31 citations · 94 across the 32 of their papers we have counts for
44 papers
Decarbonization of financial markets: a mean-field game approach
Pierre Lavigne, Peter Tankov
We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally co…
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
Roxana Dumitrescu, Marcos Leutscher, Peter Tankov
We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To th…
Optimal Exploration of an Exhaustible Resource with Stochastic Discoveries
Ivar Ekeland, Wolfram Schlenker, Peter Tankov +1
The standard Hotelling model assumes that the stock of an exhaustible resource is known. We expand on the model by Arrow and Chang that introduced stochastic discoveries and for th…
Linear Programming Fictitious Play algorithm for Mean Field Games with optimal stopping and absorption
Roxana Dumitrescu, Marcos Leutscher, Peter Tankov
We develop the fictitious play algorithm in the context of the linear programming approach for mean field games of optimal stopping and mean field games with regular control and ab…
Decision making with dynamic probabilistic forecasts
Peter Tankov, Laura Tinsi
We consider a sequential decision making process, such as renewable energy trading or electrical production scheduling, whose outcome depends on the future realization of a random…
Hedging under rough volatility
Masaaki Fukasawa, Blanka Horvath, Peter Tankov
In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor…