Rados Radoicic

CUNY Baruch College

Professor

One Bernard Baruch Way

New York, NY 10010

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 9,648

SSRN RANKINGS

Top 9,648

in Total Papers Downloads

7,169

SSRN CITATIONS
Rank 39,196

SSRN RANKINGS

Top 39,196

in Total Papers Citations

15

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 3,298 (5,160)
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
CUNY Baruch College, CUNY Baruch CollegeBaruch College, City University of New York, CUNY Baruch College and Baruch College, City University of New York
Downloads 839 (41,921)
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 634 (60,646)
Citation 2

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Stochastic volatility, Conditional expectations, Exponentiation, Rough volatility

4.

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 593 (66,023)
Citation 7

Abstract:

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

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, Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch CollegeBaruch College, City University of New York, CUNY Baruch College and Baruch College, City University of New York
Downloads 499 (81,891)
Citation 2

Abstract:

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Standard Normal CDF, Numerical Approximation

6.

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 476 (86,617)
Citation 2

Abstract:

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

7.

A PDE Method for Estimation of Implied Volatility

Number of pages: 29 Posted: 02 Nov 2018 Last Revised: 24 Nov 2019
Ivan Matic, Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch CollegeBaruch College, City University of New York, CUNY Baruch College and Baruch College, City University of New York
Downloads 466 (88,898)

Abstract:

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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, Ivan Matic, Rados Radoicic and Dan Stefanica
CUNY Baruch CollegeBaruch College, City University of New York, CUNY Baruch College and Baruch College, City University of New York
Downloads 195 (220,216)

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 86 (405,099)
Citation 3

Abstract:

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Zumbach Effect, Rough Heston Model

10.

Forests, Cumulants, Martingales

Annals of Probability 2022, Vol. 50, No. 4, 1418-1445.
Number of pages: 34 Posted: 30 Jun 2020 Last Revised: 12 May 2022
Peter Friz, Jim Gatheral and Rados Radoicic
Technische Universität Berlin (TU Berlin), CUNY Baruch College and CUNY Baruch College
Downloads 83 (413,850)

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;