| On mean-variance portfolio selection under a hidden Markovian regime-switching model RJ Elliott, TK Siu, A Badescu Economic modelling 27 (3), 678-686, 2010 | 98 | 2010 |
| Optimal risk transfer under quantile-based risk measurers AV Asimit, AM Badescu, T Verdonck Insurance: Mathematics and Economics 53 (1), 252-265, 2013 | 63 | 2013 |
| Optimal reinsurance in the presence of counterparty default risk AV Asimit, AM Badescu, KC Cheung Insurance: Mathematics and Economics 53 (3), 690-697, 2013 | 54 | 2013 |
| GARCH option pricing: A semiparametric approach AM Badescu, RJ Kulperger Insurance: Mathematics and Economics 43 (1), 69-84, 2008 | 53 | 2008 |
| Optimal risk transfers in insurance groups AV Asimit, AM Badescu, A Tsanakas European Actuarial Journal 3, 159-190, 2013 | 47 | 2013 |
| On pricing and hedging options in regime-switching models with feedback effect RJ Elliott, TK Siu, A Badescu Journal of Economic Dynamics and Control 35 (5), 694-713, 2011 | 42 | 2011 |
| Closed-form variance swap prices under general affine GARCH models and their continuous-time limits A Badescu, Z Cui, JP Ortega Annals of Operations Research 282, 27-57, 2019 | 35 | 2019 |
| Portfolio optimization under solvency constraints: a dynamical approach S Asanga, A Asimit, A Badescu, S Haberman Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2226369, 2013 | 35 | 2013 |
| Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits A Badescu, Z Cui, JP Ortega Journal of Financial Econometrics 15 (4), 602-648, 2017 | 33 | 2017 |
| Option valuation with normal mixture GARCH models A Badescu, R Kulperger, E Lazar Studies in Nonlinear Dynamics & Econometrics 12 (2), 2008 | 33 | 2008 |
| A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions A Badescu, JE ROBERT, R Kulperger, J Miettinen, TK Siu International Journal of Theoretical and Applied Finance 14 (05), 669-708, 2011 | 32 | 2011 |
| Efficient risk allocation within a non-life insurance group under Solvency II Regime AV Asimit, AM Badescu, S Haberman, ES Kim Insurance: Mathematics and Economics 66, 69-76, 2016 | 30 | 2016 |
| Non-Gaussian GARCH option pricing models and their diffusion limits A Badescu, RJ Elliott, JP Ortega European journal of operational research 247 (3), 820-830, 2015 | 30 | 2015 |
| Valuation of VIX and target volatility options with affine GARCH models H Cao, A Badescu, Z Cui, SK Jayaraman Journal of Futures Markets 40 (12), 1880-1917, 2020 | 26 | 2020 |
| Esscher transforms and consumption-based models A Badescu, RJ Elliott, TK Siu Insurance: Mathematics and Economics 45 (3), 337-347, 2009 | 26 | 2009 |
| Capital requirements and optimal investment with solvency probability constraints AV Asimit, AM Badescu, TK Siu, Y Zinchenko IMA Journal of Management Mathematics 26 (4), 345-375, 2015 | 22 | 2015 |
| Quadratic hedging schemes for non-Gaussian GARCH models A Badescu, RJ Elliott, JP Ortega Journal of Economic Dynamics and Control 42, 13-32, 2014 | 21 | 2014 |
| Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension RJ Elliott, T Kuen Siu, A Badescu Managerial Finance 37 (11), 1025-1047, 2011 | 18 | 2011 |
| Variance swaps valuation under non-affine GARCH models and their diffusion limits A Badescu, Y Chen, M Couch, Z Cui Quantitative Finance 19 (2), 227-246, 2019 | 15 | 2019 |
| A discrete-time hedging framework with multiple factors and fat tails: On what matters M Augustyniak, A Badescu, JF Bégin Journal of Econometrics 232 (2), 416-444, 2023 | 13 | 2023 |
Robert ElliottResearch Professor, University of South Australia.. Faculty Professor and Emeritus Professor CalgaryVerified email at ucalgary.ca
