E-LIB Suche - Ergebnisse für: Badescu, Alexandru

1

A discrete-time hedging framework with multiple factors and..:

Augustyniak, Maciej ; Badescu, Alexandru ; Bégin, Jean-François
Journal of Econometrics. 232 (2023) 2 - p. 416-444 , 2023

Link: https://doi.org/10.1016/..

2

On the Measurement of Hedging Effectiveness for Long-Term I..:

Augustyniak, Maciej ; Badescu, Alexandru ; Boudreault, Mathieu
Journal of Risk and Financial Management. 16 (2023) 2 - p. 112 , 2023

Link: https://doi.org/10.3390/..

3

On non-negative equity guarantee calculations with macroeco..:

Badescu, Alexandru ; Quaye, Enoch ; Tunaru, Radu
Insurance: Mathematics and Economics. 103 (2022) - p. 119-138 , 2022

Link: https://doi.org/10.1016/..

4

Lattice-based hedging schemes under GARCH models:

Augustyniak, Maciej ; Badescu, Alexandru ; Guo, Zhiyu
Quantitative Finance. 21 (2021) 5 - p. 697-710 , 2021

Link: https://doi.org/10.1080/..

5

On the computation of hedging strategies in affine GARCH mo..:

Augustyniak, Maciej ; Badescu, Alexandru
Journal of Futures Markets. 41 (2021) 5 - p. 710-735 , 2021

Link: https://doi.org/10.1002/..

6

Valuation of VIX and target volatility options with affine ..:

Cao, Hongkai ; Badescu, Alexandru ; Cui, Zhenyu.
Journal of Futures Markets. 40 (2020) 12 - p. 1880-1917 , 2020

Link: https://doi.org/10.1002/..

7

Closed-form variance swap prices under general affine GARCH..:

Badescu, Alexandru ; Cui, Zhenyu ; Ortega, Juan-Pablo
Annals of Operations Research. 282 (2018) 1-2 - p. 27-57 , 2018

Link: https://doi.org/10.1007/..

8

Variance swaps valuation under non-affine GARCH models and ..:

Badescu, Alexandru ; Chen, Yuyu ; Couch, Matthew.
Quantitative Finance. 19 (2018) 2 - p. 227-246 , 2018

Link: https://doi.org/10.1080/..

9

Non-affine GARCH Option Pricing Models, Variance-Dependent ..:

Badescu, Alexandru ; Cui, Zhenyu ; Ortega, Juan-Pablo
Journal of Financial Econometrics. 15 (2017) 4 - p. 602-648 , 2017

Link: https://doi.org/10.1093/..

10

A note on the Wang transform for stochastic volatility pric..:

Badescu, Alexandru ; Cui, Zhenyu ; Ortega, Juan-Pablo
Finance Research Letters. 19 (2016) - p. 189-196 , 2016

Link: https://doi.org/10.1016/..

11

Non-Gaussian GARCH option pricing models and their diffusio..:

Badescu, Alexandru ; Elliott, Robert J. ; Ortega, Juan-Pablo
European Journal of Operational Research. 247 (2015) 3 - p. 820-830 , 2015

Link: https://doi.org/10.1016/..

12

Portfolio Optimization under Solvency Constraints: A Dynami..:

Asanga, Sujith ; Asimit, Alexandru ; Badescu, Alexandru.
North American Actuarial Journal. 18 (2014) 3 - p. 394-416 , 2014

Link: https://doi.org/10.1080/..

13

Quadratic hedging schemes for non-Gaussian GARCH models:

Badescu, Alexandru ; Elliott, Robert J. ; Ortega, Juan-Pablo
Journal of Economic Dynamics and Control. 42 (2014) - p. 13-32 , 2014

Link: https://doi.org/10.1016/..

14

On pricing and hedging options in regime-switching models w..:

Elliott, Robert J. ; Siu, Tak Kuen ; Badescu, Alexandru
Journal of Economic Dynamics and Control. 35 (2011) 5 - p. 694-713 , 2011

Link: https://doi.org/10.1016/..

15

Efficient risk allocation within a non-life insurance group..:

Asimit, Alexandru V. ; Badescu, Alexandru M. ; Haberman, Steven.
Insurance: Mathematics and Economics. 66 (2016) - p. 69-76 , 2016

Link: https://doi.org/10.1016/..