elisa luciano : Citation Profile


Are you elisa luciano?

Università degli Studi di Torino (50% share)
Università degli Studi di Torino (50% share)

11

H index

13

i10 index

435

Citations

RESEARCH PRODUCTION:

31

Articles

49

Papers

1

Books

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   30 years (1989 - 2019). See details.
   Cites by year: 14
   Journals where elisa luciano has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 35 (7.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plu86
   Updated: 2020-01-18    RAS profile: 2019-12-03    
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Relations with other researchers


Works with:

Semeraro, Patrizia (3)

rossi, mariacristina (2)

Wihlborg, Clas (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with elisa luciano.

Is cited by:

Scarsini, Marco (9)

Semeraro, Patrizia (7)

Nicodano, Giovanna (5)

Lo, Andrew (4)

Wong, Wing-Keung (4)

Maccheroni, Fabio (4)

Gajdos, Thibault (4)

van den Goorbergh, Rob (4)

Müller, Alfred (4)

Triossi, Matteo (3)

Chen, Xiaohong (3)

Cites to:

Blake, David (15)

Jarrow, Robert (12)

Duffie, Darrell (10)

Regis, Luca (9)

merton, robert (8)

Singleton, Kenneth (8)

Semeraro, Patrizia (6)

Marquez, Robert (6)

Dell'ariccia, Giovanni (6)

Spreeuw, Jaap (5)

Nicodano, Giovanna (5)

Main data


Where elisa luciano has published?


Journals with more than one article published# docs
International Journal of Production Economics5
Insurance: Mathematics and Economics5
Quantitative Finance3
Decisions in Economics and Finance3
European Journal of Operational Research2
Economic Notes2

Working Papers Series with more than one paper published# docs
Carlo Alberto Notebooks / Collegio Carlo Alberto21
ICER Working Papers - Applied Mathematics Series / ICER - International Centre for Economic Research15
MPRA Paper / University Library of Munich, Germany3
ICER Working Papers / ICER - International Centre for Economic Research3
CeRP Working Papers / Center for Research on Pensions and Welfare Policies, Turin (Italy)3

Recent works citing elisa luciano (2019 and 2018)


YearTitle of citing document
2019Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1705.00672.

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2018Marginal and dependence uncertainty: bounds, optimal transport, and sharpness. (2018). Papapantoleon, Antonis ; Lux, Thibaut ; Kupper, Michael ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1709.00641.

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2018Calibration for Weak Variance-Alpha-Gamma Processes. (2018). Madan, Dilip B ; Lu, Kevin W ; Buchmann, Boris. In: Papers. RePEc:arx:papers:1801.08852.

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2018Mortality/longevity Risk-Minimization with or without securitization. (2018). Vanmaele, Michele ; Daveloose, Catherine ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1805.11844.

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2018Retirement spending and biological age. (2018). Salisbury, Thomas S ; Milevsky, Moshe A ; Huang, Huaxiong . In: Papers. RePEc:arx:papers:1811.09921.

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2019Hedging longevity risk in defined contribution pension schemes. (2019). Wang, Yongjie. In: Papers. RePEc:arx:papers:1904.10229.

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2019Asset Pricing with General Transaction Costs: Theory and Numerics. (2019). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Gonon, Lukas. In: Papers. RePEc:arx:papers:1905.05027.

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2019Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model. (2019). Stadje, Mitja ; Bosserhoff, Frank. In: Papers. RePEc:arx:papers:1908.05534.

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2019Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs. (2019). Bayraktar, Erhan ; Dolinsky, Yan ; Dolinskyi, Leonid. In: Papers. RePEc:arx:papers:1912.08863.

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2019Tail risk interdependence. (2019). Chiu, Ching-Wai ; Stoja, Evarist ; Polanski, Arnold. In: Bank of England working papers. RePEc:boe:boeewp:0815.

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2018Liquidity Regimes and Optimal Dynamic Asset Allocation. (2018). Collin-Dufresne, Pierre ; Saglam, Mehmet ; Daniel, Kent. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12737.

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2018A two-decrement model for the valuation and risk measurement of a guaranteed annuity option. (2018). Zhao, Yixing ; GAO, Huan ; Mamon, Rogemar. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:231-249.

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2019Time-consistent, risk-averse dynamic pricing. (2019). Hassler, Michael ; Gonsch, Jochen ; Schur, Rouven. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:2:p:587-603.

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2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method. (2018). Li, Xiafei ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:565-581.

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2018A strategy for hedging risks associated with period and cohort effects using q-forwards. (2018). Liu, Yanxin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:267-285.

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2018Robust evaluation of SCR for participating life insurances under Solvency II. (2018). Pelsser, Antoon ; Devolder, Pierre ; Hainaut, Donatien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:107-123.

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2018Optimal insurance design under background risk with dependence. (2018). Lu, ZhiYi ; Han, Ziqi ; Liu, LePing ; Meng, Shengwang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:15-28.

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2018Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. (2018). Gambaro, Anna Maria ; Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:117-129.

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2019Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk. (2019). Zhou, Kenneth Q ; Li, Johnny Siu-Hang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:1-21.

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2019A dynamic equivalence principle for systematic longevity risk management. (2019). Dhaene, Jan ; Denuit, Michel ; Hanbali, Hamza ; Trufin, Julien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:158-167.

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2019A continuous-time stochastic model for the mortality surface of multiple populations. (2019). Regis, Luca ; Jevti, Petar. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:181-195.

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2019Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency. (2019). Dhaene, Jan ; Chen, ZE ; Barigou, Karim. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:19-29.

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2018Gas storage valuation under multifactor Lévy processes. (2018). Cummins, Mark ; Murphy, Bernard ; Kiely, Greg. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:167-184.

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2018Zero leverage and the value in waiting to have debt. (2018). Lotfaliei, Babak. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:335-349.

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2019A trade-off theory of ownership and capital structure. (2019). Nicodano, Giovanna ; Regis, Luca. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:715-735.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2018Longevity Risk Management and the Development of a Value-Based Longevity Index. (2018). Chang, Yang ; Sherris, Michael. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:10-:d:131400.

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2018A Credit-Risk Valuation under the Variance-Gamma Asset Return. (2018). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:58-:d:147258.

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2018Hedge or Rebalance: Optimal Risk Management with Transaction Costs. (2018). Gallien, Florent ; Malamud, Semyon ; Kassibrakis, Serge. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:112-:d:174200.

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2019Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives. (2019). Fung, Man Chung ; Sherris, Michael ; Ignatieva, Katja. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:2-:d:194650.

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2019Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy. (2019). Perera, Sandun ; Buckley, Winston. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-018-0335-2.

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2019Quanto Option Pricing with Lévy Models. (2019). Park, Jiho ; Fabozzi, Frank J ; Kim, Young S ; Fallahgoul, Hasan A. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-018-9807-8.

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2018Rebalancing versus buy and hold: theory, simulation and empirical analysis. (2018). Hilliard, Jimmy E. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0621-5.

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2018Why choosing dominated personal pension plans: sales force and financial literacy effects. (2018). Marotta, Giuseppe. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0072.

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2019Behind the success of dominated personal pension plans: sales force and financial literacy factors. (2019). Marotta, Giuseppe. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0077.

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2019Life and health insurance consumption in China: demographic and environmental risks. (2019). Cheng, Jiang ; Yu, LU. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:44:y:2019:i:1:d:10.1057_s41288-018-0098-z.

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2018Ex-ante real estate Value at Risk calculation method. (2018). Barthélémy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2046-7.

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2019A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. (2019). Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo ; Gambaro, Anna Maria. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00242-1.

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2019Volatility and volatility-linked derivatives: estimation, modeling, and pricing. (2019). Wang, Tai-Ho ; Mancino, Maria Elvira ; Alos, Elisa. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00271-w.

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2018Stability of Radner equilibria with respect to small frictions. (2018). Herdegen, Martin ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0354-x.

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2018Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature. (2018). Zhang, Yuanyuan ; Guo, Sini ; Li, Xiang. In: Fuzzy Optimization and Decision Making. RePEc:spr:fuzodm:v:17:y:2018:i:2:d:10.1007_s10700-017-9266-z.

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2018Optimizing conditional value-at-risk in dynamic pricing. (2018). Gonsch, Jochen ; Schur, Rouven ; Hassler, Michael . In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:40:y:2018:i:3:d:10.1007_s00291-018-0513-7.

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2018The variance risk premium and capital structure. (2018). Lotfaliei, Babak. In: ESRB Working Paper Series. RePEc:srk:srkwps:201870.

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2019Blockholder Leverage and Payout Policy: Evidence from French Holding Companies. (2019). Hege, Ulrich ; de Jong, Abe ; Anantavrasilp, Sereeparp ; Dejong, Douglas V. In: TSE Working Papers. RePEc:tse:wpaper:123671.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2018On Numerical Methods for Spread Options. (2018). Schlogl, Erik ; Alfeus, Mesias. In: Research Paper Series. RePEc:uts:rpaper:388.

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2018MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS. (2018). Marena, Marina ; Semeraro, Patrizia ; Romeo, Andrea . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s021902491850005x.

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2018MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES. (2018). Guillaume, Florence. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500073.

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2018OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP. (2018). Ivanov, Roman V. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500188.

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elisa luciano has edited the books:


YearTitleTypeCited

Works by elisa luciano:


YearTitleTypeCited
2019Model Risk in Credit Risk In: Papers.
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paper0
2001Value-at-risk Trade-off and Capital Allocation with Copulas In: Economic Notes.
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article10
2003Pricing and Hedging Credit Derivatives with Copulas In: Economic Notes.
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article4
1991 An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs. In: Journal of Finance.
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article117
2017Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk In: Journal of Risk & Insurance.
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article9
2012Single and cross-generation natural hedging of longevity and financial risk.(2012) In: Carlo Alberto Notebooks.
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This paper has another version. Agregated cites: 9
paper
2012Single and cross-generation natural hedging of longevity and financial risk.(2012) In: ICER Working Papers.
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This paper has another version. Agregated cites: 9
paper
2013Equilibrium price of immediacy and infrequent trade In: Carlo Alberto Notebooks.
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paper1
2012Evolution of coupled lives dependency across generations and pricing impact In: Carlo Alberto Notebooks.
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paper1
2013Mortality Surface by Means of Continuous Time Cohort Models In: Carlo Alberto Notebooks.
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paper7
2013Mortality surface by means of continuous time cohort models.(2013) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 7
article
2012Default risk in business groups In: Carlo Alberto Notebooks.
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paper0
2006A Multivariate Jump-Driven Financial Asset Model In: Carlo Alberto Notebooks.
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paper32
2006A multivariate jump-driven financial asset model.(2006) In: Quantitative Finance.
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This paper has another version. Agregated cites: 32
article
2005A Multivariate Jump-Driven Financial Asset Model..(2005) In: ICER Working Papers - Applied Mathematics Series.
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This paper has another version. Agregated cites: 32
paper
2006Non mean reverting affne processes for stochastic mortality In: Carlo Alberto Notebooks.
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paper20
2005Non mean reverting affine processes for stochastic mortality..(2005) In: ICER Working Papers - Applied Mathematics Series.
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This paper has another version. Agregated cites: 20
paper
2014Dependence Calibration and Portfolio Fit with FactorBased Time Changes In: Carlo Alberto Notebooks.
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paper6
2013Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk In: Carlo Alberto Notebooks.
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paper3
2014Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk.(2014) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 3
article
2014Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency In: Carlo Alberto Notebooks.
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paper0
2015Static versus dynamic longevity-risk hedging In: Carlo Alberto Notebooks.
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2007Single and joint default in a structural model with purely discontinuous assets In: Carlo Alberto Notebooks.
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paper5
2007Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators In: Carlo Alberto Notebooks.
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paper2
2015Basis risk in static versus dynamic longevity-risk hedging In: Carlo Alberto Notebooks.
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paper0
2007Modelling stochastic mortality for dependent lives In: Carlo Alberto Notebooks.
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paper18
2007Modelling Stochastic Mortality for Dependent Lives.(2007) In: CeRP Working Papers.
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This paper has another version. Agregated cites: 18
paper
2008Modelling stochastic mortality for dependent lives.(2008) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 18
article
2016Equilibrium bid-ask spread and infrequent trade with outside options In: Carlo Alberto Notebooks.
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2016Are information and portfolio diversification substitutes or complements? In: Carlo Alberto Notebooks.
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2008Ownership links, leverage and credit risk In: Carlo Alberto Notebooks.
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2010Intercorporate guarantees, leverage and taxes In: Carlo Alberto Notebooks.
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2008Multivariate Variance Gamma and Gaussian dependence: a study with copulas In: Carlo Alberto Notebooks.
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2009A Generalized Normal Mean Variance Mixture for Return Processes in Finance In: Carlo Alberto Notebooks.
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2010A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE.(2010) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 4
article
2016Financial Inclusion and Life Insurance Demand; Evidence from Italian households In: CeRP Working Papers.
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2016“Information effects in longevity-linked vs purely financial portfolios” In: CeRP Working Papers.
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1999Some basic problems in inventory theory: The financial perspective In: European Journal of Operational Research.
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article1
2001Dynamic value at risk under optimal and suboptimal portfolio policies In: European Journal of Operational Research.
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article5
2012Delta–Gamma hedging of mortality and interest rate risk In: Insurance: Mathematics and Economics.
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article15
2013On the (in-)dependence between financial and actuarial risks In: Insurance: Mathematics and Economics.
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article7
2018Financial synergies and systemic risk in the organization of bank affiliates In: Journal of Banking & Finance.
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1997Revision of industrial supply conditions and game theory In: International Journal of Production Economics.
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article2
1999Capital structure and inventory management:: The temporary sale price problem In: International Journal of Production Economics.
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article11
2001Cycles optimization: The equivalent annuity and the NPV approaches In: International Journal of Production Economics.
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article1
2002Stationary optimal lengths for the plant renewal problem In: International Journal of Production Economics.
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article0
2003VaR as a risk measure for multiperiod static inventory models In: International Journal of Production Economics.
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article13
2007Calibrating risk-neutral default correlation In: Journal of Risk Finance.
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article1
2005Calibrating risk-neutral default correlation..(2005) In: ICER Working Papers - Applied Mathematics Series.
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This paper has another version. Agregated cites: 1
paper
1989An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) In: Rodney L. White Center for Financial Research Working Papers.
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paper2
2019Risk Analysis and Portfolio Modelling In: Journal of Risk and Financial Management.
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article0
2016Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities In: Risks.
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article1
1990An exact solution to the portfolio choice problem under transactions costs In: Working Papers.
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paper1
2013The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency In: ICER Working Papers.
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paper0
2012Demographic risk transfer: is it worth for annuity providers? In: ICER Working Papers.
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2011Delta and Gamma hedging of mortality and interest rate risk In: ICER Working Papers - Applied Mathematics Series.
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2002Multivariate Option Pricing with Copulas. In: ICER Working Papers - Applied Mathematics Series.
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2002Pricing Vulnerable Options with Copulas. In: ICER Working Papers - Applied Mathematics Series.
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2005A note on stochastic survival probabilities and their calibration. In: ICER Working Papers - Applied Mathematics Series.
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2006A note on stochastic survival probabilities and their calibration.(2006) In: ICER Working Papers - Applied Mathematics Series.
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2010Business Time and New Credit Risk Models In: ICER Working Papers - Applied Mathematics Series.
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2007Copula-Based Default Dependence Modelling: Where Do We Stand? In: ICER Working Papers - Applied Mathematics Series.
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2012Natural delta gamma hedging of longevity and interest rate risk In: ICER Working Papers - Applied Mathematics Series.
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2007Copulas and Dependence models in Credit Risk: Diffusions versus Jumps In: ICER Working Papers - Applied Mathematics Series.
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2006Copulas and dependence models in credit risk: diffusions versus jumps.(2006) In: MPRA Paper.
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2007Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion In: ICER Working Papers - Applied Mathematics Series.
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2007Bank Efficiency and Banking Sector Development: the Case of Italy In: ICER Working Papers - Applied Mathematics Series.
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2006Credit risk in pure jump structural models In: ICER Working Papers - Applied Mathematics Series.
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paper2
2017The Economics of Continuous-Time Finance In: MIT Press Books.
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book0
1991The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS) In: OECD Development Centre Working Papers.
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paper0
2014Guarantees, Leverage, and Taxes In: Review of Financial Studies.
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article12
2001A Value at Risk Approach to Background Risk In: The Geneva Risk and Insurance Review.
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article3
2016Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2008Mortality risk via affine stochastic intensities: calibration and empirical relevance In: MPRA Paper.
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paper26
1999A note on loadings and deductibles: can a vicious circle arise? In: MPRA Paper.
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1995Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza In: Decisions in Economics and Finance.
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1998Swap pricing and hedging of general DCFs In: Decisions in Economics and Finance.
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2019From volatility smiles to the volatility of volatility In: Decisions in Economics and Finance.
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article1
2002Bivariate option pricing with copulas In: Applied Mathematical Finance.
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article37
2010Single and joint default in a structural model with purely discontinuous asset prices In: Quantitative Finance.
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article3
2016Dependence calibration and portfolio fit with factor-based subordinators In: Quantitative Finance.
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article4

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