Radu Tunaru

University of Kent - Kent Business School

Canterbury Kent, CT2 7PE

United Kingdom

SCHOLARLY PAPERS

13

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CITATIONS
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18

Scholarly Papers (13)

1.

Investment Strategies with VIX and VSTOXX Futures

Number of pages: 44 Posted: 08 Nov 2013 Last Revised: 02 Dec 2013
Silvia Stanescu and Radu Tunaru
University of Kent - Kent Business School and University of Kent - Kent Business School
Downloads 1,619 (10,111)

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volatility indexes, volatility derivatives, GARCH models, statistical arbitrage

2.

Emerging Markets: Stock Market Investing with Political Risk

EFMA 2001 Lugano Meetings, Middlesex University Business School Discussion Paper No. 6, Cass Business School Research Paper
Number of pages: 21 Posted: 14 May 2001
Ephraim Clark and Radu Tunaru
Middlesex University Business School and University of Kent - Kent Business School
Downloads 1,407 (12,673)
Citation 3

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Portfolio investment, political risk, insurance policy, geometric Brownian motion, Poisson arrival process.

Property Derivatives for Managing European Real-Estate Risk

Yale ICF Working Paper No. 09-17
Number of pages: 37 Posted: 15 Aug 2009
EDHEC Business School, Yale University - Cowles Foundation and University of Kent - Kent Business School
Downloads 628 (40,172)
Citation 9

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real-estate markets, property derivatives, balance guaranteed swaps

Property Derivatives for Managing European Real-Estate Risk

European Financial Management, Vol. 16, Issue 1, pp. 8-26, January 2010
Number of pages: 19 Posted: 28 Dec 2009
EDHEC Business School, Yale University - Cowles Foundation and University of Kent - Kent Business School
Downloads 3 (650,106)
Citation 10
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4.

Dividend Derivatives

Number of pages: 38 Posted: 25 Oct 2014
Radu Tunaru
University of Kent - Kent Business School
Downloads 245 (124,248)
Citation 1

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dividend derivatives, stochastic logistic diffusion, market price

5.

CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 14 Oct 2008 Last Revised: 15 Jul 2009
Arturo Leccadito, Radu Tunaru and Giovanni Urga
Università degli Studi della Calabria, University of Kent - Kent Business School and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 205 (146,535)

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Constant Maturity Credit Default Swaps, Forward Credit Rates, Convexity Adjustment, Forward Rate Unbiasedness Hypothesis

6.

Pricing and Hedging Basket Options with Exact Moment Matching

Number of pages: 29 Posted: 18 Dec 2013 Last Revised: 28 May 2014
University of Kent - Kent Business School, Università degli Studi della Calabria and University of Kent - Kent Business School
Downloads 139 (205,490)
Citation 1

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Basket options, Shifted log-normal jump process, Hermite polynomials, Negative skewness, Option pricing and hedging

7.

An Improved Method for Pricing and Hedging American Options

Number of pages: 45 Posted: 25 Oct 2014 Last Revised: 16 Nov 2014
Tommaso Paletta, Silvia Stanescu and Radu Tunaru
University of Kent - Kent Business School, University of Kent - Kent Business School and University of Kent - Kent Business School
Downloads 118 (233,208)

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American options, Optimal exercise price, Quasi-analytic method, Delta-Hedging performance

8.

The SKEW Index: Extracting What Has Been Left

Number of pages: 43 Posted: 21 Feb 2018
Systemic Risk Centre - London School of Economics, Fordham University - Gabelli School of Business and University of Kent - Kent Business School
Downloads 101 (260,248)

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Implied Volatility, Implied Skew, Market Sentiment, Tail Risk, Asset Pricing

9.

Asymmetric Connectedness of Fears in the U.S. Financial Sector

Number of pages: 39 Posted: 20 Nov 2018
Jozef Barunik, Mattia Bevilacqua and Radu Tunaru
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Kent - Kent Business School
Downloads 50 (383,620)

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Implied Volatility, Asymmetric Connectedness, U.S. Financial Sector

10.

Emerging Markets: Investing with Political Risk

Multinational Finance Journal, Vol. 5, No. 3, p. 155-173, 2001
Number of pages: 19 Posted: 08 Jul 2015
Ephraim Clark and Radu Tunaru
Middlesex University Business School and University of Kent - Kent Business School
Downloads 39 (423,166)
Citation 3

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geometric Brownian motion; insurance policy; Poisson arrival process; portfolio investment; political risk

11.

Testing the Systemic Risk Differences in Banks

Bank of Finland Research Discussion Paper No. 13/2018
Number of pages: 56 Posted: 02 Jun 2018 Last Revised: 03 Jun 2018
Esa Jokivuolle, Radu Tunaru and Davide Vioto
Bank of Finland, Research Unit, University of Kent - Kent Business School and University of Kent - Kent Business School
Downloads 32 (452,354)

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Systemic risk measures, Systemic risk ranking validation, Dominance tests, Confidence intervals, Financial stability, Concordance measures

12.

The Determinants of the Model-Free Positive and Negative Volatilities

Journal of International Money and Finance, Vol. 92, April 2019, Pages 1-24
Number of pages: 35 Posted: 27 Dec 2018 Last Revised: 27 Feb 2019
Mattia Bevilacqua, David Morelli and Radu Tunaru
Systemic Risk Centre - London School of Economics, affiliation not provided to SSRN and University of Kent - Kent Business School
Downloads 22 (503,939)

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Implied Volatility, Risk Premia, Macro Variables, Financial Variables, Mixed Frequency

13.

A Pricing Framework for Real Estate Derivatives

European Financial Management, Vol. 18, Issue 5, pp. 762-789, 2012
Number of pages: 28 Posted: 20 Oct 2012
EDHEC Business School, Yale University - Cowles Foundation and University of Kent - Kent Business School
Downloads 3 (621,266)
Citation 5
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derivatives pricing, real estate indices, incomplete markets, market price of risk, serial correlation