I. SELECTED PAPERS IN PEER REVIEWED JOURNALS
- A General Closed Form Option Pricing Formula, Review of Derivatives Research, 22, 2019 (with W. Farkas and G. Drimus)
- A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing, Journal of Banking and Finance, 77, 2017 (with W. Farkas, E. Gourier, and R. Huitema)
- Quantifying the recapitalization fund premium using option pricing techniques, Economics Letters, 114, 3, 2012 (with A-N Radu)
- A Framework for Analyzing the Reflexive Relationship Between Stock Prices and Fundamentals, Procedia - Social and Behavioral Sciences, 62, 2012
- Long Memory in Eastern European Financial Markets, Economic Research (Ekonomska istrazivanja), 25, 2, 2012 (with A-N Radu)
- Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach, Romanian Journal of Economic Forecasting, 13, 3, 2010
- Estimating Potential GDP for the Romanian Economy. An Eclectic Approach., Romanian Journal of Economic Forecasting, 13, 3, 2010 (with M. Altar and G. Bobeica)
- A Copula-GARCH Model, Economic Research (Ekonomska istrazivanja), 23, 2, 2010.
- Estimating the Cyclically Adjusted Budget Balance for the Romanian Economy. A Robust Approach., Romanian Journal of Economic Forecasting, 13, 2, 2010 (with M. Altar and G. Bobeica)
- A Two-Country Discontinuous General Equilibrium Model, Economic Computation and Economic Cybernetics Studies and Research, 44, 2, 2010
- Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution, Romanian Journal of Economic Forecasting, 10, 2, 2009
- A Framework for Derivative Pricing in the Fractional Black-Scholes Market, Icfai University Journal of Derivatives Markets, Vol. VI, No. 1, 2009
- Modeling the Economic Growth in Romania. The Influence of Fiscal Regimes, Romanian Journal of Economic Forecasting, 9, 4, 2008 (with M. Altar and G. Bobeica)
- Modeling the Economic Growth in Romania. The Role of Human Capital, Romanian Journal of Economic Forecasting, 9, 3, 2008 (with M. Altar and G. Bobeica)
- Option Pricing in a fractional Brownian motion environment, Mathematical Reports, vol.6(56), no. 3, 2004
- Evaluarea optiunilor financiare. Volumul I - Modelul Black-Scholes-Merton, Editura ASE, 2009
- Evaluarea optiunilor financiare. Volumul II - Modele multifactoriale, Editura ASE, 2009
- Fundamentarea de politici care sa asigure consistenta si sustenabilitatea finantelor publice, Editura ASE, 2008 (coauthor)
- Elaborarea si estimarea de modele econometrice pentru studierea volatilitatii mediului macroeconomic din Romānia, Editura ASE, 2008 (coauthor)
- Impactul liberalizarii contului de capital asupra cursului de schimb si a competitivitatii economiei romānesti, Editura IER, 2006 (coauthor)
Some peer reviewed scientific publications that reference my papers:
- Xiao, W-L, W-G Zhang, X-L Zhang, Y-L Wang, (2010), Pricing currency options in a fractional Brownian motion with jumps, Economic Modelling, 27, 935-942.
- Zhang W-G, W-L. Xiao, C-X. He, (2009), Equity warrants pricing model under Fractional Brownian motion and an empirical study, Expert Systems with Applications, 36, 3056-3065.
- Zhang W-G, W-L. Xiao, W-J. Xu, X-L. Zhang, (2009), Pricing European currency options in a fractional Brownian environment, System Engineering Theory and Practice, 29, 6, 68-76.
- Biagini, F., B. Oksendal, Y. Hu, and T. Zhang, (2008), Stochastic Calculus for Fractional Brownian Motion and Applications, Springer-Verlag;
- Chan, NH. and CH. Ng, (2006), Fractional constant elasticity of variance model, Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics, 52, 149-164;
- Biagini, F., B. Oksendal, A. Sulem and N. Wallner, (2004), An introduction to white-noise theory and Malliavin calculus for fractional Brownian motion, Proceedings of the Royal Society A -Mathematical Physical and Engineering Sciences, 460, 347-372;
- Elliott, RJ and L. Chan, (2004), Perpetual American options with fractional Brownian motion, Quantitative Finance, 4, 2, 123 - 128;
- Vasconcelos, G.L., (2004), A guided walk down Wall Street: an introduction to econophysics, Brazilian Journal of Physics, 34, 3b, 1039-1065;
- Benth, FE, (2003), On arbitrage-free pricing of weather derivatives based on fractional Brownian motion, Applied Mathematical Finance, 10, 4, 303 - 324;