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Personal profile

Personal information

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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

No ancillary activities

Ancillary activities are updated daily

Fingerprint Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

Correlation Dimension Mathematics
U-statistics Mathematics
Time series Engineering & Materials Science
Implied Volatility Mathematics
Mixing Processes Mathematics
Herbicides Engineering & Materials Science
Least Squares Estimator Mathematics
Statistics Engineering & Materials Science

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 1999 2017

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 JournalArticleAcademicpeer-review

Open Access
Electricity
Random processes
Calibration
Modeling
Stochastic time change

The Role of News in Commodity Markets

Borovkova, S. A., 2016, Handbook of Sentiment Analysis in Finance. Mitra, G. & Yu, X. (eds.). New York: Albury Books, p. Ch. 12

Research output: Chapter in Book / Report / Conference proceedingChapterAcademic

News, volatility and jumps: the case of Natural Gas futures

Borovkova, S. A. & Mahakena, D., 2015, In : Quantitative Finance. 15, 7, p. 1217-1242

Research output: Contribution to JournalArticleAcademicpeer-review

Natural gas
News
Jump
Sentiment
Volatility models

Systemic risk and centralized clearing of OTC derivatives: a network approach

Borovkova, S. A. & Lalaoui El Mouttalibi, H., 2014, Cambridge: Isaac Newton Institute, (Preprint; no. 14070).

Research output: Working paperProfessional

Collaterized Commodity Obligations

Borovkova, S. A., Bunk, H., Gooeij, W. J., Mechev, D. & Veldhuizen, D., 2013, In : Journal of Alternative Investments. 16, 2, p. 9-29

Research output: Contribution to JournalArticleAcademicpeer-review

Activities 2006 2008

  • 2 Editorial work

Energy Risk (Journal)

S.A. Borovkova (Member of editorial board)
2008

Activity: Peer review and Editorial workEditorial workAcademic

Energy Risk (Journal)

S.A. Borovkova (Member of editorial board)
2006

Activity: Peer review and Editorial workEditorial workAcademic