Alexandru Badescu

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PUBLICATIONS

Journal Papers

• Augustyniak, M, Badescu, A.M., Bégin, J.-F., and Jayaraman, S.K. (2024). A General Option Pricing Framework for Affine Fractionally Integrated Models. Journal of Banking and Finance, forthcoming.
• Augustyniak, M., Badescu, A.M., and Guo, Z. (2024). Efficient Implementation of Tree-based Option Pricing and Hedging Algorithms under GARCH Models. Journal of Derivatives, 31(3), 141-163.
• Augustyniak, M., Badescu, A.M., and Bégin, J.-F. (2023). A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails : On What Matters. Journal of Econometrics, 232(2), 416-444.
• Augustyniak, M, Badescu, A.M., and Boudreault, M. (2023). On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees. Journal of Risk and Financial Management, 16(2), 1-18.
• Badescu, A.M., Enoch, Q, and Tunaru, R. (2022). On Non-negative Equity Guarantee Calculations with Macroeconomic Variables Related to House Prices. Insurance: Mathematics and Economics, 103, 119-138.
• Augustyniak, M. and Badescu, A.M. (2021). On the Computation of Hedging Strategies in Affine GARCH Models. Journal of Futures Markets, 41(5), 710-735.
• Augustyniak, M., Badescu, A.M., and Guo, Z. (2021). Lattice-based Quadratic Hedging Schemes under Asymmetric GARCH Models. Quantitative Finance, 21(5), 697-710.
• Cao, H, Badescu A.M., Cui, Z. and Jayaraman, S.K. (2020). Valuation of VIX and Target Volatility Options with Affine GARCH Models. Journal of Futures Markets, 40(12), 1880-1917.
• Badescu, Badescu, A.M., Chen, Y., Couch, M., and Cui, Z. (2019). Variance Swaps Valuation under Non-Affine GARCH Models and their Diffusion Limits. Quantitative Finance, 19(2), 227-246.
• Badescu, A.M., Cui, Z., and Ortega, J-P. (2018). Closed-Form Variance Swap Prices under General Affine GARCH Models and their Continuous-Time Limits. Annals of Operations Research, 282, 27-57.
• Badescu, A.M., Cui, Z., and Ortega, J.-P. (2017). Non-affine GARCH Option Pricing Models, Variance Dependent Kernels, and Diffusion Limit. Journal of Financial Econometrics, 15, 4, 602-648.
• Badescu, A.M., Del Castillo, J., and Ortega, J.-P. (2016). Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options. Annals of Economics and Statistics, 123-124, 271-306.
• Badescu, A.M., Cui, Z., and Ortega, J.-P. (2016). A Note on the Wang Transform for Stochastic Volatility Pricing Models. Finance Research Letters, 19, 189-196..
• Asimit, V.A., Badescu, A.M., Haberman, S., and Kim, E.S. (2016). Efficient Risk Allocation within a Non-life Insurance Group under Solvency II Regime. Insurance: Mathematics and Economics, 66, 69-76.
• Badescu, A.M., Elliott, R.J., and Ortega, J.-P. (2015). Non-Gaussian GARCH Option Pricing Models and their Diffusion Limits. European Journal of Operational Research, 247(3), 820-830.
• Asimit, V.A., Badescu, A.M., Siu, T.K., and Zinchenko, Y. (2015). Capital Requirements and Optimal Investment with Solvency Probability Constraints. IMA Journal of Management Mathematics, 26(4), 345-375.
• Asanga, S., Asimit, V.A., Badescu, A.M., and Haberman, S. (2014). Portfolio Optimization under Solvency Constraints : a Dynamical Approach. North American Actuarial Journal, 18(3), 394-416.
• Badescu, A.M., Elliott, R.J., and Ortega, J.-P. (2014). Quadratic Hedging Schemes for non-Gaussian GARCH Models. Journal of Economic Dynamics and Control, 42, 13-32.
• Asimit, V.A., Badescu, A.M., and Cheung, K.C. (2013). Optimal Reinsurance in the Presence of Counterparty Default Risk. Insurance: Mathematics and Economics, 53(3), 690-697.
• Asimit, V.A., Badescu, A.M., and Tsanakas, A. (2013). Optimal Risk Transfers in Insurance Groups. European Actuarial Journal, 3(1), 159-190.
• Asimit, V.A., Badescu, A.M., and Verdonck, T. (2013). Optimal Risk Transfer under Quantile-Based Risk Measures. Insurance: Mathematics and Economics, 53(1), 252-265.
• Elliott, R.J., Siu, T.K., and Badescu, A.M. (2011). Bond Valuation Under Discrete and Continuous Time Regime-Switching Term-Structure Models. Managerial Finance, 37(11), 1025-1047.
• Badescu, A.M., Elliott, R.J., Kulperger, R.J., Miettinen, J., and Siu, T.K. (2011). A Comparison of Pricing Kernels for GARCH Option Pricing with Generalized Hyperbolic Distributions. International Journal of Theoretical and Applied Finance, 14(5), 669-708.
• Elliott, R.J., Siu, T.K., and Badescu, A.M. (2011). On Pricing and Hedging Options in Regime-Switching Models with Feedback Effect. Journal of Economic Dynamics and Control, 35(5), 694-713.
• Elliott, R.J., Siu, T.K., and Badescu, A.M. (2010). On Mean-Variance Portfolio Selection under a Hidden Markovian Regime Switching Model. Economic Modelling, 27(3), 678-686.
• Badescu, A.M., Elliott, R.J., and Siu, T.K. (2009). Esscher Transforms and Consumption-Based Models. Insurance: Mathematics and Economics, 45(3), 337-347.
• Badescu, A.M., and Kulperger, R.J. (2008). GARCH Option Pricing : a Semiparametric Approach. Insurance: Mathematics and Economics, 43(1), 69-84.
• Badescu, A.M., Kulperger, R.J, and Lazar, E. (2008). Option Valuation with Normal Mixture GARCH Models. Studies in Nonlinear Dynamics and Econometrics, 12(2), 1-40.

Working Papers

• Assani, I., Augustyniak, M., Badescu, A.M., Bégin, J.F. and Stentoft, L. (2024) Discrete time hedging, covariance dependent pricing kernels, and basis risk, preprint.
• Cheung, H,  Qiu, J., and Badescu, A.M. (2024). A Viscosity Solution Theory of Stochastic Hamilton-Jacobi-Bellman Equations in the Wasserstein Space, preprint.
• Augustyniak, M, Badescu, A.M., Bégin, J.F, Jayaraman, S.K. (2024). On the Relation between Discrete and Continuous-Time Affine Option Pricing Models, under review.
• Asimit, V., Badescu, A., and Zhou, F. (2024). Efficient and Proper GLM with Power Link Functions, under revision.
• Badescu, A., Elliott, R., Grigoryeva, L., and Ortega, J.-P. [2016] Option pricing and hedging under non-affine autoregressive stochastic volatility models, permanent working paper.