Profilbild

Dr. Ciprian Necula - Publikationen

Postdoktorand

@alucen.nairpicbf.uzh.ch
AND-2.32, Andreasstr. 15, 8050 Zürich
+41 44 634 45 79
vCard Team Farkas Lehre Publikationen Betreute Arbeiten

Journal Articles (1)

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
In: Journal of Banking and Finance, Vol. 77, p. 249-268, April 2017.


Kapitel in Büchern (1)

The Impact of Cointegration on Commodity Spread Options
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
Herausgeber: Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
In: Innovations in Derivatives Markets, Springer International Publishing, Cham, p. 421-435, 2016.


Working Papers (7)

The Dynamics of Heterogeneity and Asset Prices
Erich Walter Farkas, Ciprian Necula
SSRN, No. 2973276, Mai 2017.


A Generalized Bachelier Formula for Pricing Basket and Spread Options
Fulvia Fringuellotti, Ciprian Necula
SSRN Electronic Journal, No. 2698307, Dezember 2015.


A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
SSRN, No. 2679218, 2015.


Herding and Stochastic Volatility
Erich Walter Farkas, Ciprian Necula, Boris Waelchli
SSRN, No. 2685939, 2015.


A General Closed Form Option Pricing Formula
Ciprian Necula, Gabriel Drimus, Erich Walter Farkas
SSRN, No. 2210359, 2015.


Closed form option pricing under generalized hermite expansions
Gabriel Drimus, Ciprian Necula, Erich Walter Farkas
SSRN, No. 2349868, Oktober 2013.