31 citations · 94 across the 32 of their papers we have counts for
7 papers · 1 filter
Arbitrage and utility maximization in market models with an insider
Ngoc Huy Chau, Wolfgang Runggaldier, Peter Tankov
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additi…
Optimal importance sampling for Lévy Processes
Adrien Genin, Peter Tankov
We develop generic and efficient importance sampling estimators for Monte Carlo evaluation of prices of single- and multi-asset European and path-dependent options in asset price m…
Hedging under multiple risk constraints
Ying Jiao, Olivier Klopfenstein, Peter Tankov
Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of st…
Numerical methods for the quadratic hedging problem in Markov models with jumps
Carmine De Franco, Peter Tankov, Xavier Warin
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman a…
Asymptotically optimal discretization of hedging strategies with jumps
Mathieu Rosenbaum, Peter Tankov
In this work, we consider the hedging error due to discrete trading in models with jumps. Extending an approach developed by Fukasawa [In Stochastic Analysis with Financial Applica…
Portfolio Insurance under a risk-measure constraint
Carmine De Franco, Peter Tankov
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed thre…