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Number of items: 23.
Article
| Fabozzi, Frank J. and Paletta, Tommaso and Stanescu, Silvia and 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:https://doi.org/10.1016/j.ejor.2016.04.002) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) |
![[img]](https://kar.kent.ac.uk/style/images/fileicons/application_pdf.png)
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| Stanescu, Silvia and Tunaru, Radu and 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:https://doi.org/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) |
| Alexander, Carol and Lazar, Emese and Stanescu, Silvia (2013) Forecasting VaR using Analytic Higher Moments for GARCH Processes. International Review of Financial Analysis, 30 . pp. 36-45. ISSN 1057-5219. (doi:https://doi.org/10.1016/j.irfa.2013.05.006) (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) |
| Fabozzi, Frank J. and Stanescu, Silvia and Tunaru, Radu (2013) Commercial Real Estate Risk Management with Derivatives. Journal of Portfolio Management, 39 (5). pp. 111-119. ISSN 0095-4918. (doi:https://doi.org/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) |
Book section
| 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) |
Monograph
| 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) |
| 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) |
| Alexander, Carol and Lazar, Emese and Stanescu, Silvia (2011) Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL. Working paper. ICMA Centre Discussion Papers in Finance, Reading (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) |
| Alexander, Carol and Lazar, Emese and Stanescu, Silvia (2011) Analytic Moments for GARCH Processes. Working paper. ICMA Centre Discussion Papers in Finance, Reading https://doi.org/10.2139/ssrn.1702623. (doi:https://doi.org/10.2139/ssrn.1702623) (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) |
Conference or workshop item
| Stanescu, Silvia (2013) On the forward futures price difference for the UK Commercial property market. In: Qantitive methods in Finance, 17 - 20 December 2013, Sydney, Australia. (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) |
| Stanescu, Silvia and 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) |
| Stanescu, Silvia and 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) |
| Stanescu, Silvia and 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) |
| Alexander, Carol and Lazar, Emese and Stanescu, Silvia (2012) Analytic Moments For GARCH Processes. In: Bachelier Finance Society 7th World Congress – Sydney, Australia. (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) |
| Stanescu, Silvia and Tunaru, Radu and 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) |
| Stanescu, Silvia and Tunaru, Radu and 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) |
| Stanescu, Silvia and Tunaru, Radu and 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) |
| Alexander, Carol and Lazar, Emese and Stanescu, Silvia (2011) Analytic Approximations To GARCH Aggregated Returns Distributions With Applications To VaR and ETL. In: Proceedings of the 18th Forecasting Financial Markets Conference, 25th, 26th, 27th May 2011, Marseille, France. (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) |
| Stanescu, Silvia and Alexander, Carol and Lazar, Emese (2009) Analytic Moments For Conditional And Aggregated GARCH Variances And Returns. In: Society For Financial Econometrics (SOFIE) 2nd Annual Conference, 10th, 11th, 12th June 2009, Geneva, Switzerland. (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) |
| Stanescu, Silvia and Alexander, Carol and Lazar, Emese (2009) Analytic Moments For Conditional And Aggregated GARCH Variances And Returns. In: Society for Nonlinear Dynamics and Econometrics (SNDE) 17th Annual Symposium, 16th, 17th April 2009, Atlanta, USA. (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) |
| Stanescu, Silvia and Alexander, Carol and Lazar, Emese (2008) Analytic Moments For Conditional And Aggregated GARCH Variances And Returns. In: Forecasting Financial Markets 15th Conference, 21st, 22nd, 23rd May, 2008, Aix-en-Provence, 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) |
| Stanescu, Silvia and Alexander, Carol and Lazar, Emese (2008) Analytic Approximations To VaR In a GARCH Framework. In: IX Workshop on Quantitative Finance, 24th - 25th January 2008, Rome, Italy. (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) |
Thesis
| Paletta, Tommaso (2015) Computational Methods for Pricing and Hedging Derivatives. Doctor of Philosophy (PhD) thesis, University of Kent,. (Full text available) |
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