Ciprian Necula is a professor at the Department of Money and Banking. He is interested in option pricing, risk management, and macroeconomic modeling. He was involved as a researcher or as a principal investigator in several national and international projects financed by the Romanian Government and international organizations such as the World Bank. His teaching is mainly focused on quantitative finance: bachelor courses: Financial Engineering (in English), Modeling financial and monetary decisions; master courses: Fundamentals of Econometrics (DOFIN), Stochastic Calculus in Finance (DOFIN), Risk Management (DOFIN), Quantitative Methods in Finance (MAF, in English, joint with Walter Farkas, University of Zurich). Some of his earlier achievements consists in developing an option pricing model in an environment driven by the Fractional Brownian Motion, in obtaining an option pricing formula in the context of a general equilibrium model with jumps, in quantifying the premium for a recapitalization fund using option pricing tools, in investigating various phenomena in Eastern European emerging markets, and in contributing to the estimation and implementation of macroeconomic models dealing with a large spectrum of investigations such as the assessment of the cyclical position of the economy, the impact of the capital account liberalization, or the effect of the pension reform in Romania. His recent research is focused on developing novel option pricing models and methods and on modeling heterogeneity in finance. EDUCATION 2015 – MSc in Computational Biology and Bioinformatics, ETH Zurich 2012 – Habilitation in Finance, Bucharest University of Economic Studies (BUES), 2009 – PhD in Finance, DOFIN, BUES, supervisor: Prof. Moisa ALTAR 2003 – MSc in Stochastic Processes, University of Bucharest, Faculty of Mathematics 2002 – MSc in Financial Markets, DOFIN, BUES 2001 – BA in Economics, BUES, Faculty of Finance and Banking 2001 – BA in Mathematics, University of Bucharest, Faculty of Mathematics PROFESSIONAL EXPERIENCE Oct. 2001 – present: Bucharest University of Economic Studies (BUES), Department of Money and Banking, various positions, since 2013 Professor and PhD Supervisor; Apr. 2015 – Mar. 2017: Marie Curie Fellow, University of Zurich, Department of Banking and Finance Oct. 2012 – Sept. 2013: SCIEX Post-Doctoral Fellow, University of Zurich, Department of Banking and Finance, Chair in Quantitative Finance (Prof. Walter FARKAS) OTHER PROFESSIONAL ACTIVITIES – Director (2009-present)) of the MSc Program Finance and Banking – DOFIN – Director (2009-present) of Center for Advanced Research in Finance and Banking (CARFIB), – Member (2016-present) of the Academic Board of the European Banking Institute – Member (2011-2012, 2020-2024) of the Commission for Economics of CNATDCU – Member of the editorial board of The Review of Finance and Banking – Reviewer for European Journal of Operational Research, Economic Modelling, Quantitative Finance, Computational Economics, Review of Derivatives Research DISTINCTIONS – CFA Romania Award for Best Research Paper, Section “Finance” – “A General Closed Form Option Pricing Formula” (2014) – Best Reviewer Award of European Journal of Operational Research (2010) SELECTED PUBLICATIONS – Kim, SW, Ma, YK, Necula, C., Modeling Tail Dependence using Stochastic Volatility Models, Computational Economics, 2022, https://link.springer.com/article/10.1007/s10614-022-10271-5 – Necula C., Drimus, G and W. Farkas, A General Closed Form Option Pricing Formula, Review of Derivatives Research, 22, 2019, doi: 10.1007/s11147-018-9144-z; – Farkas, W., Gourier, E., Huitema, R. and C. Necula, A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing, Journal of Banking and Finance, 77, 2017, doi: 10.1016/j.jbankfin.2017.01.007 – Necula C., A-N Radu; Quantifying the Recapitalization Fund Premium using Option Pricing Techniques; Economics Letters, 114, 3, 249-251; 2012; doi: 10.1016/j.econlet.2011.11.002 – Altar M., C. Necula, G. Bobeica; Estimating Potential GDP for the Romanian Economy. An Eclectic Approach; Romanian Journal of Economic Forecasting, 13, 3, 5-25; 2010; – Altar M., C. Necula, G. Bobeica, Estimating the Cyclically Adjusted Budget Balance for the Romanian Economy. A Robust Approach, Romanian Journal of Economic Forecasting, 13, 2, 79-99; 2010; – Necula C., A Two-Country Discontinuous General Equilibrium Model; Economic Computation and Economic Cybernetics Studies and Research, 44, 2, 187-200; 2010; – Necula C.; Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution; Romanian Journal of Economic Forecasting, 10, 2, 118-131; 2009 – Necula, C., Option Pricing in a Fractional Brownian Motion Environment, Mathematical Reports, vol.6(56), 3, 2004; – Farkas, W., Gourier, E., Huitema, R. and C. Necula , “The Impact of Cointegration on Commodity Spread Options”, in Glau, K., Z. Grbac, M. Scherer and R. Zagst (Eds.), Innovations in Derivatives Markets, Springer, pp. 421-435, 2016 – Altar, M. L. Albu, I. Dumitru, C. Necula, Estimation of Equilibrium Real Exchange Rate and of Deviations for Romania, in Iancu A. (ed.); Economic convergence; C.H. Beck; Bucharest; pg. 141-155; 2008
