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Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management
Ignatieva, Ekaterina - 2012
Persistent link: https://www.econbiz.de/10009548356
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A hybrid model for pricing and hedging of long dated bonds
Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - 2013
Persistent link: https://www.econbiz.de/10010349514
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A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
Ignatieva, Ekaterina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 5, pp. 483-505
Persistent link: https://www.econbiz.de/10010461199
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A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - In: Applied mathematical finance 22 (2015) 3/4, pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
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Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
Ignatieva, Ekaterina; Song, Andrew; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 70 (2016), pp. 286-300
Persistent link: https://www.econbiz.de/10011597296
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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
Gudkov, Nikolay; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Quantitative finance 19 (2019) 3, pp. 501-518
Persistent link: https://www.econbiz.de/10012194671
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Jump activity analysis for affine jump-diffusion models : evidence from the commodity market
Fonseca, José da; Ignatieva, Ekaterina - In: Journal of banking & finance 99 (2019), pp. 45-62
Persistent link: https://www.econbiz.de/10012162294
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Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay; Ignatieva, Ekaterina - In: Energy economics 98 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
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Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models
Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10015101647
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Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Ignatieva, Ekaterina; Wong, Patrick - In: Energy economics 108 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013203083