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Items where Author, Editor or other role is "Tunaru, Radu"

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Number of items: 59.

A

Argyropoulos, Christos (2017) Robust Forecasting and Backtesting of Value at Risk (VaR) and Expected Shortfall (ES) risk measures. Doctor of Philosophy (PhD) thesis, University of Kent,. (doi:10.22024/UniKent/01.02.66153) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:66153)
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B

Bevilacqua, Mattia (2019) The Information Content of Decomposed Implied Volatility and Skewness Measures. Doctor of Philosophy (PhD) thesis, University of Kent,. (KAR id:75687)
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Bevilacqua, Mattia, Morelli, David, 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. E-ISSN 1873-0639. (doi:10.1016/j.jimonfin.2018.12.003) (KAR id:70980)
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C

Cantia, Catalin, Tunaru, Radu (2016) 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. (doi:10.1016/j.insmatheco.2016.10.004) (KAR id:57915)
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Cantia, Catalin (2016) Lévy Factor Models for Financial Applications. Doctor of Philosophy (PhD) thesis, University of Kent,. (doi:10.22024/UniKent/01.02.54734) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:54734)
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F

Fabozzi, Frank J., Shiller, Robert J., Tunaru, Radu (2019) Evolution of Real Estate Derivatives and Their Pricing. Journal of Derivatives, 26 (3). pp. 7-21. ISSN 1074-1240. (doi:10.3905/jod.2019.26.3.007) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:72861)
Format: PDF

Fabozzi, Frank, Kynigakis, Iason, Panopoulou, Ekaterini, Tunaru, Radu (2019) Detecting Bubbles in the US and UK Real Estate Markets. Journal of Real Estate Finance and Economics, 60 . pp. 469-513. ISSN 0895-5638. (doi:10.1007/s11146-018-9693-9) (KAR id:71012)
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Fabozzi, Frank J., Paletta, Tommaso, 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. (doi:10.1016/j.ejor.2017.05.048) (KAR id:61868)
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Fabozzi, Frank J., Paletta, Tommaso, Stanescu, Silvia, Tunaru, Radu (2016) An Improved Method for Pricing and Hedging Long Dated American Options. European Journal of Operational Research (ABS 4), 254 (2). pp. 656-666. ISSN 0377-2217. (doi:10.1016/j.ejor.2016.04.002) (KAR id:55269)
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Fabozzi, Frank J., Leccadito, Arturo, Tunaru, Radu (2014) Extracting market information from equity options with exponential Lévy processes. Journal of Economic Dynamics and Control, 38 (1). pp. 125-141. ISSN 0165-1889. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:41199)

Fabozzi, Frank J., Stanescu, Silvia, Tunaru, Radu (2013) Commercial Real Estate Risk Management with Derivatives. Journal of Portfolio Management, 39 (5). pp. 111-119. ISSN 0095-4918. (doi:10.3905/jpm.2013.39.5.111) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:35931)

Fabozzi, Frank J., Leccadito, Arturo, Tunaru, Radu (2012) A New Method For Generating Approximation Algorithms For Financial Mathematics Applications. Quantitative Finance, . pp. 1-13. ISSN 1469-7688. (doi:10.1080/14697688.2011.580363) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:28646)

Fabozzi, Frank J., Shiller, Robert, Tunaru, Radu (2012) A Pricing Framework for Real-Estate Derivatives. European Financial Management, 18 (5). pp. 762-789. ISSN 1354-7798. (doi:10.1111/j.1468-036X.2011.00635.x) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:28641)

G

Geman, Helyette, Tunaru, Radu (2013) Commercial Real-Estate Inventory and Theory of Storage. Journal of Futures Markets, 33 (7). pp. 675-694. ISSN 0270-7314. (doi:10.1002/fut.21559) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:29382)

K

Kynigakis, Iason (2019) Essays on Financial Econometrics and Forecasting. Doctor of Philosophy (PhD) thesis, University of Kent,. (KAR id:75898)
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L

Leccadito, Arturo, Paletta, Tommaso, Tunaru, Radu (2016) Pricing and Hedging Basket Options with Exact Moment Matching. Insurance: Mathematics and Economics, 69 . pp. 59-69. ISSN 0167-6687. (doi:10.1016/j.insmatheco.2016.03.013) (KAR id:55064)
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Leccadito, Arturo, Tunaru, Radu, Urga, Giovanni (2015) Trading strategies with implied forward credit default swap spreads. Journal of Banking and Finance, 58 . pp. 361-375. ISSN 0378-4266. E-ISSN 1872-6372. (doi:10.1016/j.jbankfin.2015.04.018) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:50883)

Leccadito, Arturo, Toscano, Pietro, Tunaru, Radu (2012) Hermite Binomial Trees: A Novel Technique for Derivatives Pricing. International Journal of Theoretical and Applied Finance, 15 (8). pp. 1-36. ISSN 0219-0249. (doi:10.1142/S0219024912500586) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:33016)

R

Riedle, Thorsten (2018) Empirical Aspects of Financial Stability. Doctor of Philosophy (PhD) thesis, University of Kent,. (doi:10.22024/UniKent/01.02.66808) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:66808)
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S

Souropanis, Ioannis (2019) Essays on Exchange Rate Forecasting. Doctor of Philosophy (PhD) thesis, University of Kent,. (KAR id:73470)
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Stanescu, Silvia, Tunaru, Radu, Candradewi, Made Reina (2014) Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations. International Review of Financial Analysis, 34 . pp. 177-188. ISSN 1057-5219. (doi:10.1016/j.irfa.2014.05.012) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:42024)

Stanescu, Silvia, Tunaru, Radu (2013) Investment strategies with VIX and VSTOXX. In: European Fiancial Management Association, 26 - 29 June 2013, Reading, United Kingdom. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:40822)

Stanescu, Silvia, Tunaru, Radu (2013) Analysing the difference between Forward and Future prices for the UK Commercial Property Market. In: 30th International Conference for the French Finance Association, 28 - 31 May 2013, Lyon, France. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:40823)

Stanescu, Silvia and Tunaru, Radu (2013) Quantifying the uncertainty in VaR and expected shortfall estimates. In: Bell, Adrian R. and Brooks, Chris and Prokopczuk, Marcel, eds. Handbook of Research Methods and Applications in Empirical Finance. Edward Elgar, pp. 357-372. ISBN 978-0-85793-608-0. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:33173)

Stanescu, Silvia, Tunaru, Radu (2013) Managing Commercial Real Estate Risk after the Subprime Crisis. In: PRMIA Webinar. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:33180)

Stanescu, Silvia and Tunaru, Radu and Candradewi, Made Reina (2012) Analysing the Difference between Forward and Futures Prices for the UK Commercial Property Market. Working paper. University of Kent 269. (doi:269) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:33176)

Stanescu, Silvia and Tunaru, Radu (2012) Investment Strategies with VIX and VSTOXX. Working paper. University of Kent 271. (doi:271) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:33177)

Stanescu, Silvia, Tunaru, Radu, Candradewi, Made Reina (2012) Analysing the Difference between Forward and Futures Prices for the UK Commercial Property Market. In: European Financial Management Association (EFMA) 2012 Conference, 27-30 Jun 2012, Barcelona, Spain. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:33178)

Stanescu, Silvia, Tunaru, Radu, Candradewi, Made Reina (2012) Analysing the Difference between Forward and Futures Prices for the UK Commercial Property Market. In: World Finance Conference, 2-4 Jul 2012, Rio de Janeiro, Brazil. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:33179)

Stanescu, Silvia, Tunaru, Radu, Candradewi, Made Reina (2011) Analysing The Difference Between Forward And Futures Prices For The UK Commercial Property Market. In: University of Kent Finance Seminar, University of Kent, Canterbury. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:28684)

Stefanescu, Catalina, Tunaru, Radu, 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. (doi:10.1016/j.jempfin.2008.10.006) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:26118)

T

Jokivuolle, Esa and Tunaru, Radu, eds. (2017) Preparing for the Next Financial Crisis: Policies, Tools and Models. Cambridge University Press, 188 pp. E-ISBN 978-1-316-88456-0. (doi:10.1017/9781316884560) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:67223)

Tunaru, Radu, Zheng, Teng (2017) Parameter Estimation Risk in Asset Pricing and Risk Management: A Bayesian Approach. International Review of Financial Analysis, 53 . pp. 80-93. ISSN 1057-5219. (doi:10.1016/j.irfa.2017.08.004) (KAR id:62961)
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Tunaru, R.S. (2017) Dividend Derivatives. Quantitative Finance, 18 (1). pp. 63-81. ISSN 1469-7688. E-ISSN 1469-7696. (doi:10.1080/14697688.2017.1322218) (KAR id:61555)
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Tunaru, Radu (2017) Real-Estate Derivatives: From Econometrics to Financial Engineering. Oxford University Press, Oxford, 288 pp. ISBN 978-0-19-874292-0. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:61618)

Tunaru, Radu, Voukelatos, Nikolaos (2017) Insurance Against Volatility Risk or Negative Skewness as Reflected by Option Returns in Emerging European Markets. In: 2017 Annual Meetings of the European Financial Management Association, June 28- July 1, 2017, Athens. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:62171)

Tunaru, Radu, Fabozzi, Frank J. (2017) Commercial Real Estate Derivatives: The End or the Beginning? The Journal of Portfolio Management, 43 (6). pp. 179-186. ISSN 0095-4918. (doi:10.3905/jpm.2017.43.6.179) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:63806)
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Tunaru, Radu (2016) Entropy Concepts Applied to Option Pricing. Annals of the University of Craiova, Mathematics and Computer Science Series, 43 (1). pp. 108-117. ISSN 1223-6934. E-ISSN 2246-9958. (KAR id:57952)
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Tunaru, Radu (2015) Model Risk in Financial Markets: From Financial Engineering to Risk Management. World Scientific, 350 pp. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:50302)

Tunaru, Radu (2010) Constructing discrete approximations algorithms for financial calculus from weak convergence results. In: Ruzhansky, Michael and Wirth, Jens, eds. Progress In Analysis And Its Applications - Proceedings of the 7th International ISAAC Congress. World Scientific, pp. 445-452. ISBN 978-981-4313-16-2. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25095)

Tunaru, Radu, Fabozzi, Frank J., Shiller, Robert (2010) Property Derivatives for Managing European Real-Estate Risk. European Financial Management, 16 (1). pp. 8-26. ISSN 1354-7798. (doi:10.1111/j.1468-036X.2009.00528.x) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25096)

Tunaru, Radu (2010) Discrete Algorithms for Multivariate Financial Calculus. In: Crisan, Dan, ed. Stochastic Analysis. Springer, pp. 243-266. ISBN 978-3-642-15357-0. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:28647)

Tunaru, Radu, Viney, Howard P. (2010) Valuations of Soccer Players from Statistical Performance Data. Journal of Quantitative Analysis in Sports, 6 (2). ISSN 1559-0410. (doi:10.2202/1559-0410.1238) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25129)

Tunaru, Radu, Fabozzi, Frank J., Shiller, Robert (2009) Hedging Real Estate Risk. Journal of Portfolio Management, 35 (5). pp. 92-103. ISSN 0095-4918. (doi:10.3905/JPM.2009.35.5.092) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25097)

Tunaru, Radu, Fabozzi, Frank J., Albota, George (2009) Estimating Risk-Neutral Density with Parametric Models in Interest Rate Markets. Quantitative Finance, 9 (1). pp. 55-70. ISSN 1469-7688. (doi:10.1080/14697680802272045) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25099)

Tunaru, Radu and George, Juby (2008) Risk Management in Freight Markets with Forwards and Options Contracts. In: Fabozzi, Frank J., ed. Handbook of Finance: Financial Markets and Instruments. John Wiley & Sons, pp. 129-136. ISBN 978-0-470-07814-3. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25132)

Tunaru, Radu, Fabozzi, Frank J., Masood, Omar (2007) Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns. European Journal of Finance, 13 (3). pp. 269-282. ISSN 1351-847X. (doi:10.1080/13518470600813581) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25101)

Tunaru, Radu, Fabozzi, Frank J. (2007) On Some Inconsistencies in Modelling Credit Portfolio Products. International Journal of Theoretical and Applied Finance, 10 (8). pp. 1305-1321. ISSN 0219-0249. (doi:10.1142/S0219024907004664) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25100)

Tunaru, Radu, Fabozzi, Frank J., Wu, Tony (2006) Chinese Equity Market and the Efficient Frontier. Applied Financial Economics Letters, 2 (2). pp. 87-94. (doi:10.1080/17446540500426755) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25102)

Tunaru, Radu, Fabozzi, Frank J. (2006) On Risk Management Problems Related to a Coherence Property. Quantitative Finance, 6 (1). pp. 75-81. ISSN 1469-7688. (doi:10.1080/14697680500467889) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25104)

Tunaru, Radu, Giannopoulos, Kostas (2005) Coherent Risk Measures Under Filtered Historical Simulation. Journal of Banking and Finance, 29 (4). pp. 979-996. ISSN 0378-4266. (doi:10.1016/j.jbankfin.2004.08.009) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25106)

Tunaru, Radu, Clark, Ephraim, Viney, Howard P. (2005) An Option Pricing Framework for Valuation of Football Players. Review of Financial Economics, 14 (3-4). pp. 281-295. (doi:10.1016/j.rfe.2004.11.002) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25107)

Tunaru, Radu, Giannopoulos, Kostas, Clark, Ephraim (2005) Portfolio Selection with VaR Constraints. Computational Management Science, 2 (2). pp. 123-138. ISSN 1619-697X. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25105)

Tunaru, Radu, Fabozzi, Frank J., Wu, Tony (2004) Modeling Volatility for the Chinese Equity Markets. Annals of Economics and Finance, 5 . pp. 79-92. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25108)

Tunaru, Radu and Eales, Brian A. (2004) Pricing Options on Interest Rate Instruments. In: Fabozzi, Frank J. and Choudhry, Moorad, eds. The Handbook of European Fixed Income Securities. John Wiley & Sons, pp. 569-600. ISBN 978-0-471-43039-1. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:26117)

Tunaru, Radu (2001) Models of Association Versus Casual Models for Contingency Tables. Journal of Royal Statistical Society, Series D, 50 (3). pp. 257-269. ISSN 0039-0526. (doi:10.1111/1467-9884.00276) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25119)

V

Vioto, Davide (2019) Modeling and Testing the Evolution of Systemic Risk and Herding Behavior in Financial Markets. Doctor of Philosophy (PhD) thesis, University of Kent,. (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:80377)
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Valchev, Stoyan, Tunaru, Radu, Fabozzi, Frank J. (2015) Multiperiod conditional valuation of barrier options with incomplete information. Quantitative Finance, 15 (7). pp. 1093-1102. ISSN 1469-7688. E-ISSN 1469-7696. (doi:10.1080/14697688.2014.945472) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:50882)

Z

ZHENG, TENG (2017) Model Risk in Financial Modelling. Doctor of Philosophy (PhD) thesis, University of Kent,. (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:66707)
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This list was generated on Sun Aug 14 19:15:43 2022 BST.