Edit Profile (opens in new tab) Badescu, Alexandru M. Compute Distance To: Compute Author ID: badescu.alexandru-m Published as: Badescu, Alexandru; Badescu, Alexandru M.; Badescu, Alex more...less External Links: MGP Documents Indexed: 17 Publications since 2008 Co-Authors: 21 Co-Authors with 17 Joint Publications 446 Co-Co-Authors all top 5 Co-Authors 0 single-authored 6 Asimit, Alexandru V. 5 Elliott, Robert James 4 Siu, Tak Kuen 3 Kulperger, Reg J. 3 Ortega, Juan-Pablo 2 Cui, Zhenyu 2 Haberman, Steven 1 Asanga, Sujith 1 Augustyniak, Maciej 1 Chen, Yuyu 1 Cheung, Ka Chun 1 Couch, Matthew 1 Guo, Zhiyu 1 Kim, Eunseok 1 Lazar, Emese 1 Miettinen, Jarkko 1 Quaye, Enoch Nii Boi 1 Tsanakas, Andreas 1 Tunaru, Radu S. 1 Verdonck, Tim 1 Zinchenko, Yuriy all top 5 Serials 6 Insurance Mathematics & Economics 2 Journal of Economic Dynamics & Control 2 Quantitative Finance 1 Annals of Operations Research 1 European Journal of Operational Research 1 Studies in Nonlinear Dynamics and Econometrics 1 International Journal of Theoretical and Applied Finance 1 IMA Journal of Management Mathematics 1 North American Actuarial Journal 1 European Actuarial Journal Fields 17 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Statistics (62-XX) 3 Probability theory and stochastic processes (60-XX) 2 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 15 Publications have been cited 125 times in 100 Documents Cited by ▼ Year ▼ Optimal risk transfer under quantile-based risk measurers. Zbl 1284.91199Asimit, Alexandru V.; Badescu, Alexandru M.; Verdonck, Tim 24 2013 On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru 24 2011 Optimal risk transfers in insurance groups. Zbl 1270.91028Asimit, Alexandru V.; Badescu, Alexandru M.; Tsanakas, Andreas 21 2013 Optimal reinsurance in the presence of counterparty default risk. Zbl 1290.91074Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun 11 2013 Esscher transforms and consumption-based models. Zbl 1231.91423Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen 8 2009 GARCH option pricing: A semiparametric approach. Zbl 1140.91374Badescu, Alexandru M.; Kulperger, Reg J. 5 2008 A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. Zbl 1282.91116Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen 5 2011 Efficient risk allocation within a non-life insurance group under Solvency II regime. Zbl 1348.91126Asimit, Alexandru V.; Badescu, Alexandru M.; Haberman, Steven; Kim, Eun-Seok 5 2016 Quadratic hedging schemes for non-Gaussian GARCH models. Zbl 1402.91751Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo 5 2014 Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. Zbl 1430.91104Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo 4 2019 Non-Gaussian GARCH option pricing models and their diffusion limits. Zbl 1346.91225Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo 4 2015 Option valuation with normal mixture GARCH models. Zbl 1193.91148Badescu, Alex; Kulperger, Reg; Lazar, Emese 3 2008 Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu 3 2019 Capital requirements and optimal investment with solvency probability constraints. Zbl 1433.91125Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen; Zinchenko, Yuriy 2 2015 Portfolio optimization under solvency constraints: a dynamical approach. Zbl 1414.91328Asanga, Sujith; Asimit, Alexandru; Badescu, Alexandru; Haberman, Steven 1 2014 Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. Zbl 1430.91104Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo 4 2019 Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu 3 2019 Efficient risk allocation within a non-life insurance group under Solvency II regime. Zbl 1348.91126Asimit, Alexandru V.; Badescu, Alexandru M.; Haberman, Steven; Kim, Eun-Seok 5 2016 Non-Gaussian GARCH option pricing models and their diffusion limits. Zbl 1346.91225Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo 4 2015 Capital requirements and optimal investment with solvency probability constraints. Zbl 1433.91125Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen; Zinchenko, Yuriy 2 2015 Quadratic hedging schemes for non-Gaussian GARCH models. Zbl 1402.91751Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo 5 2014 Portfolio optimization under solvency constraints: a dynamical approach. Zbl 1414.91328Asanga, Sujith; Asimit, Alexandru; Badescu, Alexandru; Haberman, Steven 1 2014 Optimal risk transfer under quantile-based risk measurers. Zbl 1284.91199Asimit, Alexandru V.; Badescu, Alexandru M.; Verdonck, Tim 24 2013 Optimal risk transfers in insurance groups. Zbl 1270.91028Asimit, Alexandru V.; Badescu, Alexandru M.; Tsanakas, Andreas 21 2013 Optimal reinsurance in the presence of counterparty default risk. Zbl 1290.91074Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun 11 2013 On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru 24 2011 A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. Zbl 1282.91116Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen 5 2011 Esscher transforms and consumption-based models. Zbl 1231.91423Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen 8 2009 GARCH option pricing: A semiparametric approach. Zbl 1140.91374Badescu, Alexandru M.; Kulperger, Reg J. 5 2008 Option valuation with normal mixture GARCH models. Zbl 1193.91148Badescu, Alex; Kulperger, Reg; Lazar, Emese 3 2008 all cited Publications top 5 cited Publications all top 5 Cited by 159 Authors 18 Siu, Tak Kuen 9 Boonen, Tim J. 9 Elliott, Robert James 8 Asimit, Alexandru V. 8 Badescu, Alexandru M. 6 Tan, Ken Seng 5 Chi, Yichun 5 Zhuang, Sheng Chao 4 Hu, Junlei 4 Weng, Chengguo 3 Cai, Jun 3 Cheung, Ka Chun 3 Cui, Zhenyu 3 Godin, Frédéric 3 Kim, Eunseok 3 Liu, Fangda 3 Meng, Hui 3 Shen, Yang 2 Augustyniak, Maciej 2 Ching, Wai-Ki 2 Delong, Łukasz 2 Fan, Kun 2 Ghossoub, Mario 2 Hong, Hanping 2 Huang, Shih-Feng 2 Jiang, Wenjun 2 Jin, Zhuo 2 Lazar, Emese 2 Lemieux, Christiane 2 Ortega, Juan-Pablo 2 Ren, Jiandong 2 Trottier, Denis-Alexandre 2 Wang, Ning 2 Wang, Rongming 2 Wang, Ruodu 2 Yang, Hailiang 2 Zhu, Ailin 1 Alexander, Carol 1 Asiimwe, Pious 1 Bai, Yizhou 1 Banerjee, Tamal 1 Barletta, Andrea 1 Bäuerle, Nicole 1 Bazaz, Ali Panahi 1 Bensoussan, Alain 1 Bignozzi, Valeria 1 Calvet, Laurent-Emmanuel 1 Chen, An 1 Chen, Hua 1 Chen, Mi 1 Chen, Shouting 1 Chen, Xinxiang 1 Chen, Yiqing 1 Chen, Yuyu 1 Cheung, Yin-Wong 1 Chong, Wing Fung 1 Chung, Sang-Kuck 1 Couch, Matthew 1 Cox, Samuel H. jun. 1 de Magistris, Paolo Santucci 1 Devolder, Pierre 1 Dhaene, Jan 1 Diao, Xundi 1 Ding, Kailin 1 Escobar Anel, Marcos 1 Ettlin, Nicolas 1 Fang, Ying 1 Fard, Farzad Alavi 1 Farkas, Walter 1 Fearnley, Marcus 1 Fengler, Matthias R. 1 Fisher, Adlai J. 1 Furman, Edward 1 Gao, Tao 1 Ghosh, Mrinal Kanti 1 Glauner, Alexander 1 Golembiovsky, D. Yu. 1 Gu, Jiawen 1 Guo, Meihui 1 Guo, Zhiyu 1 Haberman, Steven 1 Haier, Andreas 1 Hamm, Anna-Maria 1 Hashorva, Enkelejd 1 Hoe, SingRu 1 Hu, Shaoyong 1 Hu, Yijun 1 Huang, Nan-Jing 1 Iyer, Srikanth K. 1 Kang, Jian-hao 1 Knispel, Thomas 1 Kull, Andreas 1 Kulperger, Reg J. 1 Labuschagne, Coenraad C. A. 1 Lai, Van Son 1 Lee, Kiseop 1 Leippold, Markus 1 Li, Jinzhu 1 Li, Shuanming 1 Liew, Chuin Ching ...and 59 more Authors all top 5 Cited in 34 Serials 32 Insurance Mathematics & Economics 7 Quantitative Finance 6 ASTIN Bulletin 5 European Journal of Operational Research 5 Scandinavian Actuarial Journal 4 Journal of Computational and Applied Mathematics 4 Journal of Economic Dynamics & Control 3 International Journal of Theoretical and Applied Finance 3 Journal of Industrial and Management Optimization 3 European Actuarial Journal 2 Stochastic Analysis and Applications 2 Communications in Statistics. Theory and Methods 2 Methodology and Computing in Applied Probability 2 North American Actuarial Journal 1 Physica A 1 Journal of Applied Probability 1 Journal of Econometrics 1 Journal of Mathematical Economics 1 Bulletin of the Korean Mathematical Society 1 Acta Mathematicae Applicatae Sinica. English Series 1 Econometric Reviews 1 Computational Mathematics and Modeling 1 Annals of Operations Research 1 Computational Economics 1 Applied Mathematics. Series B (English Edition) 1 Mathematical Problems in Engineering 1 Mathematical Finance 1 Discrete and Continuous Dynamical Systems. Series B 1 Stochastic Models 1 Asia-Pacific Financial Markets 1 Review of Derivatives Research 1 Mathematics and Financial Economics 1 International Journal of Stochastic Analysis 1 Annals of Finance all top 5 Cited in 13 Fields 96 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 36 Probability theory and stochastic processes (60-XX) 34 Statistics (62-XX) 6 Operations research, mathematical programming (90-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 4 Systems theory; control (93-XX) 2 Numerical analysis (65-XX) 1 General and overarching topics; collections (00-XX) 1 Measure and integration (28-XX) 1 Partial differential equations (35-XX) 1 Integral transforms, operational calculus (44-XX) 1 Functional analysis (46-XX) 1 Statistical mechanics, structure of matter (82-XX) Citations by Year