Publications
Recent preprints
A model of strategic sustainable investment (with Tiziano de Angelis and Caio César Graziani Rodrigues) (arxiv preprint)
Optimal stopping and divestment timing under scenario ambiguity and learning (with Andrea Mazzon) (arxiv preprint)
Price impact and long-term profitability of energy storage (with Roxana Dumitrescu and Redouane Silvente) (arxiv preprint)
Can investors curb greenwashing? (with Fanny Cartellier and Olivier David Zerbib) (preprint on SSRN)
Decarbonization of financial markets: a mean-field game approach (with Pierre Lavigne) (arxiv preprint)
Optimal Exploration and Price Paths of a Non-Renewable Commodity with Stochastic Discoveries (with I. Ekeland, W. Schlenker and B. Wright). NBER working paper 29934
Books
Financial modelling with jump processes (with Rama Cont), CRC Press (2003)
Forecasting and Risk Management for Renewable Energy, (with P. Drobinski, M. Mougeot, D. Picard, R. Plougonven, as editor), Springer, 2017
Think-tank reports
Climate-economic scenarios and models: a reading guide for sustainable finance (with Jean-Charles Hourcade, Frédéric Ghersi, Romain Grandjean, Julien Lefèvre and Stéphane Voisin), Institut Louis Bachelier, Opinions & Débats collection, 2021 (download the report)
The Alignment Cookbook: a technical review of methodologies assessing a portfolio's alignment with low-carbon trajectories or temperature goal (lead author of report: Julie Raynaud; other coauthors: Anuschka Hilke, Alice Pauthier, Stéphane Voisin), Instititut Louis Bachelier, 2020. (download the report)
Climate Data for Physical Risk Assessment in Finance (with Alexis Tantet) (download from SSRN) This document is part of "ILB methods" lectures, please click here for the accompanying video (in French)
Selected recent papers
Corporate Debt Value under Transition Scenario Uncertainty (with T. Le Guenedal), Mathematical Finance (accepted) (preprint on SSRN)
Code available: https://github.com/petertankov/bond-pricing
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise (with Roxana Dumitrescu and Marcos Leutscher), Mathematics and Financial Economics (published online) (arxiv preprint)
Code available: https://github.com/marcosle15/LPFP-Common-noise
Green Investment and Asset Stranding Under Transition Scenario Uncertainty (with M. Flora), Energy Economics, Vol. 124, August 2023, 106773 (preprint on SSRN)
Code available: https://github.com/petertankov/green-invest
Importance sampling for McKean-Vlasov SDEs (with G. Dos Reis and G. Smith), Applied Mathematics and Computation (accepted) (arxiv preprint)
Linear Programming Fictitious Play algorithm for Mean Field Games with optimal stopping and absorption (with Roxana Dumitrescu and Marcos Leutscher), ESAIM: Mathematical Modeling and Numerical Analysis, 57 (2), 953 - 990 (2023) (open access) .
Code available: https://github.com/marcosle15/LPFP
Cyclone generation Algorithm including a THERmodynamic module for Integrated National damage Assessment (CATHERINA 1.0) compatible with Coupled Model Intercomparison Project (CMIP) climate data (with T. Le Guenedal and P. Drobinski), Geosci. Model Dev., 15, 8001–8039, 2022. This is a substantially revised and updated version of the preprint Measuring and Pricing Cyclone-Related Physical Risk Under Changing Climate
Code available: https://doi.org/10.5281/zenodo.5645516
Stochastic optimization with dynamic probabilistic forecasts (with L. Tinsi), Annals of Operations Research (published online) (preprint on SSRN)
Climate Impact Investing (with Tiziano De Angelis and Olivier David Zerbib), Management Science (published online) (preprint on SSRN). This paper previously circulated as Environmental Impact Investing
Price formation and optimal trading in intraday electricity markets (with Olivier Féron and Laura Tinsi), Mathematics and Financial Economics 16, 205–237 (2022) (preprint on Arxiv)
Profitability and Revenue Uncertainty of Wind Farms in Western Europe in Present and Future Climate (with B. Alonzo, S. Concettini, A. Creti and P. Drobinski), Energies 15(17), 6446 (2022)
The entry and exit game in the electricity markets: a mean-field game approach (with René Aïd and Roxana Dumitrescu), Journal of Dynamics and Games 8.4 (2021): 331-358. (preprint on Arxiv)
Control and optimal stopping Mean Field Games: a linear programming approach (with Roxana Dumitrescu and Marcos Leutscher), Electronic Journal of Probability 26, 1-49, (2021)
Mean-field games of optimal stopping: a relaxed solution approach (with Géraldine Bouveret and Roxana Dumitrescu), SIAM Journal on Control and Optiimization 58.4 (2020): 1795-1821. (preprint on Arxiv)
Price formation and optimal trading in intraday electricity markets with a major player (with Olivier Féron and Laura Tinsi), 2020. Risks 2020, 8(4), 133
Optimal importance sampling for Lévy processes (with Adrien Genin), Stochastic Processes and their Applications 130.1 (2020): 20-46. (preprint on Arxiv)
Volatility options in rough volatility models (with Blanka Horvath and Antoine Jacquier), SIAM Journal on Financial Mathematics 11.2 (2020): 437-469. (preprint on Arxiv)
Portfolio Alignment to a 2° C Trajectory: Science or Art? (with Julie Raynaud and Stéphane Voisin), Revue d'Economie Financière, 138 (2020): 69-87. (preprint on SSRN)
Environmental Indicators: Conditions for a Relevant Aggregated Measure (with Jean-Guillaume Péladan, Julie Raynaud and Olivier David Zerbib), Revue d'Economie Financière, 138 (2020): 177-191. (preprint on SSRN, in French)
Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height (with Bastien Alonzo, Philippe Drobinski and Riwal Plougonven), International Journal of Forecasting 36.2 (2020): 515-530. (preprint on HAL)
Optimal trading policies for wind energy producer (with Zongjun Tan), SIAM Journal on Financial Mathematics 9.1 (2018): 315-346. (preprint on HAL)
Asymptotic lower bounds for optimal tracking: a linear programming approach (with Jiatu Cai and Mathieu Rosenbaum), The Annals of Applied Probability 27.4 (2017): 2455-2514. (open access pdf)
Optimal management of a wind power plant with storage capacity (with Jérome Collet and Olivier Féron) in: Forecasting and Risk Management for Renewable Energy, P. Drobinski, M. Mougeot, D. Picard, R. Plougonven and P. Tankov (eds.), Springer, 2017 (preprint on HAL)