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Robert Huitema - Publications

Assistent Prof. W. Farkas



Publications Supervised theses

Journal Articles (1)

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
In: Journal of Banking and Finance, Vol. 77, p. 249-268, April 2017.


Book Chapters (1)

The Impact of Cointegration on Commodity Spread Options
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
Editor(s): Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
In: Innovations in Derivatives Markets, Springer International Publishing, Cham, p. 421-435, 2016.


Dissertations (1)

Essays in Quantitative Finance
Robert Huitema
Supervisor(s): Erich Walter Farkas, Halil Mete Soner
University of Zurich, 2014.


Working Papers (1)

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
SSRN, No. 2679218, 2015.


Master Theses (1)

A market model for stochastic implied volatility and option risk premiums
Robert Huitema
Supervisor(s): B. A. S. Peeters, A. Bagchi
University of Twente, 2008.


Other research output (3)