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Number of items at this level: 18.

Article

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

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

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

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

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

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

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

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

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

Book Section

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

Book

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

This list was generated on Tue Oct 26 20:21:22 2021 BST.