Alexandru Badescu

University of Calgary

Assistant Professor

University of Calgary

Calgary, Alberta

Canada

  • University of Calgary

SCHOLARLY PAPERS

19

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55

CROSSREF CITATIONS

7

Scholarly Papers (19)

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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
Alexandru Vali Asimit, Alexandru Badescu, Tak-Kuen Siu and Yuriy Zinchenko
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 397 (120,166)
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
Alexandru Badescu, Zhenyu Cui, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Calgary, Stevens Institute of Technology - School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 284 (172,596)
Citation 12

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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
Alexandru Vali Asimit, Alexandru Badescu and Andreas Tsanakas
Cass Business School, City, University of London, University of Calgary and Bayes Business School (formerly Cass), City, University of London
Downloads 248 (197,794)
Citation 4

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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
Alexandru Vali Asimit, Alexandru Badescu, Steven Haberman and Eun-Seok Kim
Cass Business School, City, University of London, University of Calgary, City University London - Faculty of Actuarial Science and Queen Mary, University of London
Downloads 236 (207,542)
Citation 5

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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
Alexandru Vali Asimit, Alexandru Badescu and Tim Verdonck
Cass Business School, City, University of London, University of Calgary and KU Leuven
Downloads 190 (253,720)
Citation 5

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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
Sujith Asanga, Alexandru Vali Asimit, Alexandru Badescu and Steven Haberman
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 171 (278,473)
Citation 2

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

7.

On the computation of hedging strategies in affine GARCH models

Number of pages: 40 Posted: 05 Nov 2019 Last Revised: 22 Dec 2020
Maciej Augustyniak and Alexandru Badescu
University of Montreal - Department of Mathematics and Statistics and University of Calgary
Downloads 156 (300,818)
Citation 2

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

8.

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
Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Calgary, University of Calgary - Haskayne School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 152 (307,371)
Citation 7

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

9.

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
Alexandru Vali Asimit, Alexandru Badescu and Ka Chun Cheung
Cass Business School, City, University of London, University of Calgary and The University of Hong Kong
Downloads 131 (345,761)
Citation 4

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

10.

A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters

Number of pages: 46 Posted: 21 Jan 2021 Last Revised: 11 Aug 2021
Maciej Augustyniak, Alexandru Badescu and Jean-François Bégin
University of Montreal - Department of Mathematics and Statistics, University of Calgary and Simon Fraser University
Downloads 128 (351,772)

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option hedging, risk-minimization, affine models, multi-component volatility, exponential-affine pricing kernels

11.

A Note on the Wang Transform for Stochastic Volatility Pricing Models

Number of pages: 14 Posted: 18 Oct 2015 Last Revised: 29 Jul 2016
Alexandru Badescu, Zhenyu Cui, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Calgary, Stevens Institute of Technology - School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 128 (351,772)

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

12.

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

Number of pages: 38 Posted: 10 Jan 2017
Alexandru 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 119 (371,317)
Citation 1

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

13.

Valuation of VIX and Target Volatility Options with Affine GARCH Models

Number of pages: 45 Posted: 13 Aug 2020
Hongkai Cao, Alexandru Badescu, Zhenyu Cui and Sarath Kumar Jayaraman
Stevens Institute of Technology - School of Business, University of Calgary, Stevens Institute of Technology - School of Business and University of Calgary - Department of Mathematics and Statistics
Downloads 110 (392,780)
Citation 3

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VIX Options, Target Volatility Options, Heston-Nandi GARCH Model, Inverse Gaussian Model, Joint Calibration

14.

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
Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Calgary, University of Calgary - Haskayne School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 104 (408,543)
Citation 8

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

15.

Lattice-Based Hedging Schemes Under GARCH Models

Number of pages: 27 Posted: 06 May 2020 Last Revised: 10 Feb 2021
Maciej Augustyniak, Alexandru Badescu and Zhiyu Guo
University of Montreal - Department of Mathematics and Statistics, University of Calgary and Nankai University
Downloads 98 (425,760)

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Option Pricing and Hedging, Local Risk-Minimization, Non-Affine GARCH, Lattice Approximation, Mean-Tracking Tree

16.

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

Number of pages: 30 Posted: 08 Aug 2017
Alexandru Badescu, Zhenyu Cui, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Calgary, Stevens Institute of Technology - School of Business and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 89 (452,582)
Citation 4

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

17.

Long memory in option pricing: A fractional discrete-time approach

Number of pages: 51 Posted: 18 May 2022
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin and Sarath Kumar Jayaraman
University of Montreal - Department of Mathematics and Statistics, University of Calgary, Simon Fraser University and University of Calgary - Department of Mathematics and Statistics
Downloads 70 (520,249)

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Fractional affine models, ARCH(∞) representations, Volatility components, Variance-dependent pricing kernels, Joint estimation

18.

Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options

Number of pages: 31 Posted: 26 Sep 2012 Last Revised: 13 Apr 2016
Alexandru Badescu, Joan del Castillo, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Calgary, Autonomous University of Barcelona and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 53 (596,576)

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

19.

On Non-Negative Equity Guarantee Calculations with Macroeconomic Variables Related to House Prices

Number of pages: 29 Posted: 09 Aug 2021
Alexandru Badescu, Enoch Quaye and Radu Tunaru
University of Calgary, Kent Business School, Canterbury and University of Sussex
Downloads 48 (622,866)

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House price risk, Non-negative equity guarantee, GARCH-MIDAS, Exponential linear pricing kernel