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Financial modelling with jump processes
Cont, Rama; Tankov, Peter - 2004
Persistent link: https://www.econbiz.de/10001790344
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Portfolio insurance under a risk-measure constraint
De Franco, Carmine; Tankov, Peter - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 361-370
Persistent link: https://www.econbiz.de/10009404705
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Optimal consumption policies in illiquid markets
Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; … - In: Finance and stochastics 15 (2011) 1, pp. 85-115
Persistent link: https://www.econbiz.de/10008824131
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Approximate indifference pricing in exponential Lévy models
Ménassé, Clément; Tankov, Peter - In: Applied mathematical finance 23 (2016) 3/4, pp. 197-235
Persistent link: https://www.econbiz.de/10011704228
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Hedging under multiple risk constraints
Jiao, Ying; Klopfenstein, Olivier; Tankov, Peter - In: Finance and stochastics 21 (2017) 2, pp. 361-396
Persistent link: https://www.econbiz.de/10011944382
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Arbitrage and utility maximization in market models with an insider
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter - In: Mathematics and financial economics 12 (2018) 4, pp. 589-614
Persistent link: https://www.econbiz.de/10011963883
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A model of optimal consumption under liquidity risk with random trading times
Pham, Huyên; Tankov, Peter - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 613-627
Persistent link: https://www.econbiz.de/10003769020
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Constant proportion portfolio insurance in the presence of jumps in asset prices
Cont, Rama; Tankov, Peter - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 379-401
Persistent link: https://www.econbiz.de/10003882496