FP

FJ Permana

11 records found

Authored

American basket and spread option pricing by a simple binomial tree
Journal article (2012) - SA Borovkova, FJ Permana, J.A.M. van der Weide

Implied volatility in oil markets
Journal article (2009) - SA Borovkova, FJ Permana

Contributions to the financial mathematics of energy markets
Doctoral thesis (2008) - FJ Permana

Trading commodities: derivatives and risks
Journal article (2007) - SA Borovkova, FJ Permana

A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options
Journal article (2007) - SA Borovkova, FJ Permana, J.A.M. van der Weide

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

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

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

Empirical analysis of analytic approximation approaches for pricing and hedging spread options
Conference paper (2006) - SA Borovkova, FJ Permana, J.A.M. van der Weide

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

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