1. 2006
  2. Cube root fluctuations for the corner growth model associated to the exclusion process

    Balazs, M., Cator, EA. & Seppalainen, T., 2006, In : Electronic Journal of Probability. 11, 42, p. 1094-1132 39 p.

    Research output: Contribution to journalArticleScientific

  3. Dectecting market transitions and energy futures risk management using principal components

    Borovkova, SA., 2006, In : The European Journal of Finance. 12, 6-7, p. 495-512 18 p.

    Research output: Contribution to journalArticleScientific

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

    Borovkova, SA., Permana, FJ. & van der Weide, JAM., 2006, 4th Actuarial and Financial Mathematics Day. Vanmaele, M., De Schepper, A., Dhaene, J., Reynaerts, H., Schoutens, W. & Van Goethem, P. (eds.). Wetteren, Belgie: Universa Press, p. 45-54 10 p.

    Research output: Chapter in Book/Report/Conference proceedingConference contributionScientific

  5. Modelling electricity prices by the potential jump-diffusion

    Borovkova, SA. & Permana, FJ., 2006, Stochastic finance. Shiryaev, AN., Grossinho, MR., Oliveira, PE. & Esquível, ML. (eds.). New York: Springer, p. 239-263 25 p.

    Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review

  6. Optimal weighing schemes

    Bhulai, S., Breuer, T., Cator, EA. & Dekkers, F., 2006, CWI Syllabi. vdn Berg, JB., Bhulai, S., Hulshof, J., Koole, G., Quant, C. & Williams, JF. (eds.). Amsterdam: Centrum Wiskunde & Informatica, p. 85-94 10 p.

    Research output: Chapter in Book/Report/Conference proceedingConference contributionScientific

  7. Seasonal and stochastic effects in commodity forward curves

    Borovkova, SA. & Geman, H., 2006, In : Review of Derivatives Research. 9, p. 167-186 20 p.

    Research output: Contribution to journalArticleScientific

  8. Second class particles and cube root asymptotics for hammersley's process

    Cator, EA. & Groeneboom, P., 2006, In : Annals of Probability. 34, 4, p. 1273-1295 23 p.

    Research output: Contribution to journalArticleScientific

  9. Summa cogitatio

    Groeneboom, P., 2006, Delft: Sieca Repro. 16 p.

    Research output: Book/ReportBookProfessional

  10. The behavior of the npmle of a decreasing density near the boundaries of the support

    Kulikov, VN. & Lopuhaa, HP., 2006, In : Annals of Statistics. 34, 2, p. 742-768 27 p.

    Research output: Contribution to journalArticleScientific

  11. The limit process of the difference between the empirical distribution function and its concave majorant

    Kulikov, VN. & Lopuhaa, HP., 2006, In : Statistics & Probability Letters. 76, p. 1781-1786 6 p.

    Research output: Contribution to journalArticleScientific

  12. 2007
  13. A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options

    Borovkova, SA., Permana, FJ. & van der Weide, JAM., 2007, In : The Journal of Derivatives. 14, 4, p. 8-24 17 p.

    Research output: Contribution to journalArticleScientific

  14. A GLN Approach to Valuation and Hedging of Asian Basket Options

    Borovkova, SA. & Permana, FJ., 2007, The Programme. s.n. (ed.). Yogyakarta - Indonesie: SEAMS - Gadjah Mada University, p. 213-216 4 p.

    Research output: Chapter in Book/Report/Conference proceedingConference contributionScientific

  15. A sampling problem from lithography for chip layout

    Cator, EA., Dijkema, TJ., Hochstenbach, M., Mulckhuyse, W., Peletier, MA., Prokert, G., Weij, W. & Worm, D., 2007, Proceedings of the Fifty-Eighth European Study Group Mathematics with Industry. Bisseling, RH., Dajani, K., Dijkema, TJ., van de Leur, J. & Zegeling, PA. (eds.). Amsterdam: Centrum Wiskunde & Informatica, p. 45-53 9 p.

    Research output: Chapter in Book/Report/Conference proceedingConference contributionScientific

  16. Asian basket options and implied correlations in oil markets

    Borovkova, SA. & Permana, FJ., 2007, Financial Engineering and Applications. Locke, P. (ed.). USA: ACTA Press, p. 85-91 7 p.

    Research output: Chapter in Book/Report/Conference proceedingConference contributionScientific

  17. Estimating the Upper Support Point in Deconvolution

    Aarts, L., Groeneboom, P. & Jongbloed, G., 2007, In : Scandinavian Journal of Statistics: theory and applications. 34, p. 552-568 17 p.

    Research output: Contribution to journalArticleScientific

  18. Multitype shape theorems for first passage percolation models

    Pimentel, LPR., 2007, In : Advances in Applied Probability. 39, p. 53-76 24 p.

    Research output: Contribution to journalArticleScientific

  19. On the Collision between two PNG Droplets

    Coletti, CF. & Pimentel, LPR., 2007, In : Journal of Statistical Physics. 126, 6, p. 1145-1164 20 p.

    Research output: Contribution to journalArticleScientificpeer-review

  20. Trading commodities: derivatives and risks

    Borovkova, SA. & Permana, FJ., 2007, In : Vuurwerk: Relatiemagazine van de Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit Amsterdam. jaarg. 3, 6, p. 10-13 4 p.

    Research output: Contribution to journalArticleProfessional

  21. 2008
  22. Commodity volatility modelling and option pricing with a potential function approach

    Anderluh, JHM. & Borovkova, SA., 2008, In : The European Journal of Finance. 14, 2, p. 91-113 23 p.

    Research output: Contribution to journalArticleScientificpeer-review

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

    Borovkova, SA., Lopuhaa, HP. & Nurani, B., 2008, In : Statistica Neerlandica. 62, 4, p. 482-508 27 p.

    Research output: Contribution to journalArticleScientific

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