6, Romana Square, District 1
Bucharest, 010374
Romania
http://www.dofin.ase.ro/cipnec
Bucharest University of Economic Studies, Department of Money and Banking
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fractional Brownian motion, fractional Black-Scholes market, mathematical finance, options
European options, expansion-based approximation of risk-neutral density, Gauss-Hermite series expansion, calibration
Basket options, Spread options, Option pricing, Gauss-Hermite series expansion
Commodities, Cointegration, Futures, Option Pricing, Spread Options, Spark Spread, Crack Spread
European options, generalized Hermite series expansion, calibration
fractional Brownian motion, fractional Black-Scholes market, mathematical finance, barrier options
fractional Brownian motion, fractional Black-Scholes market, the reflection principle for the fractional Brownian motion, mathematical finance, European option, barrier option
fractional Brownian motion, fractional Black-Scholes market, quasiconditional expectation, mathematical finance, contingent claim
herding, non-affine option pricing model, Gauss-Hermite expansion
general equilibrium model, two-country Lucas economy, exchange rate, asset pricing, exchange rate options, jump-diffusion
general equilibrium model, two-country Lucas economy, exchange rate, risk premium, jump-diffusion
heterogeneity, asset prices, beliefs, pure-exchange economy, measure-valued stochastic process
American options, Black-Scholes model, calibration
American options, European options, Black-Scholes-Merton model, models with jumps
American options, European options, Black-Scholes-Merton model
