Alexandru Badescu

Publication Activity (10 Years)

Years Active: 2015-2019
Publications (10 Years): 1

Top Topics

Hyperparameters

Top Venues

Ann. Oper. Res.

Eur. J. Oper. Res.

Publications

Alexandru Badescu, Zhenyu Cui, Juan-Pablo Ortega
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits. Ann. Oper. Res. 282 (1-2) (2019)
Alexandru Badescu, Robert J. Elliott, Juan-Pablo Ortega
Non-Gaussian GARCH option pricing models and their diffusion limits. Eur. J. Oper. Res. 247 (3) (2015)