Details about Szymon Borak

Access statistics for papers by Szymon Borak.

Last updated 2023-03-11. Update your information in the RePEc Author Service.

Short-id: pbo287

Working Papers

2010

1. Models for heavy-tailed asset returns
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2008

2. A semiparametric factor model for electricity forward curve dynamics
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2007

3. Time series modelling with semiparametric factor dynamics
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2006

4. Convenience yields for CO2 emission allowance futures contracts
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2005

5. DSFM fitting of implied volatility surfaces
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
6. FFT based option pricing
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (6)
7. Stable distributions
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (17)

Software Items

2010

1. STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch
   Statistical Software Components, Boston College Department of Economics
2. STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis
   Statistical Software Components, Boston College Department of Economics
3. STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams
   Statistical Software Components, Boston College Department of Economics View citations (1)