Dr Cristin Buescu Academics Lecturer in Financial Mathematics Research subject areas Mathematics Contact details +44 020 7848 2226 cristin.buescu@kcl.ac.uk
Risk-neutral valuation under differential funding costs, defaults and collateralization Brigo, D., Buescu, C., Francischello, M., Pallavicini, A. & Rutkowski, M., 28 Feb 2018. Research output: Working paper Funding, repo and credit inclusive valuation as modified option pricing Brigo, D., Buescu, C. & Rutkowski, M., Nov 2017, In : OPERATIONS RESEARCH LETTERS. 45, 6, p. 665-670 Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1016/j.orl.2017.10.009 A note on the self-financing condition for funding, collateral and discounting Brigo, D., Buescu, C., Pallavicini, A. & Liu, Q., 2015, In : International Journal of Theoretical and Applied Finance. 18, 2, 1550011. Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1142/S0219024915500119 Counterparty risk pricing: impact of closeout and first-to-default times Brigo, D., Buescu, C. & Morini, M., Sep 2012, In : International Journal of Theoretical and Applied Finance. 15, 6, 1250039. Research output: Contribution to journal - Article Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting Brigo, D., Buescu, C., Pallavicini, A. & Liu, Q., 10 Jul 2012. Research output: Working paper - Pre-print An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices Buescu, C., Taksar, M. & J. Koné, F., 20 Dec 2011, In : International Journal of Theoretical and Applied Finance. 16, 5 Research output: Contribution to journal - Article. DOIs: https://doi.org/10.1142/S021902491350026X Optimal portfolio management in markets with asymmetric taxation Buescu, C. & Taksar, M., 2008, In : Journal of Computational Finance. 11 Research output: Contribution to journal - Article A note on the effects of taxes on optimal investment Buescu, C., Cadenillas, A. & Pliska, S., Oct 2007, In : MATHEMATICAL FINANCE. 17, 4, p. 477 - 485 9 p. Research output: Contribution to journal - Article Investors' preference for a positive tax rate depends on the level of the interest rate Buescu, C. & Cadenillas, A., Jul 2007, In : Mathematics and Financial Economics. 1, 2, p. 163 - 180 18 p. Research output: Contribution to journal - Article View all publications