Kent Business School

About

Professor Radu Tunaru has been working in Finance since 2000 and he specialises in Structured Finance (credit risk), Financial Markets and Risk Management, Real Estate Finance and Model Risk. He has over 60 publication to date and he is currently head of Finance group in Kent Business School and Director of Centre for Quantitative Finance Research (CEQUFIN). He is the author of Model Risk in Financial Markets published in 2015 by World Scientific Press.

He has received six best paper awards so far and his latest work includes three papers on real-estate derivatives with Nobel laureate in Economics Robert Shiller. His career includes working for Bank of Montreal and for Merrill Lynch where he was a vice-president in Structured Finance EMEA RMBS. His latest research is in risk management, real-estate derivatives, Bayesian models for uncertainty in Finance, options pricing. He serves as an associate editor on the board of Frontiers in Finance and Economics, Journal of Portfolio Management and Journal of Banking and Finance.

Contact Information

Address

Room 328
Sibson
Kent Business School
Canterbury
CT2 7FS

14:00 - 16:00 Monday

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Publications

Also view these in the Kent Academic Repository

Book
Tunaru, R. (2017). Real-Estate Derivatives: From Econometrics to Financial Engineering. [Online]. Oxford: Oxford University Press. Available at: https://global.oup.com/academic/product/real-estate-derivatives-9780198742920?lang=en&cc=jp.
Tunaru, R. (2015). Model Risk in Financial Markets: From Financial Engineering to Risk Management. [Online]. World Scientific. Available at: http://www.worldscientific.com/worldscibooks/10.1142/9524.
Book section
Stanescu, S. and Tunaru, R. (2013). Quantifying the uncertainty in VaR and expected shortfall estimates. in: Bell, A. R., Brooks, C. and Prokopczuk, M. eds. Handbook of Research Methods and Applications in Empirical Finance. Edward Elgar, pp. 357-372.
Tunaru, R. (2010). Constructing discrete approximations algorithms for financial calculus from weak convergence results. in: Ruzhansky, M. and Wirth, J. eds. Progress In Analysis And Its Applications - Proceedings of the 7th International ISAAC Congress . World Scientific, pp. 445-452. Available at: http://www.worldscibooks.com/mathematics/7791.html.
Tunaru, R. (2010). Discrete Algorithms for Multivariate Financial Calculus. in: Crisan, D. ed. Stochastic Analysis. Springer, pp. 243-266.
Tunaru, R. and George, J. (2008). Risk Management in Freight Markets with Forwards and Options Contracts. in: Fabozzi, F. J. ed. Handbook of Finance: Financial Markets and Instruments. John Wiley & Sons, pp. 129-136.
Tunaru, R. and Eales, B. (2004). Pricing Options on Interest Rate Instruments. in: Fabozzi, F. J. and Choudhry, M. eds. The Handbook of European Fixed Income Securities. John Wiley & Sons, pp. 569-600.
Article
Tunaru, R. and Fabozzi, F. (2017). Commercial Real Estate Derivatives: The End or the Beginning? The Journal of Portfolio Management [Online] 43:179-186. Available at: https://doi.org/10.3905/jpm.2017.43.6.179.
Tunaru, R. and Zheng, T. (2017). Parameter Estimation Risk in Asset Pricing and Risk Management: A Bayesian Approach. International Review of Financial Analysis [Online] 53:80-93. Available at: http://dx.doi.org/10.1016/j.irfa.2017.08.004.
Tunaru, R. (2017). Dividend Derivatives. Quantitative Finance [Online]. Available at: http://dx.doi.org/10.1080/14697688.2017.1322218.
Fabozzi, F., Paletta, T. and Tunaru, R. (2017). An Improved Least Squares Monte Carlo Valuation Method Based on Heteroscedasticity. European Journal of Operational Research [Online] 263:698-706. Available at: http://dx.doi.org/10.1016/j.ejor.2017.05.048.
Tunaru, R. (2016). Entropy Concepts Applied to Option Pricing. Annals of the University of Craiova, Mathematics and Computer Science Series [Online] 43:108-117. Available at: http://inf.ucv.ro/~ami/index.php/ami/article/view/851/531.
Leccadito, A., Paletta, T. and Tunaru, R. (2016). Pricing and Hedging Basket Options with Exact Moment Matching. Insurance: Mathematics and Economics [Online] 69:59-69. Available at: http://dx.doi.org/10.1016/j.insmatheco.2016.03.013.
Cantia, C. and Tunaru, R. (2016). A factor model for joint default probabilities, pricing of CDS, index swaps and index tranches. Insurance: Mathematics and Economics [Online] 72:21-35. Available at: http://dx.doi.org/10.1016/j.insmatheco.2016.10.004.
Fabozzi, F. et al. (2016). An Improved Method for Pricing and Hedging Long Dated American Options. European Journal of Operational Research (ABS 4) [Online] 254:656-666. Available at: http://dx.doi.org/10.1016/j.ejor.2016.04.002.
Leccadito, A., Tunaru, R. and Urga, G. (2015). Trading strategies with implied forward credit default swap spreads. Journal of Banking and Finance [Online]:361-375. Available at: http://www.dx.doi.org/10.1016/j.jbankfin.2015.04.018.
Valchev, S., Tunaru, R. and Fabozzi, F. (2015). Multiperiod conditional valuation of barrier options with incomplete information. Quantitative Finance [Online]:1093-1102. Available at: http://www.dx.doi.org/10.1080/14697688.2014.945472.
Stanescu, S., Tunaru, R. and Candradewi, M. (2014). Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations. International Review of Financial Analysis [Online] 34:177-188. Available at: http://dx.doi.org/10.1016/j.irfa.2014.05.012.
Fabozzi, F., Leccadito, A. and Tunaru, R. (2014). Extracting market information from equity options with exponential Lévy processes. Journal of Economic Dynamics and Control 38:125-141.
Fabozzi, F., Stanescu, S. and Tunaru, R. (2013). Commercial Real Estate Risk Management with Derivatives. Journal of Portfolio Management [Online] 39:111-119. Available at: http://dx.doi.org/10.3905/jpm.2013.39.5.111.
Geman, H. and Tunaru, R. (2013). Commercial Real-Estate Inventory and Theory of Storage. Journal of Futures Markets [Online] 33:675-694. Available at: http://dx.doi.org/10.1002/fut.21559.
Fabozzi, F., Shiller, R. and Tunaru, R. (2012). A Pricing Framework for Real-Estate Derivatives. European Financial Management [Online] 18:762-789. Available at: http://dx.doi.org/10.1111/j.1468-036X.2011.00635.x.
Leccadito, A., Toscano, P. and Tunaru, R. (2012). Hermite Binomial Trees: A Novel Technique for Derivatives Pricing. International Journal of Theoretical and Applied Finance [Online] 15:1-36. Available at: http://dx.doi.org/10.1142/S0219024912500586.
Fabozzi, F., Leccadito, A. and Tunaru, R. (2012). A New Method For Generating Approximation Algorithms For Financial Mathematics Applications. Quantitative Finance [Online]:1-13. Available at: http://dx.doi.org/10.1080/14697688.2011.580363.
Tunaru, R., Fabozzi, F. and Shiller, R. (2010). Property Derivatives for Managing European Real-Estate Risk. European Financial Management [Online] 16:8-26. Available at: http://dx.doi.org/10.1111/j.1468-036X.2009.00528.x .
Tunaru, R. and Viney, H. (2010). Valuations of Soccer Players from Statistical Performance Data. Journal of Quantitative Analysis in Sports [Online] 6. Available at: http://dx.doi.org/10.2202/1559-0410.1238.
Tunaru, R., Fabozzi, F. and Shiller, R. (2009). Hedging Real Estate Risk. Journal of Portfolio Management [Online] 35:92-103. Available at: http://dx.doi.org/10.3905/JPM.2009.35.5.092.
Stefanescu, C., Tunaru, R. and Turnbull, S. (2009). The Credit Rating Process and Estimation of Transition Probabilities: A Bayesian Approach. Journal of Empirical Finance [Online] 16:216-234. Available at: http://dx.doi.org/10.1016/j.jempfin.2008.10.006.
Tunaru, R., Fabozzi, F. and Albota, G. (2009). Estimating Risk-Neutral Density with Parametric Models in Interest Rate Markets. Quantitative Finance [Online] 9:55-70. Available at: http://dx.doi.org/10.1080/14697680802272045.
Tunaru, R. and Fabozzi, F. (2007). On Some Inconsistencies in Modelling Credit Portfolio Products. International Journal of Theoretical and Applied Finance [Online] 10:1305-1321. Available at: http://dx.doi.org/10.1142/S0219024907004664.
Tunaru, R., Fabozzi, F. and Masood, O. (2007). Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns. European Journal of Finance [Online] 13:269-282. Available at: http://dx.doi.org/10.1080/13518470600813581 .
Tunaru, R. and Fabozzi, F. (2006). On Risk Management Problems Related to a Coherence Property. Quantitative Finance [Online] 6:75-81. Available at: http://dx.doi.org/10.1080/14697680500467889 .
Tunaru, R., Fabozzi, F. and Wu, T. (2006). Chinese Equity Market and the Efficient Frontier. Applied Financial Economics Letters [Online] 2:87-94. Available at: http://dx.doi.org/10.1080/17446540500426755 .
Tunaru, R. and Giannopoulos, K. (2005). Coherent Risk Measures Under Filtered Historical Simulation. Journal of Banking and Finance [Online] 29:979-996. Available at: http://dx.doi.org/10.1016/j.jbankfin.2004.08.009 .
Tunaru, R., Giannopoulos, K. and Clark, E. (2005). Portfolio Selection with VaR Constraints. Computational Management Science 2:123-138.
Tunaru, R., Clark, E. and Viney, H. (2005). An Option Pricing Framework for Valuation of Football Players. Review of Financial Economics [Online] 14:281-295. Available at: http://dx.doi.org/doi:10.1016/j.rfe.2004.11.002 .
Tunaru, R., Fabozzi, F. and Wu, T. (2004). Modeling Volatility for the Chinese Equity Markets. Annals of Economics and Finance 5:79-92.
Tunaru, R. (2001). Models of Association Versus Casual Models for Contingency Tables. Journal of Royal Statistical Society, Series D [Online] 50:257-269. Available at: http://dx.doi.org/10.1111/1467-9884.00276.
Monograph
Stanescu, S., Tunaru, R. and Candradewi, M. (2012). Analysing the Difference between Forward and Futures Prices for the UK Commercial Property Market. University of Kent. Available at: http://www.kent.ac.uk/kbs/documents/res/working-papers/2012/Stanescu_Candradewi_Tunaru_Analysis_of_Property_Forward_Futures_Difference%20Web.pdf.
Stanescu, S. and Tunaru, R. (2012). Investment Strategies with VIX and VSTOXX. University of Kent. Available at: http://www.kent.ac.uk/kbs/documents/res/working-papers/2012/Investment_Strategies_with_VIX_and_VSTOXX_5_RT%20Web.pdf.
Conference or workshop item
Tunaru, R. and Voukelatos, N. (2017). Insurance Against Volatility Risk or Negative Skewness as Reflected by Option Returns in Emerging European Markets. in: 2017 Annual Meetings of the European Financial Management Association.. Available at: http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2017-Athens/2017%20meetings.php.
Stanescu, S. and Tunaru, R. (2013). Investment strategies with VIX and VSTOXX. in: European Fiancial Management Association.
Stanescu, S. and Tunaru, R. (2013). Managing Commercial Real Estate Risk after the Subprime Crisis. in: PRMIA Webinar .
Stanescu, S. and Tunaru, R. (2013). Analysing the difference between Forward and Future prices for the UK Commercial Property Market. in: 30th International Conference for the French Finance Association.
Stanescu, S., Tunaru, R. and Candradewi, M. (2012). Analysing the Difference between Forward and Futures Prices for the UK Commercial Property Market . in: World Finance Conference.
Stanescu, S., Tunaru, R. and Candradewi, M. (2012). Analysing the Difference between Forward and Futures Prices for the UK Commercial Property Market . in: European Financial Management Association (EFMA) 2012 Conference.
Stanescu, S., Tunaru, R. and Candradewi, M. (2011). Analysing The Difference Between Forward And Futures Prices For The UK Commercial Property Market. in: University of Kent Finance Seminar, University of Kent, Canterbury. University of Kent.
Total publications in KAR: 47 [See all in KAR]
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Research Interests

Prof. Radu Tunaru is an expert in Quantitative Finance and Risk Management. His research has been recognised with the following prizes

  • European Financial Management Best paper award, vol 16, 2010, for the paper "Property Derivatives to Managing European Real-Estate Risk", jointly with Frank Fabozzi and Robert Shiller.
  • WHU Campus for Finance 10th Research Conference 2010, 1st prize best research paper, for the paper "Pricing Models for Real-Estate Derivatives", co-authored by Frank Fabozzi, and Robert J. Shiller
  • Multinational Finance Journal Best Paper Award, vol 5, 2001, for the paper "Emerging Markets: Investing with Political Risk"
  • Eastern Finance Association prize for the Outstanding Paper in International Finance for the paper "Modelling Political Risk with a Doubly Stochastic Poisson Process", Charleston USA 2001

He is also the Director of CeQuFin, the Centre for Quantitative Finance at University of Kent, where is developing research connected to current problems faced on financial markets.
He has collaborated with a series of well-renowned academics in Finance such as Ephraim Clark, Catalina Stefanescu, Stuart Turnbull, Frank Fabozzi, Robert Shiller, Helyette Geman.
His current research is in the areas of

  • Financial markets (market risk premium, trading volatility, real-options)
  • Alternative investments (property, volatility, dividend)
  • Risk management (backtesting VaR and expected shortfall, rating transition matrices).
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Teaching

  • Derivatives
  • Risk Management
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Professional

Elected on the Board of European Financial Management Association. Professor Radu Tunaru has been appointed a Subject Matter Expert in one of the Professional Risk Managers' International Association ( PRMIA) Advisory Groups. He has been approved to serve on the Quantitative (Quantitative tools, Quantitative risk modeling, Monte Carlo Simulation) group of PRMIA, the Professional Risk Managers' International Association, a non-profit professional association with more than 90,329 members in 211 countries.

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Supervision

Past Supervisees

  • Tommaso Paletta: Computational Methods for Pricing and Hedging Derivatives
  • Catalin Cantia: Lévy Factor Models for Financial Applications

Potential applicants should have an excellent quantitative background in (Stochastic Processes, Asset Pricing, Numerical Methods, Portfolio Theory), great computational skills (any two of Matlab, S-Plus, WinBUGS, R, C++, Python), a relevant master with distinction and above all, great intellectual curiosity.
For informal discussion please send your CV to Prof. Radu Tunaru.

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The University of Kent, Canterbury, Kent, CT2 7FS, T: +44 (0)1227 827726, E: kbsinfo@kent.ac.uk

Last Updated: 11/10/2017