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Alexandru M. Badescu · Study

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Alexandru M. Badescu

11 works· latest 2020· 2 institutionscluster: provisionalORCID 0000-0002-8349-547X

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Citations431

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Most cited in this library

On mean-variance portfolio selection under a hidden Markovian regime-switching model2010 · 79 citations
Optimal risk transfer under quantile-based risk measurers2013 · 55 citations
GARCH option pricing: A semiparametric approach2007 · 44 citations
Option Valuation with Normal Mixture GARCH Models2008 · 43 citations
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits2018 · 40 citations

Works

11 shown

Valuation of VIX and Target Volatility Options with Affine GARCH Models

Journal of Futures Markets·2020·4 authors·Open access

24citations

Closed-form variance swap prices under general affine GARCH models and their continuous-time limits

Annals of Operations Research·2018·3 authors·Open access

40citations

Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits*

Journal of Financial Econometrics·2017·3 authors·Open access

34citations

Non-Gaussian GARCH option pricing models and their diffusion limits

European Journal of Operational Research·2015·3 authors

25citations

Optimal risk transfer under quantile-based risk measurers

Insurance Mathematics and Economics·2013·3 authors

55citations

A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS

International Journal of Theoretical and Applied Finance·2011·5 authors

24

citations

On pricing and hedging options in regime-switching models with feedback effect

Journal of Economic Dynamics and Control·2011·3 authors·Open access

38citations

On mean-variance portfolio selection under a hidden Markovian regime-switching model

Economic Modelling·2010·3 authors

79citations

Esscher transforms and consumption-based models

Insurance Mathematics and Economics·2009·3 authors

25citations

Option Valuation with Normal Mixture GARCH Models

Studies in Nonlinear Dynamics and Econometrics·2008·3 authors

43citations

GARCH option pricing: A semiparametric approach

Insurance Mathematics and Economics·2007·2 authors

44citations