University of Calgary
Alexandru Badescu
- Professor
- Statistics and Actuarial Science
Research Interests
Mathematical Finance:
Actuarial Science:
Statistics:
Currently Teaching
| W2024 - ACSC 515 - Models for Financial Economics | ||||||||||
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Publications
Journal Articles - Peer Reviewed
- Augustyniak, Maciej, Badescu, Alexandru and Bégin, Jean-François. "A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters". Journal of Econometrics 232.2 (2023): 416-444. Print.
- Augustyniak, Maciej, Badescu, Alexandru and Boudreault, Mathieu. "On the measurement of hedging effectiveness for long term investment guarantees". Journal of Risk and Financial Management (to appear), Print.
- Badescu, Alexandru, Quaye, Enoch and Tunaru, Radu. "On Non-negative Equity Guarantee Calculations with Macroeconomic Variables Related to House Prices". Insurance: Mathematics and Economics 103. (2022): 119-138. Print.
- Augustyniak, Maciej, Badescu, Alexandru and Guo, Zhiyu. "Lattice-based hedging schemes under GARCH models". Quantitative Finance 21.5 (2021): 697-710. Print.
- Augustyniak, Maciej and Badescu, Alexandru. "On the computation of hedging strategies in affine GARCH models". Journal of Futures Markets 41.5 (2021): 710-735. Print.
- Cao, Hongkai, Badescu, Alexandru, Cui, Zhenyu and Jayaraman, Sarath Kumar. "Valuation of VIX and Target Volatility Options with affine GARCH models". Journal of Futures Markets 40.12 (2020): 1880-1917. Print.
- Badescu, Alexandru, Chen, Yuyu, Couch, Matthew and Cui, Zhenyu. "Variance swaps valuation under non-affine GARCH models and their diffusion limits". Quantitative Finance 19.2 (2019): 227-246. Print.
- Badescu, Alexandru, Cui, Zhenyu and Ortega, Juan-Pablo. "Closed-form variance swap prices under general affine GARCH models and their continuous-time limits". Annals of Operations Research 282. (2019): 27-57. Print.
- Badescu, Alexandru, Cui, Zhenyu and Ortega, Juan-Pablo. "Non-affine GARCH option pricing models, variance dependent kernels, and diffusion limits". Journal of Financial Econometrics 15.4 (2017): 602-648. Print.
- Asimit, Alexandru, Badescu, Alexandru, Haberman, Steven and Kim, Eun-Seok. "Efficient Risk Allocation within a Non-life Insurance Group under Solvency II Regime". Insurance: Mathematics and Economics 66. (2016): 69-76. Print.
- Badescu, Alexandru, del Castillo, Joan and Ortega, Juan-Pablo. "Hedging of time discrete auto-regressive stochastic volatility options". Annals of Economics and Statistics 123-124. (2016): 271-306. Print.
- Badescu, Alexandru, Zhenyu, Cui and Juan-Pablo, Ortega. "A note on the Wang transform for stochastic volatility pricing models". Finance Research Letters 19. (2016): 189-196. Print.
- Asimit, Alexandru, Badescu, Alexandru, Siu, Tak Kuen and Zinchenko, Yuriy. "Capital Requirements and Optimal Investment with Solvency Probability Constraints". IMA Journal of Management Mathematics 26.(4) (2015): 345-375. Print.
- Badescu, Alexandru, Elliott, Robert and Ortega, Juan-Pablo. "Non-Gaussian GARCH Option Pricing Models and their Continuous Time Limits". European Journal of Operational Research 247.(3) (2015): 820-830. Print.
- Asanga, Sujith, Asimit, Alexandru, Badescu, Alexandru and Haberman, Steven. "Portfolio Optimization under Solvency Constraints : a Dynamical Approach". North American Actuarial Journal 18.(3) (2014): 394-416. Print.
- Badescu, Alexandru, Elliott, Robert and Ortega, Juan-Pablo. "Quadratic Hedging Schemes for non-Gaussian GARCH Models". Journal of Economic Dynamics and Control 42. (2014): 13-32. Print.
- Asimit, Alexandru, Badescu, Alexandru and Cheung, Ka Chun. "Optimal reinsurance in the presence of counterparty default risk". Insurance: Mathematics and Economics 53.(3) (2013): 690-697. Print.
- Asimit, Alexandru, Badescu, Alexandru and Tsanakas, Andreas. "Optimal Risk Transfers in Insurance Groups". European Actuarial Journal 3. (2013): 159-190. Print.
- Asimit, Alexandru, Badescu, Alexandru and Verdonck, Tim. "Optimal Risk Transfer under Quantile-Based Risk Measures". Insurance: Mathematics and Economics 53.(1) (2013): 252-265. Print.
- Elliott, Robert, Siu, Tak Kuen and Badescu, Alexandru. "On Pricing and Hedging Options in Regime-Switching Models with Feedback Effect". Journal of Economic Dynamics and Control 35.(2) (2011): 694-713. Print.
- Badescu, Alexandru, Elliott, Robert, Kulperger, Reg, Miettinen, Jarko and Siu, Tak Kuen. "A Comparison of Pricing Kernels for GARCH Option Pricing with Generalized Hyperbolic Distributions". International Journal of Theoretical and Applied Finance 14.(5) (2011): 669-708. Print.
- Elliott, Robert, Siu, Tak Kuen and Badescu, Alexandru. "Bond Valuation Under Discrete and Continuous Time Regime-Switching Term-Structure Models". Managerial Finance 37.(11) (2011): 1025 - 1047. Print.
- Elliott, Robert, Siu, Tak Kuen and Badescu, Alexandru. "On Mean-Variance Portfolio Selection under a Hidden Markovian Regime Switching Model". Economic Modelling 27. (2010): 678-686. Print.
- Badescu, Alexandru, Elliott, Robert and Siu, Tak Kuen. "Esscher Transforms and Consumption-Based Models". Insurance: Mathematics and Economics 45. (2009): 337-347. Print.
- Badescu, Alexandru and Kulperger, Reg. "GARCH Option Pricing : a Semiparametric Approach". Insurance: Mathematics and Economics 43. (2008): 69-84. Print.
- Badescu, Alexandru, Kulperger, Reg and Lazar, Emese. "Option Valuation with Normal Mixture GARCH Models". Studies in Nonlinear Dynamics and Econometrics 12.(2) (2008): 1-40. Print.
Preprint
- Guo, Zhiyu, Augustyniak, Maciej and Badescu, Alexandru. "Efficient implementation of tree-based option pricing and hedging algorithms under GARCH models". submitted, (2023). Print.
- Augustyniak, Maciej, Badescu, Alexandru, Bégin, Jean-François and Jayaraman, Sarath Kumar. "Long memory in option pricing: A fractional discrete-time approach". submitted, (2022). Print.
- Badescu, Alexandru, Elliott, Robert, Grigoryeva, Lyudmila and Ortega, Juan-Pablo. "Option pricing and hedging under non-affine autoregressive stochastic volatility models". submitted, (2016). Print.
Degrees
- PhD - Statistics
University of Western Ontario, 2007 - MSc - Statistics
University of Western Ontario, 2002 - BSc - Mathematics
University of Bucharest, 1999
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