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Alexandru Badescu
Alexandru Badescu
Professor, Department of Mathematics and Statistics, University of Calgary
Verified email at math.ucalgary.ca - Homepage
Title
Cited by
Cited by
Year
On mean-variance portfolio selection under a hidden Markovian regime-switching model
RJ Elliott, TK Siu, A Badescu
Economic modelling 27 (3), 678-686, 2010
932010
Optimal risk transfer under quantile-based risk measurers
AV Asimit, AM Badescu, T Verdonck
Insurance: Mathematics and Economics 53 (1), 252-265, 2013
572013
GARCH option pricing: A semiparametric approach
AM Badescu, RJ Kulperger
Insurance: Mathematics and Economics 43 (1), 69-84, 2008
492008
Optimal reinsurance in the presence of counterparty default risk
AV Asimit, AM Badescu, KC Cheung
Insurance: Mathematics and Economics 53 (3), 690-697, 2013
472013
Optimal risk transfers in insurance groups
AV Asimit, AM Badescu, A Tsanakas
European Actuarial Journal 3, 159-190, 2013
442013
On pricing and hedging options in regime-switching models with feedback effect
RJ Elliott, TK Siu, A Badescu
Journal of Economic Dynamics and Control 35 (5), 694-713, 2011
412011
Portfolio optimization under solvency constraints: a dynamical approach
S Asanga, A Asimit, A Badescu, S Haberman
Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2226369, 2013
332013
Option valuation with normal mixture GARCH models
A Badescu, R Kulperger, E Lazar
Studies in Nonlinear Dynamics & Econometrics 12 (2), 2008
332008
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
A Badescu, Z Cui, JP Ortega
Journal of Financial Econometrics 15 (4), 602-648, 2017
312017
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
A Badescu, JE ROBERT, R Kulperger, J Miettinen, TK Siu
International Journal of Theoretical and Applied Finance 14 (05), 669-708, 2011
282011
Efficient risk allocation within a non-life insurance group under Solvency II Regime
AV Asimit, AM Badescu, S Haberman, ES Kim
Insurance: Mathematics and Economics 66, 69-76, 2016
272016
Non-Gaussian GARCH option pricing models and their diffusion limits
A Badescu, RJ Elliott, JP Ortega
European journal of operational research 247 (3), 820-830, 2015
272015
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
A Badescu, Z Cui, JP Ortega
Annals of Operations Research 282, 27-57, 2019
262019
Esscher transforms and consumption-based models
A Badescu, RJ Elliott, TK Siu
Insurance: Mathematics and Economics 45 (3), 337-347, 2009
252009
Valuation of VIX and target volatility options with affine GARCH models
H Cao, A Badescu, Z Cui, SK Jayaraman
Journal of Futures Markets 40 (12), 1880-1917, 2020
222020
Capital requirements and optimal investment with solvency probability constraints
AV Asimit, AM Badescu, TK Siu, Y Zinchenko
IMA Journal of Management Mathematics 26 (4), 345-375, 2015
222015
Quadratic hedging schemes for non-Gaussian GARCH models
A Badescu, RJ Elliott, JP Ortega
Journal of Economic Dynamics and Control 42, 13-32, 2014
192014
Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension
RJ Elliott, T Kuen Siu, A Badescu
Managerial Finance 37 (11), 1025-1047, 2011
182011
Variance swaps valuation under non-affine GARCH models and their diffusion limits
A Badescu, Y Chen, M Couch, Z Cui
Quantitative Finance 19 (2), 227-246, 2019
152019
A discrete-time hedging framework with multiple factors and fat tails: On what matters
M Augustyniak, A Badescu, JF Bégin
Journal of Econometrics 232 (2), 416-444, 2023
82023
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