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Badescu, Alexandru M.

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Author ID: badescu.alexandru-m Recent zbMATH articles by "Badescu, Alexandru M."
Published as: Badescu, Alexandru; Badescu, Alexandru M.; Badescu, Alex
External Links: MGP
Documents Indexed: 17 Publications since 2008
Co-Authors: 21 Co-Authors with 17 Joint Publications
446 Co-Co-Authors

Publications by Year

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 1284.91199
Asimit, Alexandru V.; Badescu, Alexandru M.; Verdonck, Tim
24
2013
On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru
24
2011
Optimal risk transfers in insurance groups. Zbl 1270.91028
Asimit, Alexandru V.; Badescu, Alexandru M.; Tsanakas, Andreas
21
2013
Optimal reinsurance in the presence of counterparty default risk. Zbl 1290.91074
Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun
11
2013
Esscher transforms and consumption-based models. Zbl 1231.91423
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen
8
2009
GARCH option pricing: A semiparametric approach. Zbl 1140.91374
Badescu, Alexandru M.; Kulperger, Reg J.
5
2008
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. Zbl 1282.91116
Badescu, 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 1348.91126
Asimit, Alexandru V.; Badescu, Alexandru M.; Haberman, Steven; Kim, Eun-Seok
5
2016
Quadratic hedging schemes for non-Gaussian GARCH models. Zbl 1402.91751
Badescu, 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 1430.91104
Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo
4
2019
Non-Gaussian GARCH option pricing models and their diffusion limits. Zbl 1346.91225
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo
4
2015
Option valuation with normal mixture GARCH models. Zbl 1193.91148
Badescu, Alex; Kulperger, Reg; Lazar, Emese
3
2008
Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443
Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu
3
2019
Capital requirements and optimal investment with solvency probability constraints. Zbl 1433.91125
Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen; Zinchenko, Yuriy
2
2015
Portfolio optimization under solvency constraints: a dynamical approach. Zbl 1414.91328
Asanga, 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 1430.91104
Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo
4
2019
Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443
Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu
3
2019
Efficient risk allocation within a non-life insurance group under Solvency II regime. Zbl 1348.91126
Asimit, Alexandru V.; Badescu, Alexandru M.; Haberman, Steven; Kim, Eun-Seok
5
2016
Non-Gaussian GARCH option pricing models and their diffusion limits. Zbl 1346.91225
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo
4
2015
Capital requirements and optimal investment with solvency probability constraints. Zbl 1433.91125
Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen; Zinchenko, Yuriy
2
2015
Quadratic hedging schemes for non-Gaussian GARCH models. Zbl 1402.91751
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo
5
2014
Portfolio optimization under solvency constraints: a dynamical approach. Zbl 1414.91328
Asanga, Sujith; Asimit, Alexandru; Badescu, Alexandru; Haberman, Steven
1
2014
Optimal risk transfer under quantile-based risk measurers. Zbl 1284.91199
Asimit, Alexandru V.; Badescu, Alexandru M.; Verdonck, Tim
24
2013
Optimal risk transfers in insurance groups. Zbl 1270.91028
Asimit, Alexandru V.; Badescu, Alexandru M.; Tsanakas, Andreas
21
2013
Optimal reinsurance in the presence of counterparty default risk. Zbl 1290.91074
Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun
11
2013
On pricing and hedging options in regime-switching models with feedback effect. Zbl 1209.91156
Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alexandru
24
2011
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. Zbl 1282.91116
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; Miettinen, Jarkko; Siu, Tak Kuen
5
2011
Esscher transforms and consumption-based models. Zbl 1231.91423
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen
8
2009
GARCH option pricing: A semiparametric approach. Zbl 1140.91374
Badescu, Alexandru M.; Kulperger, Reg J.
5
2008
Option valuation with normal mixture GARCH models. Zbl 1193.91148
Badescu, Alex; Kulperger, Reg; Lazar, Emese
3
2008
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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

Citations by Year