Radu Tunaru

University of Sussex

Professor of Finance and Risk Management

Jubilee

Brighton, BN1 9SL

United Kingdom

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 10,086

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Top 10,086

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4,970

SSRN CITATIONS
Rank 21,008

SSRN RANKINGS

Top 21,008

in Total Papers Citations

19

CROSSREF CITATIONS

22

Scholarly Papers (15)

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 Sussex
Downloads 1,742 (10,035)

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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 Sussex
Downloads 1,415 (13,949)
Citation 1

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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 Sussex
Downloads 653 (41,962)

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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 Sussex
Downloads 3 (702,997)
Citation 7
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4.

Dividend Derivatives

Number of pages: 38 Posted: 25 Oct 2014
Radu Tunaru
University of Sussex
Downloads 289 (113,116)
Citation 2

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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 Sussex and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 207 (158,010)

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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 Sussex
Downloads 157 (201,975)
Citation 1

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

7.

The SKEW Index: Extracting What Has Been Left

Number of pages: 43 Posted: 21 Feb 2018 Last Revised: 19 Feb 2020
Mattia Bevilacqua and Radu Tunaru
Systemic Risk Centre - London School of Economics and University of Sussex
Downloads 147 (213,304)

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Option Prices, Market Downturns, Recessions Predictability, Market Sentiment, Tail Risk

8.

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 Sussex
Downloads 120 (249,807)

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

9.

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

Number of pages: 39 Posted: 20 Nov 2018
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Sussex
Downloads 64 (369,280)

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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 Sussex
Downloads 51 (411,323)
Citation 1

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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 Sussex and University of Kent - Kent Business School
Downloads 37 (470,800)

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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 Sussex
Downloads 35 (475,296)
Citation 1

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

13.

Risk Spillovers and Interconnectedness between Systemically Important Institutions

Swiss Finance Institute Research Paper No. 20-40
Number of pages: 56 Posted: 16 May 2020 Last Revised: 18 May 2020
Alexandru Ioan Cuza University - Faculty of Economics and Business Administration, University of Zurich - Department of Banking and Finance, Alexandru Ioan Cuza University of Iasi and University of Sussex
Downloads 27 (521,249)

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systemic risk, interconnectedness, bank networks

14.

The Timing of Voluntary Delisting

Number of pages: 48 Posted: 13 Jan 2020
Izidin El Kalak, Alcino Azevedo and Radu Tunaru
Cardiff Business School, Aston Business School and University of Sussex
Downloads 19 (563,985)

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Delist Timing; Real Options; Survival Analysis; Voluntary Delisting

15.

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 Sussex
Downloads 4 (664,549)
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derivatives pricing, real estate indices, incomplete markets, market price of risk, serial correlation