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Alexandru M. Badescu

Observed names: ALEXANDRU BADESCU, Alex Badescu, Alexandru Badescu, Badescu, Alexandru
ORCID: 0000-0002-8349-547X
Observed ORCID: 0000-0002-8349-547X
OpenAlex ID: A5032088065
On mean-variance portfolio selection under a hidden Markovian regime-switching model
2010 · Robert J. Elliott, Tak Kuen Siu, et al. · Economic Modelling · 79
Optimal risk transfer under quantile-based risk measurers
2013 · Alexandru V. Asimit, Alexandru M. Badescu, et al. · Insurance Mathematics and Economics · 54
GARCH option pricing: A semiparametric approach
2007 · Alexandru M. Badescu, Reg J. Kulperger · Insurance Mathematics and Economics · 44
Option Valuation with Normal Mixture GARCH Models
2008 · Alex Badescu, Reg Kulperger, et al. · Studies in Nonlinear Dynamics and Econometrics · 43
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
2018 · Alexandru Badescu, Zhenyu Cui, et al. · Annals of Operations Research · 40
Optimal reinsurance in the presence of counterparty default risk
2013 · Alexandru V. Asimit, Alexandru M. Badescu, et al. · Insurance Mathematics and Economics · 40
Optimal risk transfers in insurance groups
2013 · Alexandru V. Asimit, Alexandru M. Badescu, et al. · European Actuarial Journal · 40
On pricing and hedging options in regime-switching models with feedback effect
2011 · Robert J. Elliott, Tak Kuen Siu, et al. · Journal of Economic Dynamics and Control · 38
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Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits*
2017 · Alexandru Badescu, Zhenyu Cui, et al. · Journal of Financial Econometrics · 34
Non-Gaussian GARCH option pricing models and their diffusion limits
2015 · Alexandru Badescu, Robert J. Elliott, et al. · European Journal of Operational Research · 25
Esscher transforms and consumption-based models
2009 · Alex Badescu, Robert J. Elliott, et al. · Insurance Mathematics and Economics · 25
Valuation of VIX and Target Volatility Options with Affine GARCH Models
2020 · Hongkai Cao, Alexandru Badescu, et al. · Journal of Futures Markets · 24
A Comparison of Pricing Kernels for Garch Option Pricing With Generalized Hyperbolic Distributions
2011 · ALEXANDRU BADESCU, ROBERT J. ELLIOTT, et al. · International Journal of Theoretical and Applied Finance · 24
Efficient risk allocation within a non-life insurance group under Solvency II Regime
2015 · Alexandru V. Asimit, Alexandru M. Badescu, et al. · Insurance Mathematics and Economics · 21
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Quadratic hedging schemes for non-Gaussian GARCH models
2014 · Alexandru Badescu, Robert J. Elliott, et al. · Journal of Economic Dynamics and Control · 19
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A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters
2020 · Maciej Augustyniak, Alexandru Badescu, et al. · Journal of Econometrics · 17
Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension
2011 · Robert J. Elliott, Tak Kuen Siu, et al. · Managerial Finance · 16
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Capital requirements and optimal investment with solvency probability constraints
2014 · Alexandru V. Asimit, Alexandru M. Badescu, et al. · IMA Journal of Management Mathematics · 15
Variance swaps valuation under non-affine GARCH models and their diffusion limits
2018 · Alexandru Badescu, Yuyu Chen, et al. · Quantitative Finance · 14
Portfolio Optimization under Solvency Constraints: A Dynamical Approach
2013 · Sujith Asanga, Alexandru Asimit, et al. · North American Actuarial Journal · 13
On the computation of hedging strategies in affine GARCH models
2021 · Maciej Augustyniak, Alexandru Badescu · Journal of Futures Markets · 11
A general option pricing framework for affine fractionally integrated models
2024 · Maciej Augustyniak, Alexandru Badescu, et al. · Journal of Banking & Finance · 5
Optimal Risk Transfer under Quantile-Based Risk Measures
2012 · Alexandru Vali Asimit, Alexandru Badescu, et al. · SSRN Electronic Journal · 5
On non-negative equity guarantee calculations with macroeconomic variables related to house prices
2022 · Alexandru Badescu, Enoch Quaye, et al. · Insurance Mathematics and Economics · 4
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Lattice-based hedging schemes under GARCH models
2021 · Maciej Augustyniak, Alexandru Badescu, et al. · Quantitative Finance · 4
Works count: 49
Citation count: 673
H-index: 16
I10-index: 21
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