Dan Stefanica

Baruch College, City University of New York

Professor

One Bernard Baruch Way

New York, NY 10010

United States

http://mfe.baruch.cuny.edu/dan-stefanica

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 15,124

SSRN RANKINGS

Top 15,124

in Total Papers Downloads

3,121

CITATIONS
Rank 35,484

SSRN RANKINGS

Top 35,484

in Total Papers Citations

10

Scholarly Papers (6)

1.

An Explicit Implied Volatility Formula

International Journal of Theoretical and Applied Finance, Vol. 20, no. 7, 2017
Number of pages: 24 Posted: 01 Feb 2017 Last Revised: 25 Jul 2018
Dan Stefanica and Rados Radoicic
Baruch College, City University of New York and CUNY Baruch College
Downloads 1,503 (11,375)
Citation 3

Abstract:

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Implied Volatility, Black-Scholes Model, Approximation Formula, Uniform Bounds

2.

Tighter Bounds for Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 20, No. 5, 1750035, 2017
Number of pages: 16 Posted: 24 Feb 2017 Last Revised: 23 Aug 2017
Jim Gatheral, Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, CUNY Baruch College, CUNY Baruch College and Baruch College, City University of New York
Downloads 620 (41,475)
Citation 2

Abstract:

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Implied Volatility, Polya Approximation, Bisection Method

3.

A Sharp Approximation for ATM-Forward Option Prices and Implied Volatilites

International Journal of Financial Engineering, Vol. 3, No. 1 (2016)
Number of pages: 20 Posted: 15 Jul 2015 Last Revised: 24 Sep 2016
Dan Stefanica and Rados Radoicic
Baruch College, City University of New York and CUNY Baruch College
Downloads 422 (67,370)
Citation 4

Abstract:

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implied volatility, Black-Scholes model, ATM-forward options

4.

A Sharp Polya-Based Approximation to the Normal CDF

Applied Mathematics and Computation, Volume 322, April 2018, Pages 111–122
Number of pages: 16 Posted: 26 Sep 2016 Last Revised: 25 Jul 2018
Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, CUNY Baruch College and Baruch College, City University of New York
Downloads 353 (83,138)

Abstract:

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Standard Normal CDF, Numerical Approximation

5.

Pólya-Based Approximation for the ATM-Forward Implied Volatility

International Journal of Financial Engineering, Vol. 4, Nos. 2 & 3 (2017)
Number of pages: 12 Posted: 05 Apr 2017 Last Revised: 19 Oct 2017
Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, CUNY Baruch College and Baruch College, City University of New York
Downloads 138 (206,680)
Citation 1

Abstract:

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Implied Volatility, Black-Scholes Model, ATM-Forward Options

6.

A PDE Method for Estimation of Implied Volatility

Number of pages: 28 Posted: 02 Nov 2018
Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, CUNY Baruch College and Baruch College, City University of New York
Downloads 85 (290,671)

Abstract:

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Implied Volatility, Partial Differential Equations, Numerical Approximation, Black-Scholes Model, Bachelier Model