Radu Tunaru

University of Kent, Canterbury - Kent Business School

Canterbury Kent, CT2 7PE

United Kingdom

SCHOLARLY PAPERS

9

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CITATIONS
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SSRN RANKINGS

Top 27,091

in Total Papers Citations

9

Scholarly Papers (9)

1.

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, Canterbury - Kent Business School
Downloads 1,301 (10,573)
Citation 2

Abstract:

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

2.

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, Canterbury - Kent Business School and University of Kent, Canterbury - Kent Business School
Downloads 1,062 (10,146)

Abstract:

volatility indexes, volatility derivatives, GARCH models, statistical arbitrage

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, Canterbury - Kent Business School
Downloads 556 (39,299)
Citation 3

Abstract:

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, Canterbury - Kent Business School
Downloads 3 (560,536)
Citation 3
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Abstract:

4.

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, Canterbury - Kent Business School and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 194 (127,550)

Abstract:

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

5.

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, Canterbury - Kent Business School, University of Kent, Canterbury - Kent Business School and University of Kent, Canterbury - Kent Business School
Downloads 108 (208,767)

Abstract:

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

6.

Dividend Derivatives

Number of pages: 38 Posted: 25 Oct 2014
Radu Tunaru
University of Kent, Canterbury - Kent Business School
Downloads 95 (144,877)

Abstract:

dividend derivatives, stochastic logistic diffusion, market price

7.

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, Canterbury - Kent Business School, Università degli Studi della Calabria and University of Kent, Canterbury - Kent Business School
Downloads 83 (192,188)

Abstract:

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

8.

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, Canterbury - Kent Business School
Downloads 6 (496,514)
Citation 2
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Abstract:

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

9.

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, Canterbury - Kent Business School
Downloads 3 (534,669)
Citation 2
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Abstract:

derivatives pricing, real estate indices, incomplete markets, market price of risk, serial correlation