking errors from discrete hedging in exponential L\'evy models," Papers 1003.0709, arXiv.org.
    3. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.
    4. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2021. "Hedging stocks with oil," Energy Economics, Elsevier, vol. 93(C).
    5. Masaaki Fukasawa, 2012. "Efficient Discretization of Stochastic Integrals," Papers 1204.0637, arXiv.org.
    6. Simon F'ecamp & Joseph Mikael & Xavier Warin, 2019. "Risk management with machine-learning-based algorithms," Papers 1902.05287, arXiv.org, revised Aug 2020.
    7. Takafumi Amaba, 2014. "A Discrete-Time Clark-Ocone Formula for Poisson Functionals," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 97-120, May.
    8. Johannes Ruf & Weiguan Wang, 2020. "Hedging with Linear Regressions and Neural Networks," Papers 2004.08891, arXiv.org, revised Jun 2021.
    9. Huu Thai Nguyen & Serguei Pergamenchtchikov, 2014. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Working Papers hal-00979199, HAL.
    10. Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," School of Economics and Public Policy Working Papers 2015-17, University of Adelaide, School of Economics and Public Policy.
    11. Thai Huu Nguyen & Serguei Pergamenschchikov, 2015. "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Papers 1505.02627, arXiv.org, revised Sep 2019.
    12. Masaaki Fukasawa, 2014. "Efficient discretization of stochastic integrals," Finance and Stochastics, Springer, vol. 18(1), pages 175-208, January.
    13. Mats Brod'en & Magnus Wiktorsson, 2010. "Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy," Papers 1004.4526, arXiv.org.
    14. Wang, Wensheng, 2019. "Asymptotics for discrete time hedging errors under fractional Black–Scholes models," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 160-170.

  6. Rama Cont & Peter Tankov, 2009. "Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401, July.
    See citations under working paper version above.
  7. Huyên Pham & Peter Tankov, 2008. "A Model Of Optimal Consumption Under Liquidity Risk With Random Trading Times," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 613-627, October.

    Cited by:

    1. Yuki SHIGETA, 2022. "A Continuous-Time Utility Maximization Problem with Borrowing Constraints in Macroeconomic Heterogeneous Agent Models:A Case of Regular Controls under Markov Chain Uncertainty," Discussion papers e-22-009, Graduate School of Economics , Kyoto University.
    2. Paul Gassiat & Huyên Pham & Mihai Sîrbu, 2011. "Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 17-40.
    3. Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov, 2011. "Optimal consumption policies in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 85-115, January.
    4. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2017. "Impact Of Time Illiquidity In A Mixed Market Without Full Observation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 401-437, April.
    5. Kazufumi Fujimoto & Hideo Nagai & Wolfgang Runggaldier, 2014. "Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(1), pages 35-66, March.
    6. Edoli, Enrico & Runggaldier, Wolfgang J., 2010. "On optimal investment in a reinsurance context with a point process market model," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 315-326, December.
    7. Castellano, Rosella & Cerqueti, Roy, 2014. "Mean–Variance portfolio selection in presence of infrequently traded stocks," European Journal of Operational Research, Elsevier, vol. 234(2), pages 442-449.
    8. Paul Gassiat & Huyên Pham & Mihai Sîrbu, 2012. "Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 15, pages 349-372, World Scientific Publishing Co. Pte. Ltd..
    9. Giorgia Callegaro & Giovanni Masi & Wolfgang Runggaldier, 2006. "Portfolio Optimization in Discontinuous Markets under Incomplete Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 373-394, December.
    10. Paul Gassiat & Huyen Pham & Mihai Sirbu, 2009. "Optimal investment on finite horizon with random discrete order flow in illiquid markets," Papers 0907.2203, arXiv.org.
    11. Michael Ludkovski & Hyekyung Min, 2010. "Illiquidity Effects in Optimal Consumption-Investment Problems," Papers 1004.1489, arXiv.org, revised Sep 2010.
    12. Paul Gassiat & Fausto Gozzi & Huy^en Pham, 2011. "Investment/consumption problem in illiquid markets with regime-switching," Papers 1107.4210, arXiv.org, revised Apr 2012.
    13. Hobson, David & Zeng, Matthew, 2022. "Constrained optimal stopping, liquidity and effort," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 819-843.
    14. T. R. Hurd & Quentin H. Shao & Tuan Tran, 2016. "Optimal Portfolios of Illiquid Assets," Papers 1610.00395, arXiv.org.
    15. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.
    16. Alvarez E., Luis H.R. & Lempa, Jukka & Saarinen, Harto & Sillanpää, Wiljami, 2024. "Solutions for Poissonian stopping problems of linear diffusions via extremal processes," Stochastic Processes and their Applications, Elsevier, vol. 172(C).
    17. Tae Ung Gang & Jin Hyuk Choi, 2024. "Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions," Papers 2407.13547, arXiv.org.
    18. Jin Hyuk Choi & Tae Ung Gang, 2021. "Optimal investment in illiquid market with search frictions and transaction costs," Papers 2101.09936, arXiv.org, revised Aug 2021.
    19. Soren Christensen & Marc Wittlinger, 2012. "Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs," Papers 1209.0305, arXiv.org, revised Jun 2013.

  8. Kallsen, Jan & Tankov, Peter, 2006. "Characterization of dependence of multidimensional Lévy processes using Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1551-1572, August.

    Cited by:

    1. Lukas Gonon & Christoph Schwab, 2021. "Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models," Finance and Stochastics, Springer, vol. 25(4), pages 615-657, October.
    2. Chen Yang & Wenjun Jiang & Jiang Wu & Xin Liu & Zhichuan Li, 2018. "Clustering of financial instruments using jump tail dependence coefficient," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(3), pages 491-513, August.
    3. Habib Esmaeili & Claudia Klüppelberg, 2013. "Two-Step Estimation Of A Multi-Variate Lévy Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 668-690, November.
    4. Dennis Frestad & Fred Espen Benth & Steen Koekebakker, 2010. "Modeling Term Structure Dynamics in the Nordic Electricity Swap Market," The Energy Journal, , vol. 31(2), pages 53-86, April.
    5. Esmaeili, Habib & Klüppelberg, Claudia, 2011. "Parametric estimation of a bivariate stable Lévy process," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 918-930, May.
    6. Claudia Klüppelberg & Gabriel Kuhn & Liang Peng, 2008. "Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(4), pages 701-718, December.
    7. Esmaeili, Habib & Klüppelberg, Claudia, 2010. "Parameter estimation of a bivariate compound Poisson process," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 224-233, October.
    8. Ruixuan Liu, 2020. "A competing risks model with time‐varying heterogeneity and simultaneous failure," Quantitative Economics, Econometric Society, vol. 11(2), pages 535-577, May.
    9. Mai Jan-Frederik & Scherer Matthias, 2013. "What makes dependence modeling challenging? Pitfalls and ways to circumvent them," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 287-306, December.
    10. Roberto Marfè, 2012. "A generalized variance gamma process for financial applications," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 75-87, June.
    11. Li, Heping & Deloux, Estelle & Dieulle, Laurence, 2016. "A condition-based maintenance policy for multi-component systems with Lévy copulas dependence," Reliability Engineering and System Safety, Elsevier, vol. 149(C), pages 44-55.
    12. Grothe, Oliver & Hofert, Marius, 2015. "Construction and sampling of Archimedean and nested Archimedean Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 182-198.
    13. Gong, Xiao-Li & Xiong, Xiong, 2021. "Multi-objective portfolio optimization under tempered stable Lévy distribution with Copula dependence," Finance Research Letters, Elsevier, vol. 38(C).
    14. Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
    15. N. Reich & C. Schwab & C. Winter, 2010. "On Kolmogorov equations for anisotropic multivariate Lévy processes," Finance and Stochastics, Springer, vol. 14(4), pages 527-567, December.
    16. Lukas Gonon & Christoph Schwab, 2021. "Deep ReLU Network Expression Rates for Option Prices in high-dimensional, exponential L\'evy models," Papers 2101.11897, arXiv.org, revised Jul 2021.
    17. Sophie Mercier & Carmen Sangüesa, 2023. "A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(1), pages 91-129, January.
    18. Nemat Safarov & Colin Atkinson, 2016. "Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching," Papers 1607.01207, arXiv.org, revised Jul 2016.
    19. Vladimir Panov, 2017. "Series Representations for Multivariate Time-Changed Lévy Models," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 97-119, March.
    20. Fabrizio Leisen & Antonio Lijoi, 2010. "Vectors of two-parameter Poisson-Dirichlet processes," Quaderni di Dipartimento 119, University of Pavia, Department of Economics and Quantitative Methods.
    21. Dilip Madan, 2011. "Joint risk-neutral laws and hedging," IISE Transactions, Taylor & Francis Journals, vol. 43(12), pages 840-850.
    22. Wu, Xin & Huang, Tingting & Liu, Jie, 2023. "Common stochastic effects induced multivariate degradation process with temporal dependency in degradation characteristic and unit dimensions," Reliability Engineering and System Safety, Elsevier, vol. 239(C).
    23. Riva-Palacio, Alan & Leisen, Fabrizio, 2021. "Compound vectors of subordinators and their associated positive Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
    24. Reiichiro Kawai, 2008. "Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation," Methodology and Computing in Applied Probability, Springer, vol. 10(2), pages 199-223, June.
    25. Piergiacomo Sabino, 2021. "Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type," Papers 2103.13252, arXiv.org.
    26. Oliver Grothe & Stephan Nicklas, 2012. "Vine Constructions of Levy Copulas," Papers 1207.4309, arXiv.org, revised Sep 2012.
    27. Bikramjit Das & Vicky Fasen-Hartmann, 2023. "Aggregating heavy-tailed random vectors: from finite sums to L\'evy processes," Papers 2301.10423, arXiv.org.
    28. Mancini, Cecilia, 2017. "Truncated Realized Covariance when prices have infinite variation jumps," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1998-2035.
    29. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
    30. Leisen, Fabrizio & Lijoi, Antonio, 2011. "Vectors of two-parameter Poisson-Dirichlet processes," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 482-495, March.
    31. Boris Buchmann & Benjamin Kaehler & Ross Maller & Alexander Szimayer, 2015. "Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing," Papers 1502.03901, arXiv.org, revised Oct 2016.
    32. Nemat Safarov & Colin Atkinson, 2017. "Natural Gas-Fired Power Plants Valuation And Optimization Under Lévy Copulas And Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-38, February.
    33. Grothe, Oliver & Nicklas, Stephan, 2013. "Vine constructions of Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 1-15.
    34. Zhou, W. & Xiang, W. & Hong, H.P., 2017. "Sensitivity of system reliability of corroding pipelines to modeling of stochastic growth of corrosion defects," Reliability Engineering and System Safety, Elsevier, vol. 167(C), pages 428-438.
    35. Nicole Bäuerle & Anja Blatter & Alfred Müller, 2008. "Dependence properties and comparison results for Lévy processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 161-186, February.
    36. Jochen Ranger & Jörg-Tobias Kuhn & José-Luis Gaviria, 2015. "A Race Model for Responses and Response Times in Tests," Psychometrika, Springer;The Psychometric Society, vol. 80(3), pages 791-810, September.
    37. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, August.
    38. Romera, Rosario & Molanes, Elisa M., 2008. "Copulas in finance and insurance," DES - Working Papers. Statistics and Econometrics. WS ws086321, Universidad Carlos III de Madrid. Departamento de Estadística.
    39. Yasukazu Yoshizawa & Naoyuki Ishimura, 2018. "Evolution of multivariate copulas in continuous and discrete processes," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 25(1), pages 44-59, January.
    40. Huynh, K.T. & Vu, H.C. & Nguyen, T.D. & Ho, A.C., 2022. "A predictive maintenance model for k-out-of-n:F continuously deteriorating systems subject to stochastic and economic dependencies," Reliability Engineering and System Safety, Elsevier, vol. 226(C).
    41. Pakkanen, Mikko S. & Sottinen, Tommi & Yazigi, Adil, 2017. "On the conditional small ball property of multivariate Lévy-driven moving average processes," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 749-782.
    42. Chavez-Demoulin, V. & Embrechts, P. & Neslehova, J., 2006. "Quantitative models for operational risk: Extremes, dependence and aggregation," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2635-2658, October.
    43. Ilenia Epifani & Antonio Lijoi, 2009. "Nonparametric Priors for Vectors of Survival Functions," Quaderni di Dipartimento 098, University of Pavia, Department of Economics and Quantitative Methods.
    44. Fred Espen Benth & Giulia Di Nunno & Dennis Schroers, 2022. "Copula measures and Sklar's theorem in arbitrary dimensions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1144-1183, September.
    45. Akakpo, Nathalie, 2017. "Multivariate intensity estimation via hyperbolic wavelet selection," Journal of Multivariate Analysis, Elsevier, vol. 161(C), pages 32-57.
    46. Deniz Ilalan, 2015. "Modeling Correlation Structure for Collateralized Debt Obligations," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 72-83, April.
    47. Beghin, Luisa & Macci, Claudio & Ricciuti, Costantino, 2020. "Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6364-6387.
    48. Yin Shu & Qianmei Feng & David W. Coit, 2015. "Life distribution analysis based on Lévy subordinators for degradation with random jumps," Naval Research Logistics (NRL), John Wiley & Sons, vol. 62(6), pages 483-492, September.
    49. Alexandre Petkovic, 2009. "Three essays on exotic option pricing, multivariate Lévy processes and linear aggregation of panel models," ULB Institutional Repository 2013/210357, ULB -- Universite Libre de Bruxelles.
    50. Leisen, Fabrizio, 2013. "A multivariate extension of a vector of Poisson- Dirichlet processes," DES - Working Papers. Statistics and Econometrics. WS ws132220, Universidad Carlos III de Madrid. Departamento de Estadística.
    51. Antonis Papapantoleon, 2011. "Computation of copulas by Fourier methods," Papers 1108.1216, arXiv.org, revised Jun 2014.
    52. Bäuerle, Nicole & Blatter, Anja, 2011. "Optimal control and dependence modeling of insurance portfolios with Lévy dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 398-405, May.
    53. Naoufel El-Bachir, 2008. "Dependent jump processes with coupled Lévy measures," ICMA Centre Discussion Papers in Finance icma-dp2008-03, Henley Business School, University of Reading.

  9. Jérémy Poirot & Peter Tankov, 2006. "Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 327-344, December.

    Cited by:

    1. Jean-Philippe Aguilar, 2021. "The value of power-related options under spectrally negative Lévy processes," Review of Derivatives Research, Springer, vol. 24(2), pages 173-196, July.
    2. Kyoung-Kuk Kim & Sojung Kim, 2016. "Simulation of Tempered Stable Lévy Bridges and Its Applications," Operations Research, INFORMS, vol. 64(2), pages 495-509, April.
    3. Kohatsu-Higa, Arturo & Tankov, Peter, 2010. "Jump-adapted discretization schemes for Lévy-driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2258-2285, November.
    4. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    5. Kathrin Glau, 2016. "A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates," Finance and Stochastics, Springer, vol. 20(4), pages 1021-1059, October.
    6. Alaya, Mohamed Ben & Hajji, Kaouther & Kebaier, Ahmed, 2016. "Importance sampling and statistical Romberg method for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1901-1931.
    7. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    8. Chengwei Zhang & Zhiyuan Zhang, 2017. "Sequential Sampling for CGMY Processes via Decomposition of their Time Changes," Papers 1708.00189, arXiv.org, revised Aug 2018.
    9. Søren Asmussen, 2022. "On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance," Finance and Stochastics, Springer, vol. 26(3), pages 383-416, July.
    10. Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011. "Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models," CREATES Research Papers 2011-22, Department of Economics and Business Economics, Aarhus University.
    11. Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Lévy CARMA models for shocks in mortality," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 205-227, June.
    12. Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010. "Tempered stable and tempered infinitely divisible GARCH models," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2096-2109, September.
    13. Piergiacomo Sabino, 2021. "Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type," Papers 2103.13252, arXiv.org.
    14. Kathrin Glau, 2015. "Feynman-Kac formula for L\'evy processes with discontinuous killing rate," Papers 1502.07531, arXiv.org, revised Nov 2015.
    15. Jean-Philippe Aguilar & Cyril Coste & Jan Korbel, 2016. "Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model," Papers 1609.00987, arXiv.org, revised Nov 2017.
    16. Oleg Kudryavtsev, 2024. "A simplified Wiener–Hopf factorization method for pricing double barrier options under Lévy processes," Computational Management Science, Springer, vol. 21(1), pages 1-30, June.
    17. Arturo Kohatsu-Higa & Salvador Ortiz-Latorre & Peter Tankov, 2012. "Optimal simulation schemes for L\'evy driven stochastic differential equations," Papers 1204.4877, arXiv.org.
    18. Jing, Bing-Yi & Kong, Xin-Bing & Liu, Zhi & Mykland, Per, 2012. "On the jump activity index for semimartingales," Journal of Econometrics, Elsevier, vol. 166(2), pages 213-223.
    19. Jean-Philippe Aguilar, 2019. "The value of power-related options under spectrally negative L\'evy processes," Papers 1910.07971, arXiv.org, revised Jan 2021.
    20. Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011. "Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models," Papers 1106.0866, arXiv.org, revised Jan 2012.
    21. Jorge Ignacio Gonz'alez C'azares & Aleksandar Mijatovi'c, 2021. "Monte Carlo algorithm for the extrema of tempered stable processes," Papers 2103.15310, arXiv.org, revised Dec 2022.
    22. Chengwei Zhang & Zhiyuan Zhang, 2018. "Sequential sampling for CGMY processes via decomposition of their time changes," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(6-7), pages 522-534, September.
    23. Wang, Xiao & Duan, Jinqiao & Li, Xiaofan & Song, Renming, 2018. "Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion," Applied Mathematics and Computation, Elsevier, vol. 337(C), pages 618-634.
    24. Yunfei Xia & Michael Grabchak, 2024. "Pricing multi-asset options with tempered stable distributions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-24, December.
    25. Winston Buckley & Sandun Perera, 2019. "Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy," Annals of Finance, Springer, vol. 15(3), pages 337-368, September.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.