Peter Tankov
- Importance sampling for McKean-Vlasov SDEs
2018/03/25 by Gonçalo dos Reis, Greig Smith, Reis, Goncalo dos +3 · 7 citations
Economics, Econometrics and Finance · Energy · Social Sciences · #65C05 #65C30 #65C35 #FOS: Mathematics #Global Energy and Sustainability Research #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications
- Control and optimal stopping Mean Field Games: a linear programming approach
2020/11/23 by Roxana Dumitrescu, Dumitrescu, Roxana, Marcos Leutscher +3 · 5 citations
Decision Sciences · Economics, Econometrics and Finance · #60G40 #91A13 #91A55 #Auction Theory and Applications #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Stochastic processes and financial applications
- Price formation and optimal trading in intraday electricity markets with\n a major player
2020/11/15 by Olivier Féron, Peter Tankov, Féron, Olivier +3 · 3 citations
Engineering · Economics, Econometrics and Finance · #Electric Power System Optimization #Smart Grid Energy Management #Stochastic processes and financial applications
- Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
2022/10/07 by Roxana Dumitrescu, Dumitrescu, Roxana, Marcos Leutscher +3 · 3 citations
Economics, Econometrics and Finance · #Climate Change Policy and Economics #Capital Investment and Risk Analysis #Economic theories and models
- Linear Programming Fictitious Play algorithm for Mean Field Games with optimal stopping and absorption
2022/02/23 by Roxana Dumitrescu, Dumitrescu, Roxana, Marcos Leutscher +3 · 3 citations
Decision Sciences · Economics, Econometrics and Finance · #60G40 #91A13 #91A55 #Auction Theory and Applications #Economic theories and models #FOS: Mathematics #Game Theory and Applications #Optimization and Control (math.OC)
- A mean-field game model of electricity market dynamics
2023/12/29 by Alicia Bassière, Bassière, Alicia, Roxana Dumitrescu +3 · 4 citations
Engineering · Economics, Econometrics and Finance · #Smart Grid Energy Management #Electric Power System Optimization #Climate Change Policy and Economics
- Hedging under rough volatility
2021/05/10 by Masaaki Fukasawa, Blanka Horvath, Fukasawa, Masaaki +3 · 2 citations
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
- Improved Frechet bounds and model-free pricing of multi-asset options
2010/04/23 by Peter Tankov, Tankov, Peter · 1 citation
Economics, Econometrics and Finance · Mathematics · #60E15 #91G20 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR) #math.PR #msc:60E15 #msc:91G20 #q-fin.CP #q-fin.PR
- Finite-dimensional representations for controlled diffusions with delay
2013/10/16 by Salvatore Federico, Federico, Salvatore, Peter Tankov +1 · 1 citation
Mathematics · #60G40 #60H10 #93E20 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60G40 #msc:60H10 #msc:93E20
- Decarbonization of financial markets: a mean-field game approach
2023/01/22 by P. Lavigne, Peter Tankov, Lavigne, Pierre +1 · 2 citations
Economics, Econometrics and Finance · #Climate Change Policy and Economics #Complex Systems and Time Series Analysis #FOS: Economics and business #General Economics (econ.GN) #Market Dynamics and Volatility #Mathematical Finance (q-fin.MF)
- Optimal discretization of hedging strategies with directional views
2014/07/17 by Jiatu Cai, Masaaki Fukasawa, Cai, Jiatu +5 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.PR #stochastic dynamics and bifurcation
- Portfolio Insurance under a risk-measure constraint
2011/02/22 by Carmine De Franco, Peter Tankov, De Franco, Carmine +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #91G10 #Advanced Bandit Algorithms Research #FOS: Economics and business #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications #msc:91G10 #q-fin.RM
- Optimal stopping and divestment timing under scenario ambiguity and learning
2024/08/18 by Andrea Mazzon, Peter Tankov, Mazzon, Andrea +1 · 1 citation
Engineering · #Electric Power System Optimization