Center for Advanced Research in Finance and Banking

Center for Advanced Research in Finance and Banking - CARFIB
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Bogdan NEGREA

Research Interests

Bogdan NEGREA has many scientific studies regarding the financial markets and the financial instruments valuation. Primarily, his research area of interest includes the financial assets valuation and, more precisely, the pricing models of options, futures and other financial derivatives. He is also interested about the following topics: financial market microstructure, financial crisis, financial bubbles and their effects on the asset pricing. Secondly, his research area of interest includes the risk measurement models, the extreme value theory and the behavioral and experimental finance.

Keywords

Financial derivatives, Market microstructure, Financial crisis, Risk valuation, Behavioral finance.

Selected publications

1. Negrea B., A Statistical Measure of Financial Crises Magnitude, Physica A: Statistical Mechanics and its Applications, vol. 397, 2014.

2. Jurczenko E., Maillet B., Negrea B., A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction, Quantitative Finance, vol.4, 2004.

3. Negrea B., How to Compute the Liquidity Cost in the Orders-Driven Market?, The Review of Finance and Banking, 3 (1), 2011.

4. Jurczenko E., Maillet B., Negrea B., Revisited Multi-moment Approximate Option Pricing Models (Part 1), London School of Economics – Financial Markets Group (LSE-FMG), no. 430, 2002.

5. Negrea B., A Note on Skewness in the Stochastic Volatility Models, Economic Computation and Economic Cybernetics Studies and Research, 1, 165-183, 2010.

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