Alexandru Badescu

Positions

Professor

Faculty of Science, Department of Mathematics and Statistics

Contact information

abadescu@ucalgary.ca

Phone number

Office: +1 (403) 220-3963

Location

Office: MS314

Background

Educational Background

PhD Statistics, University of Western Ontario, 2007

MSc Statistics, University of Western Ontario, 2002

BSc Mathematics, Bucharest University, 1999

Research

Areas of Research

Financial mathematics, Finance time series analysis, Actuarial science, Machine Learning

Courses

Course number	Course title	Semester
ACSC 427	Life Contingencies II	Fall
ACSC 537	Credibility Theory	Fall
ACSC 637	Credibility Theory	Fall
ACSC 515	Models for Financial Economics	Winter

More Information

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 (to appear), 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

Badescu, Alexandru, Quaye, Enoch and Tunaru, Radu. "On Non-negative Equity Guarantee Calculations with Macroeconomic Variables Related to House Prices". submitted, (2021). 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.