3 papers
econ.EM2020
Measures of Model Risk in Continuous-time Finance Models
Emese Lazar, Shuyuan Qi, Radu Tunaru
Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propos…
q-fin.GN2018
Asymmetric Network Connectedness of Fears
Jozef Barunik, Mattia Bevilacqua, Radu Tunaru
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about u…
q-fin.PR2013
Pricing and Hedging Basket Options with Exact Moment Matching
Tommaso Paletta, Arturo Leccadito, Radu Tunaru
Theoretical models applied to option pricing should take into account the empirical characteristics of the underlying financial time series. In this paper, we show how to price bas…