S

SA Borovkova

36 records found

Implied volatility in oil markets

Consistency and asymptotic normality of least squares estimators in generalized STAR models

Commodity volatility modelling and option pricing with a potential function approach

Asian basket options and implied correlations in oil markets
Conference paper (2007) - SA Borovkova (author), FJ Permana (author)

A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options

Trading commodities: derivatives and risks

A GLN Approach to Valuation and Hedging of Asian Basket Options
Conference paper (2007) - SA Borovkova (author), FJ Permana (author)

Modelling electricity prices by the potential jump-diffusion
Conference paper (2006) - SA Borovkova (author), FJ Permana (author)

Empirical analysis of analytic approximation approaches for pricing and hedging spread options

Dectecting market transitions and energy futures risk management using principal components
Journal article (2006) - SA Borovkova (author)

Analysis and Modelling of Electricity Futures Prices
Journal article (2006) - SA Borovkova (author), H Geman (author)

Seasonal and stochastic effects in commodity forward curves
Journal article (2006) - SA Borovkova (author), H Geman (author)

Average price options in energy markets
Conference paper (2005) - SA Borovkova (author), FJ Permana (author)

Implied Volatility in Oil Markets
Conference paper (2005) - SA Borovkova (author), FJ Permana (author)

Detecting market transitions and energy futures risk management using principal components
Journal article (2005) - SA Borovkova (author)

Forecasting market transitions from the forward curve dynamics
Book chapter (2004) - SA Borovkova (author)

Modelling electricity prices by the potential jump-diffusion
Conference paper (2004) - SA Borovkova (author), I Rusdi (author)

Commodity volatility modelling and option pricing with a potential function approach

Detecting market transitions: from backwardation to contango and back
Journal article (2003) - SA Borovkova (author)

The forward curve dynamic and market transition forecasts
Conference paper (2003) - SA Borovkova (author)