Publications in peer-reviewed or refereed journals
Kufakunesu R, Benth FE, Groth M. Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model. Applied Mathematical Finance 14(4)(2007), 347-363
Benth FE, Kufakunesu R. Pricing of exotic energy derivatives based on arithmetic spot models. International Journal of Theoretical and Applied Finance 12(4)(2009), 491-506 .
Kufakunesu R. The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE approach. Journal of Quastiones Mathematicae 34(2011), 147-174.
Books and/or chapters in books Contributed on Chapter 9 pg., 254-262.Book Title : Stochastic Modelling of Electricity and Related Markets. Advanced Series on Statistical Science and Applied Probability, Vol 11, World Scientific Publishing, 2008.Authors : Fred Espen Benth, Jurate Saltyte Benth and Steen Koekebakker.
Participation in conferences, workshops and short courses :
Presentations: SAMS conference, University of Pretoria (2010) : A note on variance reduction for Monte-Carlo simulation for the Schwartz stochastic volatility model.
SAMS conference, University of Johannesburg (2009): A finite difference method for valuing variance swaps in a Barndorff- Nielsen and Shephard (BNS) volatility market.
SAMS conference UKZN (2008): Exotic Option Pricing based on Arithmetic Model. SAMSA conference, (2004 University of Limpopo, South Africa. Indifference pricing and a partial Differential Equation (PDE) representation of the Minimal Entropy Martingale Measure for a Schwartz Model with Stochastic Volatility.
4th International Conference of Mathematics in Finance (2010) :Organiser and Chairperson. A note on variance reduction for Monte-Carlo simulation for the Schwartz stochastic volatility model( to appear in the Proceedings)
SAMSA conference: University of Namibia, Namibia (2007): Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model
SAMSA conference: University of Botswana, Botswana (2006) : Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model.
Symposium on the Mathematical Finance and Mathematics for Industry, (2005): University of Malawi, Malawi. A Partial Differential Equation (PDE) representation of the Minimal Entropy Martingale Measure in Stochastic Volatility Markets.
Symposium on the Mathematical Finance and Mathematics for Industry, (2003): Fairmount Hotel, Livingstone, Zambia. Option Pricing on Commodities.