A

Alexander, Carol, Kaeck, Andreas and Sumawong, Anannit (2019) A parsimonious parametric model for generating margin requirements for futures. European Journal of Operational Research, 273 (1). pp. 31-43. ISSN 0377-2217

C

Cantia, Catalin and Tunaru, Radu (2017) A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches. Insurance: Mathematics and Economics, 72. pp. 21-35. ISSN 0167-6687

Chen, Ding, Guo, Biao and Zhou, Guofu (2022) Firm fundamentals and the cross-section of implied volatility shapes. Journal of Financial Markets. pp. 1-22. ISSN 1386-4181

D

Dubinsky, Andrew, Johannes, Michael, Kaeck, Andreas and Seeger, Norman J (2019) Option pricing of earnings announcement risks. Review of Financial Studies, 32 (2). pp. 646-687. ISSN 0893-9454

F

Fabozzi, Frank J, Paletta, Tommaso, Stanescu, Silvia and Tunaru, Radu (2016) An improved method for pricing and hedging long dated American options. European Journal of Operational Research, 254 (2). pp. 656-666. ISSN 0377-2217

Fabozzi, Frank J, Paletta, Tommaso and Tunaru, Radu (2017) An improved least squares Monte Carlo valuation method based on heteroscedasticity. European Journal of Operational Research, 263 (2). pp. 698-706. ISSN 0377-2217

Fabozzi, Frank J, Shiller, Robert J and Tunaru, Radu S (2012) A pricing framework for real-estate derivatives. European Financial Management, 18 (5). pp. 762-789. ISSN 1354-7798

K

Kaeck, Andreas (2018) Variance-of-variance risk premium. Review of Finance, 22 (4). pp. 1549-1579. ISSN 1572-3097

Kaeck, Andreas, Rodrigues, Paulo and Seeger, Norman (2017) Equity index variance: evidence from flexible parametric jump–diffusion models. Journal of Banking and Finance, 83. pp. 85-103. ISSN 0378-4266

Kaeck, Andreas, Rodrigues, Paulo and Seeger, Norman (2018) Model complexity and out-of-sample performance: evidence from S&P 500 index returns. Journal of Economic Dynamics and Control, 90. pp. 1-29. ISSN 0165-1889

Kaeck, Andreas and Seeger, Norman J (2019) VIX derivatives, hedging and vol-of-vol risk. European Journal of Operational Research, 283 (2). pp. 767-782. ISSN 0377-2217

Khazaei, Javad, Coulon, Michael and Powell, Warren B. (2017) ADAPT: a price-stabilizing compliance policy for renewable energy certificates: the case of SREC markets. Operations Research, 65 (6). pp. 1429-1445. ISSN 0030-364X

L

Leccadito, Arturo, Tunaru, Radu S and Urga, Giovanni (2015) Trading strategies with implied forward credit default swap spreads. Journal of Banking & Finance, 58. pp. 361-375. ISSN 0378-4266

P

Papavasileiou, Emmanouil F and Tzouvanas, Panagiotis (2021) Tourism carbon Kuznets-curve hypothesis: a systematic literature review and a paradigm shift to a corporation-performance perspective. Journal of Travel Research, 60 (4). pp. 896-911. ISSN 0047-2875

S

Stefanescu, Catalina, Tunaru, Radu and Turnbull, Stuart (2009) The credit rating process and estimation of transition probabilities: a Bayesian approach. Journal of Empirical Finance, 16 (2). pp. 216-234. ISSN 0927-5398

Stua, Michele and Coulon, Michael (2017) The Mitigation Alliance target and its distribution. In: Stua, Michele (ed.) From the Paris Agreement to a low-carbon Bretton Woods: rationale for the establishment of a mitigation alliance. Springer, Cham, pp. 69-84. ISBN 9783319546995

Su, Haozhe, Chen, Ding and Newton, David (2017) Option pricing via QUAD: from Black–Scholes–Merton to Heston with jumps. Journal of Derivatives, 24 (3). pp. 9-27. ISSN 1074-1240

T

Tunaru, Radu (2015) Model risk in financial markets: from financial engineering to risk management. World Scientific Publishing Company. ISBN 9789814663403

Tunaru, Radu S (2017) Real-Estate derivatives: from econometrics to financial engineering. Oxford University Press, Oxford. ISBN 9780198742920