Person:903331

Available identifiers

zbMath Open badescu.alexandru-mMaRDI QIDQ903331

List of research outcomes

Publication	Date of Publication	Type
A Viscosity Solution Theory of Stochastic Hamilton-Jacobi-Bellman equations in the Wasserstein Space	2023-10-22	Paper
A discrete-time hedging framework with multiple factors and fat tails: on what matters	2023-02-01	Paper
On non-negative equity guarantee calculations with macroeconomic variables related to house prices	2022-03-10	Paper
Lattice-based hedging schemes under GARCH models	2021-12-01	Paper
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits	2020-01-20	Paper
Variance swaps valuation under non-affine GARCH models and their diffusion limits	2019-09-26	Paper
Capital requirements and optimal investment with solvency probability constraints	2019-06-18	Paper
Portfolio Optimization under Solvency Constraints: A Dynamical Approach	2019-05-28	Paper
Quadratic hedging schemes for non-Gaussian GARCH models	2018-11-01	Paper
Non-Gaussian GARCH option pricing models and their diffusion limits	2016-10-06	Paper
Efficient risk allocation within a non-life insurance group under Solvency II regime	2016-01-05	Paper
Optimal reinsurance in the presence of counterparty default risk	2014-06-23	Paper
Optimal risk transfer under quantile-based risk measurers	2014-04-15	Paper
Optimal risk transfers in insurance groups	2013-08-20	Paper
Esscher transforms and consumption-based models	2012-02-10	Paper
A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS	2011-10-24	Paper
On pricing and hedging options in regime-switching models with feedback effect	2011-03-31	Paper
Option Valuation with Normal Mixture GARCH Models	2010-07-02	Paper
GARCH option pricing: A semiparametric approach	2008-08-18	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Alexandru M. Badescu