Center for Advanced Research in Finance and Banking (CARFIB)

13/02/2015

PhD students (with at least 2 years of PhD) & graduates can apply to Traineeship - PhD level and master students can apply to Traineeship - Graduate level: http://www.ecb.europa.eu/ecb/jobs/html/index.en.html

Everything you need to know about working at the ECB: Apply for open vacancies, find out about the working conditions and discover the newcomer‘s corner.

24/03/2013

http://www.bnr.ro/page.aspx?mid=7423

04/03/2013

Carfib director, Ciprian Necula, together with two colleagues from the University of Zurich, has finalized the working paper entitled "A General Closed Form Option Pricing Formula". This paper develops a new method to retrieve the risk-neutral probability measure from observed option prices and derives closed-form pricing formula for European options by employing a modified Gram-Charlier series expansion, known as the Gauss-Hermite expansion. This new option pricing formula is an alternative to the inverse Fourier transform methodology and can be employed in general models with probability distribution function or characteristic function known in closed form.
You can find the paper at the following link:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2210359

28/02/2013

We thank Picto for the thematic cover.
https://www.facebook.com/pages/Picto/156761174385486 #!/pages/Picto/156761174385486

ARTivist & ARTist with a sketchbook filled with thoughts.

24/02/2013

For those that have a paper nearly finished, an impressive conference will be held in Bucharest, with the participation of Gianni Amisano (European Central Bank), Gary Koop
(Strathclyde University) and Rodney Strachan (Australian National University). The main topics are: Bayesian and frequentist times series methods, Dynamic Stochastic General Equilibrium modeling, Model selection and shrinkage estimation, Forecasting and macroeconomic policy effects, Regime switching and change-point modeling, Simulation and computational efficiency issues.
Poster presentations are welcomed as well.

http://bayesian.org/forums/conferences/4190

Keynote speakers: Gianni Amisano (European Central Bank), Gary Koop (Strathclyde University), Rodney Strachan (Australian National University)

20/02/2013

Announcement for Carfib members and fellow researchers
The National Bank of Romania has extended us the invitation to submit scientific papers to a workshop on public finance with the participation of the European Central Bank and of the other banks in ESCB.

14/02/2013

Carfib member Prof. Moisa Altar discusses the need for a different model of economic growth in Romania.

Until 2008, economic growth was exogenous, not endogenous (i.e. based on increasing quality and efficiency of endowment factors) and corroborated with the postponement of structural reforms, the potential GDP growth slowed down from 5-6% to 1-2%. Channelling investments towards productive sectors, aimed at boosting competitiveness, is seen as a solution.

See link below [only Romanian version]:
http://www.zf.ro/opinii/romania-nu-se-mai-poate-dezvolta-fara-fundamentarea-unui-nou-model-de-crestere-economica-10542421

03/02/2013

CarFib members, Elena Bojesteanu and Simona Manu, have investigated the adjustment process of external imbalances in the New Member States. The main conclusion was that exchange rate played a modest role in this adjustment, the domestic demand bearing most of the burden. You can visualize the presentation on the ECB website, at the link below:
http://www.ecb.int/home/pdf/research/compnet/CompNet_ECB_Bojesteanu.pdf?13d5b349e89548f42324858d1ac4df29

28/01/2013

EU politics – are we on the verge of a major decision?

You can find the latest speech of David Cameron at the following link:

http://www.spiegel.de/international/europe/the-full-text-of-the-david-cameron-speech-on-the-future-of-europe-a-879165.html

“…power must be able to flow back to Member States, not just away from them…”

“…we will give the British people a referendum with a very simple in or out choice… I say to the British people: this will be your decision…”

Is the fact that decisions at the centralised level are affecting Britain’s sovereignty the main issue? What do you read between the lines?

Read the full text of British Prime Minister David Cameron's Wednesday speech on his country's plan to hold a referendum on the future of its membership in the European Union.

19/01/2013

19/01/2013

CARFIB director, Ciprian Necula, has recently published two books entitled Modeling interactions in the economic system (1) and Exchange rate modeling and forecasting (2).

(1): "To analyze the interconnections between the financial sector and the real economy, one needs to employ a structural model of the macroeconomy that can account for general equilibrium feedback effects between developments in the financial and real sectors of the economy.
The motivation of this book resides in the belief that the standard approach represented by DSGE models is too simplistic, and that a fundamentally different method is necessary to analyze the interconnections between the financial system and the real economy.
The objective of the book is to present a set of tools for modeling interactions in economic systems focusing on interconnections between stock price and fundamentals using a transmission mechanism that involves the confidence of economic agents."

(2): "Modeling the dynamics of financial assets prices, especially exchange rates, is at the core of modern finance theory. The book analyzes:
- financial market models, characterized by the fact that the theoretical distribution employed to model the return on financial assets is leptokurtic, particulary financial market model based on Levy processes and financial market models based on generalized hyperbolic distributions;
- methods and econometric techniques for determining the dependence structure between the returns of various financial assets using the concept of copula;
- various filtering methods used in estimating the volatility of financial assets, starting with the classical models of conditional heteroskedasticity from the ARCH-GARCH family, and also two-dimensional Copula-GARCH type models;
- the exchange rate dynamics in the context of a continuous time general equilibrium model for a two country Lucas type economy."

12/01/2013

The International Conference in Finance and Banking FIBA 2013 organized by Faculty of Finance, Insurance, Banking and Stock Exchange in association with SIF Banat-Crișana will take place on March 28 – 29, 2013. For those who want to participate in this event, the deadline for submitting the paper is January 20, 2013. You can find more details at the following link:

http://www.fin.ase.ro/FIBA2013/index.asp

International Conference FIBA 2013