User profiles for F. J. Permana
Ferry Jaya PermanaDepartment of Mathematics, Universitas Katolik Parahyangan Verified email at unpar.ac.id Cited by 288 |
Modelling electricity prices by the potential jump-diffusion
S Borovkova, FJ Permana - Stochastic Finance, 2006 - Springer
In liberalized electricity markets prices exhibit features, such as price spikes, rarely seen in
other commodity markets. Models for electricity spot price, such as mean-reverting jump-…
other commodity markets. Models for electricity spot price, such as mean-reverting jump-…
[PDF][PDF] A closed form approach to the valuation and hedging of basket and spread options
S Borovkova, FJ Permana, H Weide - Journal of Derivatives, 2007 - Citeseer
We develop a new approach to valuing and hedging basket and spread options. We consider
baskets of assets with potentially negative portfolio weights (spread options are a subclass …
baskets of assets with potentially negative portfolio weights (spread options are a subclass …
Implied volatility in oil markets
S Borovkova, FJ Permana - Computational Statistics & Data Analysis, 2009 - Elsevier
Modelling the implied volatility surface as a function of an option’s strike price and maturity
is a subject of extensive research in financial markets. The implied volatility in commodity …
is a subject of extensive research in financial markets. The implied volatility in commodity …
[PDF][PDF] American basket and spread option pricing by a simple binomial tree
SA Borovkova, FJ Permana, JAM Van Der Weide - Journal of Derivatives, 2012 - Citeseer
In this article we address the problem of valuing and hedging American options on baskets
and spreads, ie, on portfolios consisting of both long and short positions. We adopt the main …
and spreads, ie, on portfolios consisting of both long and short positions. We adopt the main …
[HTML][HTML] Valuation of european and american options under variance gamma process
FJ Permana - Journal of Applied Mathematics and Physics, 2014 - scirp.org
Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics.
Option price models such as the Black-Sholes and the binomial tree models rely on the …
Option price models such as the Black-Sholes and the binomial tree models rely on the …
Modeling electricity prices by potential Lévy diffusions
S Borovkova, FJ Permana… - The Journal of Energy …, 2009 - search.proquest.com
Electricity prices in liberalized electricity markets exhibit extreme price spikes, not seen in
other commodity markets. Existing models for electricity prices, such as mean-reverting jump …
other commodity markets. Existing models for electricity prices, such as mean-reverting jump …
[PDF][PDF] Asian basket options and implied correlations in energy markets
S Borovkova, FJ Permana - preprint, 2010 - Citeseer
We address the problem of valuation and hedging of Asian basket and spread optionsderivatives
common in energy markets. We extend the Generalized LogNormal approach, …
common in energy markets. We extend the Generalized LogNormal approach, …
Asian basket options and implied correlations in oil markets
S Borovkova, FJ Permana - Proceedings of the Fourth IASTED …, 2007 - dl.acm.org
We investigate the problem of valuation and hedging of Asian basket options. We extend the
GLN (Generalized LogNormal) approach, introduced in Borovkova et al. [3], to Asian basket …
GLN (Generalized LogNormal) approach, introduced in Borovkova et al. [3], to Asian basket …
Application of the linear hazard transform to model survival probability based on the Indonesian mortality table
FJ Permana, I Sugiarto, Y Johan - AIP Conference Proceedings, 2023 - pubs.aip.org
Life insurance companies use the mortality table to calculate actuarial present values of
benefits and life annuities. In Indonesia, life insurance companies widely use the Indonesia …
benefits and life annuities. In Indonesia, life insurance companies widely use the Indonesia …
Palm oil price model of Indonesia market
Time series models, ie AR, ARMA or ARIMA model, are widely used to model the
commodities prices. Such models perform well in term of the price forecast. Another approach, …
commodities prices. Such models perform well in term of the price forecast. Another approach, …