Research output per year
Research output per year
Personal profile
Personal information
Interview with Reuters Insider
http://link.reuters.com/caj35q
Office hours regarding thesis/afstuderen:
Fridays 14:00-15:00
Or by appointment per e-mail
Research
Mathematical Finance
Exotic and commodity derivatives
Commodity (and in particular energy) markets
Commodity forward curves
Alternative investments
Emerging markets
News analytics for asset prices
Ancillary activities
- Probability & Partners | Amsterdam | Partner | 2020-01-01 - present
Ancillary activities are updated daily
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
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Assessing the impact of jumps in an option pricing model: A gradient estimation approach
Volk-Makarewicz, W., Borovkova, S. & Heidergott, B., 2022, In: European Journal of Operational Research. 298, 2, p. 740-751Research output: Contribution to Journal › Article › Academic › peer-review
Open Access -
Three-factor commodity forward curve model and its joint P and Q dynamics
Ladokhin, S. & Borovkova, S., Sep 2021, In: Energy Economics. 101, p. 1-15 15 p., 105418.Research output: Contribution to Journal › Article › Academic › peer-review
Open Access -
Conic cva and dva for option portfolios
Van Bakel, S., Borovkova, S. & Michielon, M., 1 Aug 2020, In: International Journal of Theoretical and Applied Finance. 23, 5, 2050032.Research output: Contribution to Journal › Article › Academic › peer-review
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An ensemble of LSTM neural networks for high-frequency stock market classification
Borovkova, S. & Tsiamas, I., 2019, In: Journal of Forecasting. 38, 6, p. 600-619 20 p.Research output: Contribution to Journal › Article › Academic › peer-review
Open Access -
Electricity price modeling with stochastic time change
Borovkova, S. & Schmeck, M. D., 2017, In: Energy Economics. 63, p. 51-65 15 p.Research output: Contribution to Journal › Article › Academic › peer-review
Open Access
Activities
- 1 Editorial work
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Energy Risk (Journal)
S.A. Borovkova (Member of editorial board)
2006 → 2008Activity: Peer review and Editorial work › Editorial work › Academic