Ciprian Necula

University of Zurich - Department of Banking and Finance

Marie Curie Fellow

Plattenstrasse 14

Zürich, 8032

Switzerland

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

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 11,235

SSRN RANKINGS

Top 11,235

in Total Papers Downloads

4,400

SSRN CITATIONS
Rank 36,574

SSRN RANKINGS

Top 36,574

in Total Papers Citations

1

CROSSREF CITATIONS

16

Scholarly Papers (13)

1.

Option Pricing in a Fractional Brownian Motion Environment

Number of pages: 19 Posted: 20 Oct 2008
Ciprian Necula
University of Zurich - Department of Banking and Finance
Downloads 1,158 (18,442)
Citation 26

Abstract:

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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
University of Zurich - Department of Banking and Finance, Institute of Banking and Finance, University of Zürich and University of Zurich - Department of Banking and Finance
Downloads 863 (28,324)
Citation 3

Abstract:

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

3.

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

Journal of Banking and Finance, Forthcoming, Swiss Finance Institute Research Paper No. 15-54
Number of pages: 41 Posted: 25 Oct 2015 Last Revised: 26 Jan 2017
University of Zurich - Department of Banking and Finance, ESSEC Business School, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 369 (84,325)
Citation 1

Abstract:

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

4.

Barrier Options and a Reflection Principle of the Fractional Brownian Motion

Number of pages: 9 Posted: 20 Oct 2008
Ciprian Necula
University of Zurich - Department of Banking and Finance
Downloads 314 (101,148)
Citation 2

Abstract:

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

5.

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

Number of pages: 13 Posted: 27 Oct 2008
Ciprian Necula
University of Zurich - Department of Banking and Finance
Downloads 305 (104,373)

Abstract:

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

6.

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

Number of pages: 11 Posted: 26 Oct 2008
Ciprian Necula
University of Zurich - Department of Banking and Finance
Downloads 285 (112,315)
Citation 2

Abstract:

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

7.

Closed Form Option Pricing Under Generalized Hermite Expansions

Number of pages: 15 Posted: 05 Nov 2013 Last Revised: 21 Mar 2018
Institute of Banking and Finance, University of Zürich, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 260 (123,630)
Citation 1

Abstract:

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European options, generalized Hermite series expansion, calibration

8.

A Generalized Bachelier Formula for Pricing Basket and Spread Options

Number of pages: 19 Posted: 04 Dec 2015
Fulvia Fringuellotti and Ciprian Necula
Federal Reserve Banks - Federal Reserve Bank of New York and University of Zurich - Department of Banking and Finance
Downloads 202 (158,177)
Citation 1

Abstract:

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

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, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 172 (182,894)
Citation 2

Abstract:

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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
University of Zurich - Department of Banking and Finance
Downloads 146 (210,079)
Citation 2

Abstract:

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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
University of Zurich - Department of Banking and Finance
Downloads 130 (230,345)

Abstract:

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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
University of Zurich - Department of Banking and Finance
Downloads 105 (269,095)

Abstract:

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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 University of Zurich - Department of Banking and Finance
Downloads 91 (295,710)

Abstract:

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