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Details about Ciprian Necula

Homepage:http://www.dofin.ase.ro/cipnec/
Workplace:Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti (Bucharest Academy of Economic Studies), (more information at EDIRC)
Facultatea de Finante, Asigurari, Banci şi Burse de Valori (Faculty of Finance, Insurance, Banking and Asset Markets), Academia de Studii Economice din Bucureşti (Bucharest Academy of Economic Studies), (more information at EDIRC)

Access statistics for papers by Ciprian Necula.

Last updated 2019-04-14. Update your information in the RePEc Author Service.

Short-id: pne140


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Working Papers

2017

  1. The Dynamics of Heterogeneity and Asset Prices
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2016

  1. A General Closed Form Option Pricing Formula
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (5)
    See also Journal Article in Review of Derivatives Research (2019)
  2. A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Banking & Finance (2017)

2015

  1. Herding and Stochastic Volatility
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2009

  1. A Robust Assessment of the Romanian Business Cycle
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB Downloads View citations (3)
  2. Estimarea Cursului Real de Echilibru si a Deviatiilor pentru Romania
    Studii Economice, Institutul National de Cercetari Economice (INCE) Downloads View citations (5)
  3. Estimation of Equilibrium Real Exchange Rate and of Deviations for Romania
    Working Papers of National Institute for Economic Research, Institutul National de Cercetari Economice (INCE) Downloads View citations (3)
  4. Evidences of the Intensity of the Balassa-Samuelson Phenomenon in the Romanian Economy
    Working Papers of National Institute for Economic Research, Institutul National de Cercetari Economice (INCE) Downloads
  5. Evidente privind Intensitatea Fenomenului Balassa-Samuelson pentru Economia Romaneasca
    Studii Economice, Institutul National de Cercetari Economice (INCE) Downloads

2008

  1. A Framework for Derivative Pricing in the Fractional Black-Scholes Market
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB Downloads View citations (1)
  2. A Two-Country Discontinuous General Equilibrium Model
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB Downloads View citations (2)
  3. Asset Pricing in a Two-Country Discontinuous General Equilibrium Model
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB Downloads View citations (1)
  4. Barrier Options and a Reflection Principle of the Fractional Brownian Motion
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB Downloads View citations (2)
  5. Modelling and Detecting Long Memory in Stock Returns
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB Downloads
  6. Option Pricing in a Fractional Brownian Motion Environment
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB Downloads View citations (32)
  7. Pricing European and Barrier Options in the Fractional Black-Scholes Market
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB Downloads

Journal Articles

2019

  1. A general closed form option pricing formula
    Review of Derivatives Research, 2019, 22, (1), 1-40 Downloads View citations (1)
    See also Working Paper (2016)

2017

  1. A two-factor cointegrated commodity price model with an application to spread option pricing
    Journal of Banking & Finance, 2017, 77, (C), 249-268 Downloads View citations (8)
    See also Working Paper (2016)

2012

  1. Quantifying the recapitalization fund premium using option pricing techniques
    Economics Letters, 2012, 114, (3), 249-251 Downloads View citations (2)

2010

  1. Estimating Potential GDP for the Romanian Economy. An Eclectic Approach
    Journal for Economic Forecasting, 2010, (3), 5-25 Downloads View citations (14)
  2. Estimating The Cyclically Adjusted Budget Balance For The Romanian Economy. A Robust Approach
    Journal for Economic Forecasting, 2010, (2), 79-99 Downloads View citations (11)
  3. Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach
    Journal for Economic Forecasting, 2010, (3), 93-106 Downloads View citations (2)

2009

  1. DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY
    Annals of Faculty of Economics, 2009, 3, (1), 610-615 Downloads
  2. Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution
    Journal for Economic Forecasting, 2009, 6, (2), 118-131 Downloads View citations (7)

2008

  1. MODELING THE ECONOMIC GROWTH IN ROMANIA. THE INFLUENCE OF FISCAL REGIMES
    Journal for Economic Forecasting, 2008, 5, (4), 146-160 Downloads View citations (3)
  2. MODELING THE ECONOMIC GROWTH IN ROMANIA. THE ROLE OF HUMAN CAPITAL
    Journal for Economic Forecasting, 2008, 5, (3), 115-128 Downloads View citations (3)
 
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