Radu Tunaru

Publication Activity (10 Years)

Years Active: 2005-2017
Publications (10 Years): 2

Top Topics

Monte Carlo Methods

Segmentation Method

Importance Sampling

Top Venues

Eur. J. Oper. Res.

Publications

Frank J. Fabozzi, Tommaso Paletta, Radu Tunaru
An improved least squares Monte Carlo valuation method based on heteroscedasticity. Eur. J. Oper. Res. 263 (2) (2017)
Frank J. Fabozzi, Tommaso Paletta, Silvia Stanescu, Radu Tunaru
An improved method for pricing and hedging long dated American options. Eur. J. Oper. Res. 254 (2) (2016)
Kostas Giannopoulos, Ephraim Clark, Radu Tunaru
Portfolio selection under VaR constraints. Comput. Manag. Sci. 2 (2) (2005)