Center for Advanced Research in Finance and Banking

Center for Advanced Research in Finance and Banking - CARFIB
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Ciprian NECULA

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Research Interests

   Ciprian is interested in topics from the fields of option pricing, risk management, and macroeconomic modeling. He was involved as a researcher or as a principal investigator in several national and international projects financed by the Romanian Government and international organizations such as the World Bank.
   Some of his earlier achievements consists in developing an option pricing model in an environment driven by the Fractional Brownian Motion, in obtaining an option pricing formula in the context of a general equilibrium model with jumps, in quantifying the premium for a recapitalization fund using option pricing tools, in investigating various phenomena in Eastern European emerging markets, as well as in contributing to the estimation and implementation of macroeconomic models dealing with a large spectrum of investigations such as the assessment of the cyclical position of the economy, the impact of the capital account liberalization, or the effect of the pension reform in Romania.
   His recent research is focused on developing novel option pricing models and methods and on modeling heterogeneity in finance in a tractable manner.

Keywords

quantitative finance, financial derivatives, option pricing models, risk management, macroeconomic modeling

Selected publications

1. Necula C., A-N Radu, “Quantifying Recapitalization Fund Premium using Option Pricing Techniques”, Economics Letters, Vol. 114, Nr. 3,

2. Necula C., A-N Radu, “Long Memory In Eastern European Financial Markets Returns”, Economic Research, Vol. 25, No. 2,

3. Necula C., 2010, „A Two–Country Discontinuous General Equilibrium Model”, Economic Computation and Economic Cybernetics Studies and Research, 44, 2;

4. Altar M., G. Bobeica, C. Necula, 2010, „Estimating Potential GDP for the Romanian Economy. An Eclectic Approach”, Romanian Journal of Economic Forecasting, 13, 3

5. Altar M., G. Bobeica, C. Necula, 2010, „Estimating the Cyclically Adjusted Budget Balance for the Romanian Economy. A Robust Approach.”, Romanian Journal of Economic Forecasting, 13, 2

Working papers

A General Closed Form Option Pricing Formula (with G. Drimus, W. Farkas)

Herding and Stochastic Volatility (with W. Farkas, B. Waelchli)

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing (with W. Farkas, E. Gourier, R. Huitema)

A Generalized Bachelier Formula for Pricing Basket and Spread Options (with F. Fringuellotti)

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