News from Cass Business School

Dr Radu Tunaru wins fourth research paper prize

Campus for Finance Research Conference

Monday, 1 February, 2010

Dr Radu Tunaru, senior lecturer in financial mathematics, recently won first prize for the best research paper at the annual Campus for Finance Research Conference. This was in recognition of his academic work on real estate derivatives which he conducted jointly with Professors Frank Fabozzi and Robert Shiller from Yale School of Management.

The prize, worth 1000 euros, was presented at the tenth conference at WHU Otto Beisheim School of Management in Vallendar, Germany. The paper was selected from approximately 50 other academic submissions which ranged in subject from alternative investments, derivatives, stock markets, to credit risk securitisation, banking, corporate finance and asset pricing.

Dr Tunaru's paper, Pricing Models for Real-Estate Derivatives', develops new methods for pricing three types of real estate derivatives forward contracts, total return swaps, and options. Taking into consideration the incompleteness of this market, a suitable model leading to exact pricing formulae is developed. This models accounts for well-known econometric properties of real-estate indices such as predictability due to autocorrelations.

Dr Tunaru commented: "It is great to get international appreciation of my work, this felt like winning the World Cup in Germany with the hosts as finalists. Moreover, the runner-up paper was co-authored by Anthony Saunders from the Stern School of Business and it is always good to compete on this level and my reward was also seeing Professor John Nash Jr, a winner of the Nobel Prize. I highly recommend this conference to all researchers in finance."

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