Items for Tunaru, Radu

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Number of items: 12.

Article

Farkas, Walter, Fringuellotti, Fulvia and Tunaru, Radu (2020) A cost-benefit analysis of capital requirements adjusted for model risk. Journal of Corporate Finance. ISSN 0929-1199 (Accepted)

Fabozzi, Frank J, Shiller, Robert J and Tunaru, Radu (2020) A 30-year perspective on property derivatives: what can be done to tame property price risk? Journal of Economic Perspectives. ISSN 0895-3309 (Accepted)

Bevilacqua, Mattia, Morelli, David and Tunaru, Radu (2019) The determinants of the model-free positive and negative volatilities. Journal of International Money and Finance, 92. pp. 1-24. ISSN 0261-5606

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

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

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

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

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

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

Book

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

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

Edited Book

Jokivuolle, Esa and Tunaru, Radu, eds. (2017) Preparing for the next financial crisis: policies, tools and models. Cambridge University Press, Cambridge. ISBN 9781107185593

This list was generated on Sat Oct 24 23:01:48 2020 BST.