Peter Tankov
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View article: Propagation of carbon price shocks through the value chain: the mean-field game of defaults
Propagation of carbon price shocks through the value chain: the mean-field game of defaults Open
We introduce a new mean-field game framework to analyze the impact of carbon pricing in a multi-sector economy with defaultable firms. Each sector produces a homogeneous good, with its price endogenously determined through market clearing.…
View article: Climate Finance Bench
Climate Finance Bench Open
Climate Finance Bench introduces an open benchmark that targets question-answering over corporate climate disclosures using Large Language Models. We curate 33 recent sustainability reports in English drawn from companies across all 11 GIC…
View article: A model of strategic sustainable investment
A model of strategic sustainable investment Open
We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time hor…
View article: Price impact and long-term profitability of energy storage
Price impact and long-term profitability of energy storage Open
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating…
View article: Optimal stopping and divestment timing under scenario ambiguity and learning
Optimal stopping and divestment timing under scenario ambiguity and learning Open
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic agent whose future revenues depend on the realization of a sc…
View article: Corporate debt value under transition scenario uncertainty
Corporate debt value under transition scenario uncertainty Open
We develop a structural model for pricing a defaultable bond issued by a company subject to climate transition risk. We assume that the magnitude of the transition risk impacts depends on a transition scenario, which is initially unknown b…
View article: A mean-field game model of electricity market dynamics
A mean-field game model of electricity market dynamics Open
We develop a model for the long-term dynamics of electricity market, based on mean-field games of optimal stopping. Our paper extends the recent contribution [Aïd, René, Roxana Dumitrescu, and Peter Tankov, ``The entry and exit game in the…
View article: Importance sampling for McKean-Vlasov SDEs
Importance sampling for McKean-Vlasov SDEs Open
This paper deals with Monte-Carlo (MC) methods for evaluating expectations of functionals of solutions to McKean-Vlasov Stochastic Differential Equations (MV-SDE) including those with super-linearly growing drifts. Underpinned by an intera…
View article: Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption
Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption Open
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 absorption. This algorithm allows to approximate the mean fie…
View article: Decarbonization of financial markets: a mean-field game approach
Decarbonization of financial markets: a mean-field game approach Open
We build a model of a financial market where a large number of firms determine their dynamic emission strategies under climate transition risk in the presence of both green-minded and neutral investors. The firms aim to achieve a trade-off…
View article: Cyclone generation Algorithm including a THERmodynamic module for Integrated National damage Assessment (CATHERINA 1.0) compatible with Coupled Model Intercomparison Project (CMIP) climate data
Cyclone generation Algorithm including a THERmodynamic module for Integrated National damage Assessment (CATHERINA 1.0) compatible with Coupled Model Intercomparison Project (CMIP) climate data Open
Tropical cyclones are responsible for a large share of global damage resulting from natural disasters, and estimating cyclone-related damage at a national level is a challenge attracting growing interest in the context of climate change. T…
View article: Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise Open
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 this end, we develop a theory of optimal stopping mean-field …
View article: Profitability and Revenue Uncertainty of Wind Farms in Western Europe in Present and Future Climate
Profitability and Revenue Uncertainty of Wind Farms in Western Europe in Present and Future Climate Open
Investments into wind power generation may be hampered by the uncertainty of future revenues caused by the natural variability of the wind resource, the impact of climate change on wind potential and future electricity prices, and the regu…
View article: Comment on gmd-2021-384
Comment on gmd-2021-384 Open
Tropical cyclones are responsible for a large share of global damage resulting from natural disasters and estimating cyclone-related damage at a national level is a challenge attracting growing interest in the context of climate change. Th…
View article: Comment on gmd-2021-384
Comment on gmd-2021-384 Open
Tropical cyclones are responsible for a large share of global damage resulting from natural disasters and estimating cyclone-related damage at a national level is a challenge attracting growing interest in the context of climate change. Th…
View article: How Skillful Are the European Subseasonal Predictions of Wind Speed and Surface Temperature?
How Skillful Are the European Subseasonal Predictions of Wind Speed and Surface Temperature? Open
Subseasonal forecasts of 100-m wind speed and surface temperature, if skillful, can be beneficial to the energy sector as they can be used to plan asset availability and maintenance, assess risks of extreme events, and optimally trade powe…
View article: Improving the skill of sub-seasonal forecasts of wind speed and surface temperature using information from large-scale fields: a proof of concept
Improving the skill of sub-seasonal forecasts of wind speed and surface temperature using information from large-scale fields: a proof of concept Open
<p>With the continuously increasing share of renewables in the electricity mix, the sub-seasonal predictions of 100 m wind speed and surface temperature, if skillful, can provide significant socio-economic value to the energy sector.…
View article: Optimal Exploration of an Exhaustible Resource with Stochastic Discoveries
Optimal Exploration of an Exhaustible Resource with Stochastic Discoveries Open
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 the first time completely solve such a model using impulse co…
View article: Linear Programming Fictitious Play algorithm for Mean Field Games with optimal stopping and absorption
Linear Programming Fictitious Play algorithm for Mean Field Games with optimal stopping and absorption Open
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 absorption. This algorithm allows to approximate the mean fie…
View article: Cyclone generation Algorithm including a THERmodynamic module for Integrated National damage Assessment (CATHERINA 1.0) compatible with CMIP climate data
Cyclone generation Algorithm including a THERmodynamic module for Integrated National damage Assessment (CATHERINA 1.0) compatible with CMIP climate data Open
Tropical cyclones are responsible for a large share of global damage resulting from natural disasters and estimating cyclone-related damage at a national level is a challenge attracting growing interest in the context of climate change. Th…