Alexandru Badescu

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

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 Journal of Econometrics	2023-02-01	Paper
On non-negative equity guarantee calculations with macroeconomic variables related to house prices Insurance Mathematics & Economics	2022-03-10	Paper
Lattice-based hedging schemes under GARCH models Quantitative Finance	2021-12-01	Paper
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits Annals of Operations Research	2020-01-20	Paper
Variance swaps valuation under non-affine GARCH models and their diffusion limits Quantitative Finance	2019-09-26	Paper
Capital requirements and optimal investment with solvency probability constraints IMA Journal of Management Mathematics	2019-06-18	Paper
Portfolio optimization under solvency constraints: a dynamical approach North American Actuarial Journal	2019-05-28	Paper
Quadratic hedging schemes for non-Gaussian GARCH models Journal of Economic Dynamics and Control	2018-11-01	Paper
Quadratic hedging schemes for non-Gaussian GARCH models Journal of Economic Dynamics and Control	2018-11-01	Paper
Non-Gaussian GARCH option pricing models and their diffusion limits European Journal of Operational Research	2016-10-06	Paper
Efficient risk allocation within a non-life insurance group under Solvency II regime Insurance Mathematics & Economics	2016-01-05	Paper
Optimal reinsurance in the presence of counterparty default risk Insurance Mathematics & Economics	2014-06-23	Paper
Optimal risk transfer under quantile-based risk measurers Insurance Mathematics & Economics	2014-04-15	Paper
Optimal risk transfers in insurance groups European Actuarial Journal	2013-08-20	Paper
Esscher transforms and consumption-based models Insurance Mathematics & Economics	2012-02-10	Paper
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions International Journal of Theoretical and Applied Finance	2011-10-24	Paper
On pricing and hedging options in regime-switching models with feedback effect Journal of Economic Dynamics and Control	2011-03-31	Paper
Option valuation with normal mixture GARCH models Studies in Nonlinear Dynamics & Econometrics	2010-07-02	Paper
GARCH option pricing: A semiparametric approach Insurance Mathematics & Economics	2008-08-18	Paper

Research outcomes over time

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