Rados Radoicic

CUNY Baruch College

Professor

One Bernard Baruch Way

New York, NY 10010

United States

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 12,596

in Total Papers Downloads

3,713

CITATIONS
Rank 31,523

SSRN RANKINGS

Top 31,523

in Total Papers Citations

12

Scholarly Papers (9)

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 1,490 (11,525)
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 618 (41,673)
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 416 (68,450)
Citation 4

Abstract:

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

4.

Exponentiation of Conditional Expectations Under Stochastic Volatility

Number of pages: 28 Posted: 08 Jun 2017 Last Revised: 20 Oct 2018
Elisa Alos, Jim Gatheral and Rados Radoicic
University of Pompeu Fabra - Department of Economics, CUNY Baruch College and CUNY Baruch College
Downloads 368 (79,106)

Abstract:

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Stochastic volatility, Conditional expectations, Exponentiation, Rough volatility

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 352 (83,306)

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 226 (133,437)
Citation 2

Abstract:

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

7.

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 (206,439)
Citation 1

Abstract:

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

8.

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 84 (292,447)

Abstract:

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

9.

The Zumbach Effect Under Rough Heston

Number of pages: 14 Posted: 24 Sep 2018
Ecole Polytechnique, Paris, CUNY Baruch College, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 21 (509,031)

Abstract:

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Zumbach Effect, Rough Heston Model