Alex Badescu

University of Calgary

Assistant Professor

University of Calgary

Calgary, Alberta

Canada

SCHOLARLY PAPERS

14

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Top 24,852

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1,992

SSRN CITATIONS
Rank 25,205

SSRN RANKINGS

Top 25,205

in Total Papers Citations

24

CROSSREF CITATIONS

6

Scholarly Papers (14)

1.

Capital Requirements and Optimal Investment with Solvency Probability Constraints

IMA Journal of Management Mathematics (2015), 26 (4), 345-375.
Number of pages: 34 Posted: 09 Apr 2012 Last Revised: 03 Sep 2015
Cass Business School, City, University of London, University of Calgary, Macquarie University, Macquarie Business School and University of Calgary - Department of Mathematics and Statistics
Downloads 358 (87,102)
Citation 1

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Optimal investment, Portfolio efficient frontier, Risk Capital, Ruin probability constraint, Second order cone programming, Solvency II, Value at Risk

2.

Non-Affine GARCH Option Pricing Models, Variance Dependent Kernels, and Diffusion Limits

Number of pages: 54 Posted: 19 Dec 2015 Last Revised: 12 Jun 2017
Alex Badescu, Zhenyu Cui and Juan-Pablo Ortega
University of Calgary, Stevens Institute of Technology - School of Business and Universität Sankt Gallen
Downloads 248 (129,603)
Citation 5

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non-affine GARCH models, non-Gaussian innovations, exponential linear variance dependent pricing kernel, bivariate diffusion limit, option pricing

3.

Optimal Risk Transfers in Insurance Groups

The final version of this article has appeared as: Asimit A. V., Badescu, A. M., Tsanakas, A. (2013), 'Optimal Risk Transfers in Insurance Groups', European Actuarial Journal, 3(1), p.159-190
Number of pages: 29 Posted: 19 Jan 2012 Last Revised: 03 Jan 2014
Cass Business School, City, University of London, University of Calgary and City University London - Cass Business School
Downloads 227 (141,359)
Citation 2

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Cost of Capital, Expected Shortfall, Insurance Groups, Optimal Reinsurance, Value-at-Risk

4.

Efficient Risk Allocation within a Non-Life Insurance Group Under Solvency II Regime

Insurance: Mathematics and Economics (2016), 66, 69–76
Number of pages: 16 Posted: 29 Mar 2015 Last Revised: 03 Dec 2015
Cass Business School, City, University of London, University of Calgary, City University London - Faculty of Actuarial Science and Queen Mary, University of London
Downloads 215 (148,862)
Citation 3

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Best Estimate; Insurance Group; Minimum Capital Requirement; Risk Margin; Solvency II; Solvency Capital Requirement

5.

Optimal Risk Transfer under Quantile-Based Risk Measures

Insurance: Mathematics and Economics, 2013, Volume 53, Issue 1, p. 252-265
Number of pages: 26 Posted: 29 Jan 2012 Last Revised: 17 Nov 2014
Cass Business School, City, University of London, University of Calgary and KU Leuven
Downloads 174 (180,744)
Citation 4

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Expected Shortfall, Distorted Risk Measure, Premium Principle, Optimal Reinsurance, Truncated Tail-Value-at-Risk , Value-at-Risk

6.

Portfolio Optimization under Solvency Constraints: A Dynamical Approach

North American Actuarial Journal, 2014, Volume 18, Issue 3, p.394-416
Number of pages: 36 Posted: 02 Mar 2013 Last Revised: 17 Nov 2014
University of Calgary - Department of Mathematics and Statistics, Cass Business School, City, University of London, University of Calgary and City University London - Faculty of Actuarial Science
Downloads 136 (222,004)
Citation 1

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Portfolio optimization, Capital requirements, Solvency constraint, Multivariate GARCH, Double rolling window

7.

Non-Gaussian GARCH Option Pricing Models and Their Diffusion Limits

Forthcoming, European Journal of Operational Research
Number of pages: 30 Posted: 02 Nov 2013 Last Revised: 19 Jun 2015
University of Calgary, University of Calgary - Haskayne School of Business and Universität Sankt Gallen
Downloads 129 (231,332)
Citation 5

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finance, non-Gaussian GARCH models, extended Girsanov principle, conditional Esscher transform, bivariate diffusion limit, option pricing

8.

Optimal Reinsurance in the Presence of Counterparty Default Risk

Insurance: Mathematics and Economics, 2013, Volume 53, issue 3, p. 690–697
Number of pages: 17 Posted: 07 May 2013 Last Revised: 17 Nov 2014
Cass Business School, City, University of London, University of Calgary and The University of Hong Kong
Downloads 111 (258,394)
Citation 2

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Counterparty Default Risk, Distorted Risk Measure, Expected Policyholder Deficit, Premium Principle, Optimal Reinsurance, Value-at-Risk

9.

A Unified Valuation Framework for Variance Swaps under Non-Affine Stochastic Volatility Models

Number of pages: 38 Posted: 10 Jan 2017
Alex Badescu, Matthew Couch and Zhenyu Cui
University of Calgary, University of Calgary - Department of Mathematics and Statistics and Stevens Institute of Technology - School of Business
Downloads 97 (283,461)
Citation 1

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Variance Swaps, Non-Gaussian GARCH Models, Extended Girsanov Principle, Diffusion Limits, CBOE VIX

10.

A Note on the Wang Transform for Stochastic Volatility Pricing Models

Number of pages: 14 Posted: 18 Oct 2015 Last Revised: 29 Jul 2016
Alex Badescu, Zhenyu Cui and Juan-Pablo Ortega
University of Calgary, Stevens Institute of Technology - School of Business and Universität Sankt Gallen
Downloads 90 (297,289)

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distortion function, stochastic discount factor, generalized local risk-neutral valuation relationship, GARCH models, weak convergence, stochastic volatility

11.

Quadratic Hedging Schemes for Non-Gaussian GARCH Models

Journal of Economic Dynamics and Control, Vol. 32, 13-32, 2014
Number of pages: 26 Posted: 27 Sep 2012 Last Revised: 13 May 2014
University of Calgary, University of Calgary - Haskayne School of Business and Universität Sankt Gallen
Downloads 88 (301,515)
Citation 5

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GARCH models, hedging scheme, local risk minimization, conditional Esscher transform, Extended Girsanov Principle, bivariate diffusion limit, minimum variance hedge

12.

Closed-Form Variance Swap Prices under General Affine GARCH Models and Their Continuous-Time Limits

Number of pages: 30 Posted: 08 Aug 2017
Alex Badescu, Zhenyu Cui and Juan-Pablo Ortega
University of Calgary, Stevens Institute of Technology - School of Business and Universität Sankt Gallen
Downloads 46 (420,876)
Citation 2

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Variance Swaps, Realized Variance, Affine GARCH Models, Variance Dependent Pricing Kernels, Diffusion Limits

13.

Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options

Number of pages: 31 Posted: 26 Sep 2012 Last Revised: 13 Apr 2016
University of Calgary, Autonomous University of Barcelona and Universität Sankt Gallen
Downloads 37 (456,891)

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stochastic volatility models, ARSV models, hedging techniques, incomplete markets, local risk minimization, Kalman filter, hierarchical-likelihood

14.

Closed-Form Risk-Minimizing Hedge Ratios for Affine GARCH Models

Number of pages: 36 Posted: 05 Nov 2019 Last Revised: 17 Jan 2020
Maciej Augustyniak and Alex Badescu
University of Montreal - Department of Mathematics and Statistics and University of Calgary
Downloads 36 (461,181)

Abstract:

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affine GARCH models, mean-variance hedging, local risk-minimization, minimum variance hedge, weak convergence