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Number of items: 57.

Article

Bevilacqua, Mattia and Morelli, David A. 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. (doi:https://doi.org/10.1016/j.jimonfin.2018.12.003) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

Fabozzi, Frank J. and Shiller, Robert J. and Tunaru, Radu (2019) Evolution of Real Estate Derivatives and Their Pricing. Journal of Derivatives, 26 (3). pp. 7-21. ISSN 1074-1240. (doi:https://doi.org/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)

Fabozzi, Frank and Kynigakis, Iason and Panopoulou, Ekaterini and Tunaru, Radu (2019) Detecting Bubbles in the US and UK Real Estate Markets. Journal of Real Estate Finance and Economics, . ISSN 0895-5638. (doi:https://doi.org/10.1007/s11146-018-9693-9) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

Tunaru, Radu (2018) Dividend Derivatives. Quantitative Finance, 18 (1). pp. 63-81. ISSN 1469-7688. E-ISSN 1469-7696. (doi:https://doi.org/10.1080/14697688.2017.1322218) (Full text available)

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Tunaru, Radu and 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:https://doi.org/10.1016/j.irfa.2017.08.004) (Full text available)

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Fabozzi, Frank J. and 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. (doi:https://doi.org/10.1016/j.ejor.2017.05.048) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

Tunaru, Radu and 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:https://doi.org/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)

Cantia, Catalin and 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:https://doi.org/10.1016/j.insmatheco.2016.10.004) (Full text available)

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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. (Full text available)

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Leccadito, Arturo and Paletta, Tommaso and Tunaru, Radu (2016) Pricing and Hedging Basket Options with Exact Moment Matching. Insurance: Mathematics and Economics, 69 . pp. 59-69. ISSN 0167-6687. (doi:https://doi.org/10.1016/j.insmatheco.2016.03.013) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

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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)

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Valchev, Stoyan and Tunaru, Radu and Fabozzi, Frank J. (2015) Multiperiod conditional valuation of barrier options with incomplete information. Quantitative Finance, . pp. 1093-1102. ISSN 1469-7688. (doi:https://doi.org/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)

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

Fabozzi, Frank J. and Leccadito, Arturo and 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)

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)

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)

Geman, Helyette and Tunaru, Radu (2013) Commercial Real-Estate Inventory and Theory of Storage. Journal of Futures Markets, 33 (7). pp. 675-694. ISSN 0270-7314. (doi:https://doi.org/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)

Leccadito, Arturo and Toscano, Pietro and 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:https://doi.org/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)

Fabozzi, Frank J. and Leccadito, Arturo and Tunaru, Radu (2012) A New Method For Generating Approximation Algorithms For Financial Mathematics Applications. Quantitative Finance, . pp. 1-13. ISSN 1469-7688. (doi:https://doi.org/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)

Fabozzi, Frank J. and Shiller, Robert and Tunaru, Radu (2012) A Pricing Framework for Real-Estate Derivatives. European Financial Management, 18 (5). pp. 762-789. ISSN 1354-7798. (doi:https://doi.org/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)

Tunaru, Radu and Fabozzi, Frank J. and Shiller, Robert (2010) Property Derivatives for Managing European Real-Estate Risk. European Financial Management, 16 (1). pp. 8-26. ISSN 1354-7798. (doi:https://doi.org/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)

Tunaru, Radu and Viney, Howard P. (2010) Valuations of Soccer Players from Statistical Performance Data. Journal of Quantitative Analysis in Sports, 6 (2). ISSN 1559-0410. (doi:https://doi.org/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)

Tunaru, Radu and Fabozzi, Frank J. and Shiller, Robert (2009) Hedging Real Estate Risk. Journal of Portfolio Management, 35 (5). pp. 92-103. ISSN 0095-4918. (doi:https://doi.org/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)

Stefanescu, Catalina and 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. (doi:https://doi.org/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)

Tunaru, Radu and Fabozzi, Frank J. and 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:https://doi.org/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)

Tunaru, Radu and Fabozzi, Frank J. and 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:https://doi.org/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)

Tunaru, Radu and 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:https://doi.org/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)

Tunaru, Radu and Fabozzi, Frank J. and Wu, Tony (2006) Chinese Equity Market and the Efficient Frontier. Applied Financial Economics Letters, 2 (2). pp. 87-94. (doi:https://doi.org/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)

Tunaru, Radu and Fabozzi, Frank J. (2006) On Risk Management Problems Related to a Coherence Property. Quantitative Finance, 6 (1). pp. 75-81. ISSN 1469-7688. (doi:https://doi.org/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)

Tunaru, Radu and Giannopoulos, Kostas (2005) Coherent Risk Measures Under Filtered Historical Simulation. Journal of Banking and Finance, 29 (4). pp. 979-996. ISSN 0378-4266. (doi:https://doi.org/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)

Tunaru, Radu and Clark, Ephraim and Viney, Howard P. (2005) An Option Pricing Framework for Valuation of Football Players. Review of Financial Economics, 14 (3-4). pp. 281-295. (doi:https://doi.org/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)

Tunaru, Radu and Giannopoulos, Kostas and 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)

Tunaru, Radu and Fabozzi, Frank J. and 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)

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:https://doi.org/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)

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)

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)

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)

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)

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)

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)

Conference or workshop item

Tunaru, Radu and 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)

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)

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)

Book

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)

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)

Thesis

Souropanis, Ioannis (2019) Essays on Exchange Rate Forecasting. 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)

Riedle, Thorsten (2018) Empirical Aspects of Financial Stability. 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)

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)

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,. (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

Cantia, Catalin (2016) Lévy Factor Models for Financial Applications. 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)

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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Edited book

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:https://doi.org/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)

This list was generated on Mon May 27 17:09:08 2019 BST.

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