Rados Radoicic

CUNY Baruch College

Professor

One Bernard Baruch Way

New York, NY 10010

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 10,187

SSRN RANKINGS

Top 10,187

in Total Papers Downloads

5,649

SSRN CITATIONS
Rank 40,417

SSRN RANKINGS

Top 40,417

in Total Papers Citations

14

CROSSREF CITATIONS

4

Scholarly Papers (10)

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 2,473 (6,552)
Citation 2

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 728 (42,003)
Citation 2

Abstract:

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Implied Volatility, Polya Approximation, Bisection Method

3.

Exponentiation of Conditional Expectations Under Stochastic Volatility

Quantitative Finance, Vol. 20, No. 1, 13-27, 2020.
Number of pages: 28 Posted: 08 Jun 2017 Last Revised: 09 Jan 2020
Elisa Alos, Jim Gatheral and Rados Radoicic
University of Pompeu Fabra - Department of Economics, CUNY Baruch College and CUNY Baruch College
Downloads 507 (66,774)
Citation 2

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Stochastic volatility, Conditional expectations, Exponentiation, Rough volatility

4.

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 451 (77,098)
Citation 2

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

5.

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 430 (81,577)
Citation 1

Abstract:

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Standard Normal CDF, Numerical Approximation

6.

Rational Approximation of the Rough Heston Solution

International Journal of Theoretical and Applied Finance, Vol. 22, No. 3, 1950010, 2019
Number of pages: 18 Posted: 20 Jun 2018 Last Revised: 12 Jun 2019
Jim Gatheral and Rados Radoicic
CUNY Baruch College and CUNY Baruch College
Downloads 422 (83,429)
Citation 7

Abstract:

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Rough Heston Model, Padé Approximant, Rational Approximation, Volatility Smile, Leverage Swap

7.

A PDE Method for Estimation of Implied Volatility

Number of pages: 29 Posted: 02 Nov 2018 Last Revised: 24 Nov 2019
Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch College, CUNY Baruch College and Baruch College, City University of New York
Downloads 383 (93,305)

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

8.

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 172 (208,500)

Abstract:

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

9.

The Zumbach Effect Under Rough Heston

Quantitative Finance, Vol. 20, No. 2, 235-241, 2020.
Number of pages: 14 Posted: 24 Sep 2018 Last Revised: 09 Jan 2020
Ecole Polytechnique, Paris, CUNY Baruch College, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 42 (493,135)
Citation 2

Abstract:

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Zumbach Effect, Rough Heston Model

10.

Forests, Cumulants, Martingales

Number of pages: 25 Posted: 30 Jun 2020
Peter Friz, Jim Gatheral and Rados Radoicic
Technische Universität Berlin (TU Berlin), CUNY Baruch College and CUNY Baruch College
Downloads 41 (497,628)

Abstract:

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forests, trees, continuous martingales, diamond product, cumulants, mo- ments, Hermite polynomials, regular perturbation, KPZ type (Wild) expansion, trees, Le ́vy area, Wiener chaos, Heston and forward variance models;