IDEAS home Printed from https://ideas.repec.org/e/pne116.html
   My authors  Follow this author

Bogdan Negrea

Personal Details

First Name:Bogdan
Middle Name:
Last Name:Negrea
Suffix:
RePEc Short-ID:pne116
[This author has chosen not to make the email address public]

Affiliation

(50%) Facultatea de Finante, Asigurari, Banci şi Burse de Valori
Academia de Studii Economice din Bucureşti

Bucureşti, Romania
http://www.fin.ase.ro/

: 0040-01-2112650
0040-01-3129549
Strada Mihai Eminescu nr.13-15, sector 1, Bucuresti
RePEc:edi:ffasero (more details at EDIRC)

(50%) Centrul de Cercetari Financiar-Monetare (CEFIMO)
Facultatea de Finante, Asigurari, Banci şi Burse de Valori
Academia de Studii Economice din Bucureşti

Bucureşti, Romania
http://www.dce.ase.ro/centredet.php?centru=9

: 0040-01-2112650
0040-01-3129549

RePEc:edi:cmasero (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Editorship

Working papers

  1. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers dp419, Financial Markets Group.
  2. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
  3. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.

Articles

  1. Negrea, Bogdan, 2014. "A statistical measure of financial crises magnitude," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 54-75.
  2. Bogdan Negrea, 2011. "How to Compute the Liquidity Cost in the Orders-Driven Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 007-019, June.
  3. Victor Dragota & Bogdan Negrea, 2009. "Statement by the Editors," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 1-005, December.
  4. Bogdan Negrea & Elena Bojesteanu, 2008. "Asymmetry in the stochastic volatility models," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 11(11(528)(s), pages 180-185, November.
  5. Bogdan Negrea, 2008. "The Liquidity On The Market Governed By Orders," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 12(12(517)(s), pages 24-30, December.
  6. Bogdan Negrea & Lucian Tatu & Andreea Stoian, 2008. "The Impact of Trades on Daily Volatility: an Empirical Study for Romanian Financial Investments Funds," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 11(11(528)), pages 31-36, November.
  7. Bogdan Negrea & Lucian Ţâţu, 2007. "The Components Of Bid-Ask Spread For Bse Stocks," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 11(11(516)(s), pages 27-32, November.
  8. Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea, 2004. "A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 479-488.
  9. Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond-Feingold, 2004. "La volatilité des marchés augmente-t-elle ?," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 17-44.

Editorship

  1. The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers dp419, Financial Markets Group.

    Cited by:

    1. León, à ngel & Mencía, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
    2. Ovidiu TURCOANE, 2012. "Option Price Estimations and Speculative Trading In Knowledge Society," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 16(4), pages 131-141.
    3. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.
    4. Chateau, John-Peter D., 2007. "Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 412-433.

  2. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 2017. "Multivariate approximations to portfolio return distribution," Computational and Mathematical Organization Theory, Springer, vol. 23(3), pages 347-361, September.
    2. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Skewness and kurtosis implied by option prices: a second comment," LSE Research Online Documents on Economics 24938, London School of Economics and Political Science, LSE Library.
    3. Erik Schlögl & Lutz Schlögl, 2007. "Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing," Research Paper Series 190, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
    5. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-36.
    6. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.

Articles

  1. Negrea, Bogdan, 2014. "A statistical measure of financial crises magnitude," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 54-75.

    Cited by:

    1. Dmitry I. Malakhov & Nikolay P. Pilnik & Igor G. Pospelov, 2015. "Stability of Distribution of Relative Sizes of Banks as an Argument for the Use of the Representative Agent Concept," HSE Working papers WP BRP 116/EC/2015, National Research University Higher School of Economics.

  2. Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea, 2004. "A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 479-488.

    Cited by:

    1. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
    2. Sofiane Aboura & Didier Maillard, 2016. "Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1194-1209, December.
    3. Chateau, Jean-Pierre D., 2011. "Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la « valeur de modèle » le risque de crédit des engagements de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 87(4), pages 445-479, décembre.
    4. Lin, Shin-Hung & Huang, Hung-Hsi & Li, Sheng-Han, 2015. "Option pricing under truncated Gram–Charlier expansion," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 77-97.
    5. Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.
    6. Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
    7. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Betweenness measure in co-authorship network

Co-authorship network on CollEc

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Bogdan Negrea should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.