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Dr. Ciprian Necula - Publications

Postdoktorand

@alucen.nairpicbf.uzh.ch
AND-2.32, Andreasstr. 15, 8050 Zürich
+41 44 634 45 79
vCard Team Farkas Teaching Publications Supervised theses

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.


Book Chapters (1)

The Impact of Cointegration on Commodity Spread Options
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
Editor(s): 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, May 2017.


A Generalized Bachelier Formula for Pricing Basket and Spread Options
Fulvia Fringuellotti, Ciprian Necula
SSRN Electronic Journal, No. 2698307, December 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, October 2013.