S

SA Borovkova

36 records found

Implied volatility in oil markets

Commodity volatility modelling and option pricing with a potential function approach

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

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

Trading commodities: derivatives and risks

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

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

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

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

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

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

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

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

Commodity volatility modelling and option pricing with a potential function approach

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

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

Backwardation and contango change indicators for seasonal commodities
Journal article (2003) - SA Borovkova (author)

A potential-field approach to financial time series modelling