Ciprian Necula

Bucharest University of Economic Studies, Department of Money and Banking

Professor

6, Romana Square, District 1

Bucharest, 010374

Romania

http://www.dofin.ase.ro/cipnec

  • Bucharest University of Economic Studies, Department of Money and Banking

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 14,246

SSRN RANKINGS

Top 14,246

in Total Papers Downloads

6,091

SSRN CITATIONS
Rank 41,590

SSRN RANKINGS

Top 41,590

in Total Papers Citations

4

CROSSREF CITATIONS

16

Scholarly Papers (15)

Actions:
Email selected abstracts
1.

Option Pricing in a Fractional Brownian Motion Environment

Number of pages: 19 Posted: 20 Oct 2008
Ciprian Necula
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 1,758 (17,333)
Citation 27

Abstract:

Loading...

fractional Brownian motion, fractional Black-Scholes market, mathematical finance, options

2.

A General Closed Form Option Pricing Formula

Review of Derivatives Research, 22 (1), 1-40, (2019) , Swiss Finance Institute Research Paper No. 15-53
Number of pages: 41 Posted: 02 Feb 2013 Last Revised: 04 Jan 2020
Ciprian Necula, Gabriel G. Drimus and Walter Farkas
Bucharest University of Economic Studies, Department of Money and Banking, Institute of Banking and Finance, University of Zürich and University of Zurich - Department of Banking and Finance
Downloads 1,022 (38,619)
Citation 3

Abstract:

Loading...

European options, expansion-based approximation of risk-neutral density, Gauss-Hermite series expansion, calibration

3.

A Generalized Bachelier Formula for Pricing Basket and Spread Options

Number of pages: 24 Posted: 04 Dec 2015 Last Revised: 02 Nov 2021
Fulvia Fringuellotti and Ciprian Necula
Federal Reserve Banks - Federal Reserve Bank of New York and Bucharest University of Economic Studies, Department of Money and Banking
Downloads 494 (100,030)
Citation 1

Abstract:

Loading...

Basket options, Spread options, Option pricing, Gauss-Hermite series expansion

4.

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing

Journal of Banking and Finance, 77, 249-268, (2017), Swiss Finance Institute Research Paper No. 15-54
Number of pages: 41 Posted: 25 Oct 2015 Last Revised: 16 Oct 2020
Walter Farkas, Elise Gourier, Robert Huitema and Ciprian Necula
University of Zurich - Department of Banking and Finance, ESSEC Business School, University of Zurich - Department of Banking and Finance and Bucharest University of Economic Studies, Department of Money and Banking
Downloads 462 (108,379)
Citation 2

Abstract:

Loading...

Commodities, Cointegration, Futures, Option Pricing, Spread Options, Spark Spread, Crack Spread

5.

Barrier Options and a Reflection Principle of the Fractional Brownian Motion

Number of pages: 9 Posted: 20 Oct 2008
Ciprian Necula
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 369 (140,355)
Citation 2

Abstract:

Loading...

fractional Brownian motion, fractional Black-Scholes market, mathematical finance, barrier options

6.

Closed Form Option Pricing Under Generalized Hermite Expansions

Number of pages: 15 Posted: 05 Nov 2013 Last Revised: 21 Mar 2018
Gabriel G. Drimus, Walter Farkas, Ciprian Necula and Anastasiia Sokko
Institute of Banking and Finance, University of Zürich, University of Zurich - Department of Banking and Finance, Bucharest University of Economic Studies, Department of Money and Banking and University of Zurich, Department of Banking and Finance
Downloads 343 (151,974)
Citation 2

Abstract:

Loading...

European options, generalized Hermite series expansion, calibration

7.

Pricing European and Barrier Options in the Fractional Black-Scholes Market

Number of pages: 13 Posted: 27 Oct 2008
Ciprian Necula
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 342 (152,441)

Abstract:

Loading...

fractional Brownian motion, fractional Black-Scholes market, the reflection principle for the fractional Brownian motion, mathematical finance, European option, barrier option

8.

A Framework for Derivative Pricing in the Fractional Black-Scholes Market

Number of pages: 11 Posted: 26 Oct 2008
Ciprian Necula
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 314 (167,034)
Citation 2

Abstract:

Loading...

fractional Brownian motion, fractional Black-Scholes market, quasiconditional expectation, mathematical finance, contingent claim

9.

Herding and Stochastic Volatility

Swiss Finance Institute Research Paper No. 15-59
Number of pages: 33 Posted: 05 Nov 2015 Last Revised: 27 Mar 2017
Walter Farkas, Ciprian Necula and Boris Waelchli
University of Zurich - Department of Banking and Finance, Bucharest University of Economic Studies, Department of Money and Banking and University of Zurich - Department of Banking and Finance
Downloads 266 (198,220)
Citation 2

Abstract:

Loading...

herding, non-affine option pricing model, Gauss-Hermite expansion

10.

Asset Pricing in a Two-Country Discontinuous General Equilibrium Model

Number of pages: 17 Posted: 27 Oct 2008 Last Revised: 30 Oct 2008
Ciprian Necula
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 171 (298,909)
Citation 2

Abstract:

Loading...

general equilibrium model, two-country Lucas economy, exchange rate, asset pricing, exchange rate options, jump-diffusion

11.

A Two-Country Discontinuous General Equilibrium Model

Number of pages: 15 Posted: 27 Oct 2008
Ciprian Necula
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 150 (333,794)

Abstract:

Loading...

general equilibrium model, two-country Lucas economy, exchange rate, risk premium, jump-diffusion

12.

An Approximation of an Equivalent European Payoff for the American Put Option

Number of pages: 12 Posted: 03 Jan 2017 Last Revised: 07 Jun 2017
Ciprian Necula
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 137 (358,640)

Abstract:

Loading...

American options, Black-Scholes model, calibration

13.

The Dynamics of Heterogeneity and Asset Prices

Swiss Finance Institute Research Paper No. 17-76
Number of pages: 38 Posted: 24 May 2017 Last Revised: 09 Mar 2018
Walter Farkas and Ciprian Necula
University of Zurich - Department of Banking and Finance and Bucharest University of Economic Studies, Department of Money and Banking
Downloads 132 (369,024)

Abstract:

Loading...

heterogeneity, asset prices, beliefs, pure-exchange economy, measure-valued stochastic process

14.

Americans are Europeans in Disguise

Number of pages: 34 Posted: 15 Oct 2022
Ciprian Necula
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 67 (573,763)

Abstract:

Loading...

American options, European options, Black-Scholes-Merton model, models with jumps

15.

Randomization and the Equivalent European Payoff for the American Put Option

Number of pages: 13 Posted: 04 Oct 2022
Ciprian Necula
Bucharest University of Economic Studies, Department of Money and Banking
Downloads 64 (587,422)

Abstract:

Loading...

American options, European options, Black-Scholes-Merton model