Alexandru Badescu
University of Calgary
H-index: 18
North America-Canada
Top articles of Alexandru Badescu
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
On the relation between discrete and continuous-time affine option pricing models | IEEE Control Systems Letters | Rodrigo A González Cristian R Rojas Siqi Pan James S Welsh | 2023/6/2 |
Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models. | Journal of Derivatives | Zhiyu Guo Maciej Augustyniak Alexandru Badescu | 2024/3/1 |
Efficient and proper Generalised Linear Models with power link functions | Vali Asimit Alexandru Badescu Feng Zhou | 2024/1/8 | |
Beyond Basel 4: Integrating Over-the-Counter Derivatives Risk Capital Requirements | The Journal of Derivatives | Wujiang Lou Gavin Xu Denver H Travis Jon A Fulkerson Zhiyu Guo | 2023/12/1 |
A viscosity solution theory of stochastic Hamilton-Jacobi-Bellman equations in the Wasserstein space | arXiv preprint arXiv:2310.14446 | Hang Cheung Jinniao Qiu Alexandru Badescu | 2023/10/22 |
On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees | Journal of Risk and Financial Management | Maciej Augustyniak Alexandru Badescu Mathieu Boudreault | 2023/2/10 |
A discrete-time hedging framework with multiple factors and fat tails: On what matters | Journal of Econometrics | Maciej Augustyniak Alexandru Badescu Jean-François Bégin | 2023/2/1 |
Long memory in option pricing: A fractional discrete-time approach | Available at SSRN 4109629 | Maciej Augustyniak Alexandru Badescu Jean-François Bégin Sarath Kumar Jayaraman | 2022/5/13 |
On non-negative equity guarantee calculations with macroeconomic variables related to house prices | Insurance: Mathematics and Economics | Alexandru Badescu Enoch Quaye Radu Tunaru | 2022/3/1 |
Lattice-based hedging schemes under GARCH models | Quantitative Finance | Maciej Augustyniak Alexandru Badescu Zhiyu Guo | 2021/5/4 |
On the computation of hedging strategies in affine GARCH models | Journal of Futures Markets | Maciej Augustyniak Alexandru Badescu | 2021/5 |
Valuation of VIX and target volatility options with affine GARCH models | Journal of Futures Markets | Hongkai Cao Alexandru Badescu Zhenyu Cui Sarath Kumar Jayaraman | 2020/12 |
Acknowledgement of Referees’ Services Remerciements aux lecteurs critiques | The Canadian Journal of Statistics | Taraneh Abarin Elif Fidan Acar Claudio Agostinelli Tatiyana V Apanasovich Masoud Asgharian | 2012 |
Co-Authors
