14
H index
19
i10 index
723
Citations
elisa luciano : Citation Profile
Università degli Studi di Torino (50% share) | RESEARCH PRODUCTION: 40 Articles 59 Papers 1 Books 1 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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36 years (1989 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with elisa luciano. | Is cited by:
| Cites to:
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Main data
Where elisa luciano has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Production Economics | 5 |
| Insurance: Mathematics and Economics | 5 |
| Quantitative Finance | 3 |
| Decisions in Economics and Finance | 3 |
| Journal of Risk Finance | 3 |
| European Journal of Operational Research | 2 |
| Scandinavian Actuarial Journal | 2 |
| Risks | 2 |
Recent works citing elisa luciano (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options. (2025). Tempone, Ra'Ul ; Samet, Michael ; Bayer, Christian ; ben Hammouda, Chiheb ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2403.02832. Full description at Econpapers || Download paper |
| 2025 | Joint Calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Cheng, Xue ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2404.16295. Full description at Econpapers || Download paper |
| 2024 | Generalized FGM dependence: Geometrical representation and convex bounds on sums. (2024). Semeraro, Patrizia ; Cossette, H'Elene ; Marceau, Etienne ; Mutti, Alessandro. In: Papers. RePEc:arx:papers:2406.10648. Full description at Econpapers || Download paper |
| 2024 | Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty. (2024). Nendel, Max ; Streicher, Jan ; de Vecchi, Corrado. In: Papers. RePEc:arx:papers:2406.19242. Full description at Econpapers || Download paper |
| 2024 | Inventory problems and the parametric measure $m_{\lambda}$. (2024). Georgescu, Irina. In: Papers. RePEc:arx:papers:2408.02700. Full description at Econpapers || Download paper |
| 2025 | Two-fund separation under hyperbolically distributed returns and concave utility function. (2025). Bayraktar, Erhan ; Sayit, Hasanjan ; Hayashi, Takaki ; Abudurexiti, Nuerxiati. In: Papers. RePEc:arx:papers:2410.04459. Full description at Econpapers || Download paper |
| 2024 | On the valuation of life insurance policies for dependent coupled lives. (2024). Zeineddine, Raghid ; Pamen, Olivier Menoukeu ; Henshaw, Kira. In: Papers. RePEc:arx:papers:2410.11849. Full description at Econpapers || Download paper |
| 2025 | On the Effect of Alpha Decay and Transaction Costs on the Multi-period Optimal Trading Strategy. (2025). Smith, Paul ; Ma, Chutian. In: Papers. RePEc:arx:papers:2502.04284. Full description at Econpapers || Download paper |
| 2025 | Generative Market Equilibrium Models with Stable Adversarial Learning via Reinforcement. (2025). Zhang, Zhanhao ; Sun, Qiang ; Shi, Xiaofei ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:2504.04300. Full description at Econpapers || Download paper |
| 2025 | Optimal Annuitization with stochastic mortality: Piecewise Deterministic Mortality Force. (2025). Stabile, Gabriele ; Buttarazzi, Matteo ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2509.13091. Full description at Econpapers || Download paper |
| 2025 | Robust Insurance Pricing and Liquidity Management. (2025). Pang, Shunzhi. In: Papers. RePEc:arx:papers:2510.15709. Full description at Econpapers || Download paper |
| 2025 | A Natural Hedging Framework for Longevity Risk with Graphical Risk Assessment. (2025). Gabric, Lydia J ; Zhou, Kenneth Q. In: Papers. RePEc:arx:papers:2510.18721. Full description at Econpapers || Download paper |
| 2025 | Money Talks: Transaction Costs, the Value of Convenience, and the Cross-Section of Safe Asset Returns. (2025). Nenov, Plamen ; Schneider, Fabienne ; Syrstad, Olav ; Juelsrud, Ragnar. In: Staff Working Papers. RePEc:bca:bocawp:25-34. Full description at Econpapers || Download paper |
| 2025 | The Pricing Kernel under Proportional Ambiguity. (2025). Spengemann, Marco. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:700. Full description at Econpapers || Download paper |
| 2025 | Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty. (2025). de Vecchi, Corrado ; Streicher, Jan ; Nendel, Max. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:739. Full description at Econpapers || Download paper |
| 2025 | The Equilibrium Effects of Mortality Risk. (2025). Regis, Luca ; Modena, Andrea ; Rizzini, Giorgio. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_709. Full description at Econpapers || Download paper |
| 2025 | Multivariate additive subordination with applications in finance. (2025). Ballotta, Laura ; Amici, Giovanni ; Semeraro, Patrizia. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:1004-1020. Full description at Econpapers || Download paper |
| 2025 | Contagion network, portfolio credit risk, and financial crisis. (2025). Li, Bingqing ; Fu, Michael C ; Wu, Rongwen. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957. Full description at Econpapers || Download paper |
| 2024 | The effect of regime-switching transaction costs and cash dividends on liquidity premia. (2024). Kim, Taeyoon ; Chae, Jiwon ; Jang, Bong-Gyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001182. Full description at Econpapers || Download paper |
| 2024 | Crime and covenants. (2024). Shazia, Farhan. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002266. Full description at Econpapers || Download paper |
| 2025 | Public versus private access in the Italian NHS - The use of propensity score matching to provide more insight on the increasing adoption of voluntary health insurance. (2025). Brenna, Elenka. In: Health Policy. RePEc:eee:hepoli:v:154:y:2025:i:c:s0168851025000272. Full description at Econpapers || Download paper |
| 2024 | Pension funds with longevity risk: an optimal portfolio insurance approach. (2024). Mancinelli, Daniele ; di Giacinto, Marina ; Oliva, Immacolata ; Marino, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:268-297. Full description at Econpapers || Download paper |
| 2024 | Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation. (2024). Jiang, Haoran ; Zhu, Xiaojun ; Zhang, Zhehao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:64-92. Full description at Econpapers || Download paper |
| 2025 | Mean-variance longevity risk-sharing for annuity contracts. (2025). Hanbali, Hamza. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:207-235. Full description at Econpapers || Download paper |
| 2025 | Government fiscal stress and firms’ choice of affiliates. (2025). Hu, Jingxin ; Yuan, Lihua ; Liu, Bin. In: Journal of Contemporary Accounting and Economics. RePEc:eee:jocaae:v:21:y:2025:i:2:s1815566925000177. Full description at Econpapers || Download paper |
| 2025 | Some bivariate options pricing in a regime-switching stochastic volatility jump-diffusion model with stochastic intensity, stochastic interest and dependent jump. (2025). Liu, Lixia ; Wang, Libin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:229:y:2025:i:c:p:468-490. Full description at Econpapers || Download paper |
| 2025 | A lattice-based approach for life insurance pricing in a stochastic correlation framework. (2025). Costabile, Massimo ; Massab, Ivar ; Russo, Emilio ; Staino, Alessandro ; Mamon, Rogemar ; Zhao, Yixing. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:235:y:2025:i:c:p:145-159. Full description at Econpapers || Download paper |
| 2024 | The use of voluntary health insurance in the access to specialist care: Evidence from the Italian NHS. (2024). Brenna, Elenka ; Giammanco, Maria Daniela. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:93:y:2024:i:c:s0038012124001058. Full description at Econpapers || Download paper |
| 2024 | Credit Risk Management and US Bank-Holding Companies: An Empirical Investigation. (2024). Boliari, Natalia ; Topyan, Kudret ; Wang, Chia-Jane ; Elias, Carlos. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:56-:d:1330612. Full description at Econpapers || Download paper |
| 2024 | On Properties of the Hyperbolic Distribution. (2024). Ivanov, Roman V. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2888-:d:1479168. Full description at Econpapers || Download paper |
| 2024 | Equity Price Risk of Commercial Banks in India. (2024). Rout, Bhabani Sankar ; Das, Nupur Moni. In: Arthaniti: Journal of Economic Theory and Practice. RePEc:sae:artjou:v:23:y:2024:i:2:p:179-201. Full description at Econpapers || Download paper |
| 2024 | Optimal Multiple Loan Contracting under Sequential Audits and Contagion Losses. (2024). Simmons, Peter ; Maria, Anna. In: CSEF Working Papers. RePEc:sef:csefwp:742. Full description at Econpapers || Download paper |
| 2025 | Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes. (2025). Tardelli, Paola ; Pasricha, Puneet ; Selvamuthu, Dharmaraja. In: OPSEARCH. RePEc:spr:opsear:v:62:y:2025:i:2:d:10.1007_s12597-024-00830-9. Full description at Econpapers || Download paper |
elisa luciano has edited the books:
| Year | Title | Type | Cited |
|---|
Works by elisa luciano:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2019 | Model Risk in Credit Risk In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2021 | Model risk in credit risk.(2021) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2023 | Machine learning techniques in joint default assessment In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Machine Learning techniques in joint default assessment.(2024) In: Carlo Alberto Notebooks. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2023 | Adversarial AI in Insurance: Pervasiveness and Resilience In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Value-at-risk Trade-off and Capital Allocation with Copulas In: Economic Notes. [Full Text][Citation analysis] | article | 21 |
| 1991 | An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs. In: Journal of Finance. [Full Text][Citation analysis] | article | 153 |
| 2017 | Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 20 |
| 2012 | Single and cross-generation natural hedging of longevity and financial risk.(2012) In: Carlo Alberto Notebooks. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2012 | Single and cross-generation natural hedging of longevity and financial risk.(2012) In: ICER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2013 | Equilibrium price of immediacy and infrequent trade In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Evolution of coupled lives dependency across generations and pricing impact In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Mortality Surface by Means of Continuous Time Cohort Models In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 21 |
| 2013 | Mortality surface by means of continuous time cohort models.(2013) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2012 | Default risk in business groups In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2006 | A Multivariate Jump-Driven Financial Asset Model In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 51 |
| 2005 | A Multivariate Jump-Driven Financial Asset Model..(2005) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
| 2006 | A multivariate jump-driven financial asset model.(2006) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | article | |
| 2006 | Non mean reverting affne processes for stochastic mortality In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 37 |
| 2005 | Non mean reverting affine processes for stochastic mortality..(2005) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 2014 | Dependence Calibration and Portfolio Fit with FactorBased Time Changes In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 7 |
| 2013 | Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk.(2014) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2014 | Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Static versus dynamic longevity-risk hedging In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Single and joint default in a structural model with purely discontinuous assets In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 6 |
| 2007 | Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Basis risk in static versus dynamic longevity-risk hedging In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Basis risk in static versus dynamic longevity-risk hedging.(2017) In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2007 | Modelling stochastic mortality for dependent lives In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 34 |
| 2007 | Modelling Stochastic Mortality for Dependent Lives.(2007) In: CeRP Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2008 | Modelling stochastic mortality for dependent lives.(2008) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2016 | Equilibrium bid-ask spread and infrequent trade with outside options In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Are information and portfolio diversification substitutes or complements? In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Equilibrium bid-ask spreads and the effect of competitive trading delays In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Geographical diversification and longevity risk mitigation in annuity portfolios In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 1 |
| 2021 | GEOGRAPHICAL DIVERSIFICATION AND LONGEVITY RISK MITIGATION IN ANNUITY PORTFOLIOS.(2021) In: ASTIN Bulletin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2021 | Risk Appetite Fluctuations in the Insurance Industry In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2022 | A new dimension of bank complexity: rescue agreements and default contamination In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Ownership links, leverage and credit risk In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Optimal Fees and Equilibrium in Crypto Markets In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2024 | ESG asset demand with information costs In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
| 2025 | ESG asset demand with information costs.(2025) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2010 | Intercorporate guarantees, leverage and taxes In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Multivariate Variance Gamma and Gaussian dependence: a study with copulas In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 2 |
| 2009 | A Generalized Normal Mean Variance Mixture for Return Processes in Finance In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 10 |
| 2010 | A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE.(2010) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2016 | Financial Inclusion and Life Insurance Demand; Evidence from Italian households In: CeRP Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2016 | “Information effects in longevity-linked vs purely financial portfolios†In: CeRP Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | The fluctuations of insurers’ risk appetite In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
| 2022 | The Fluctuations of Insurers’ Risk Appetite.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 1999 | Some basic problems in inventory theory: The financial perspective In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 1 |
| 2001 | Dynamic value at risk under optimal and suboptimal portfolio policies In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 7 |
| 2023 | Why are BHCs organized as parent-subsidiaries? How do they grow in value? In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 2 |
| 2012 | Delta–Gamma hedging of mortality and interest rate risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 26 |
| 2013 | On the (in-)dependence between financial and actuarial risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 17 |
| 2018 | Financial synergies and systemic risk in the organization of bank affiliates In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
| 1997 | Revision of industrial supply conditions and game theory In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 2 |
| 1999 | Capital structure and inventory management:: The temporary sale price problem In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 14 |
| 2001 | Cycles optimization: The equivalent annuity and the NPV approaches In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 2 |
| 2002 | Stationary optimal lengths for the plant renewal problem In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 0 |
| 2003 | VaR as a risk measure for multiperiod static inventory models In: International Journal of Production Economics. [Full Text][Citation analysis] | article | 20 |
| 2004 | Introduction In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2007 | Calibrating risk‐neutral default correlation In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 1 |
| 2005 | Calibrating risk-neutral default correlation..(2005) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2003 | Pricing Vulnerable Options With Copulas In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 13 |
| 2002 | Pricing Vulnerable Options with Copulas..(2002) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2007 | Calibrating risk-neutral default correlation In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 0 |
| 1989 | An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 2 |
| 2019 | Risk Analysis and Portfolio Modelling In: JRFM. [Full Text][Citation analysis] | article | 3 |
| 2023 | Adversarial Artificial Intelligence in Insurance: From an Example to Some Potential Remedies In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2016 | Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities In: Risks. [Full Text][Citation analysis] | article | 6 |
| 1990 | An exact solution to the portfolio choice problem under transactions costs In: Working Papers. [Citation analysis] | paper | 2 |
| 2013 | The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency In: ICER Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Demographic risk transfer: is it worth for annuity providers? In: ICER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Delta and Gamma hedging of mortality and interest rate risk In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 1 |
| 2002 | Multivariate Option Pricing with Copulas. In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 22 |
| 2005 | A note on stochastic survival probabilities and their calibration. In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 1 |
| 2006 | A note on stochastic survival probabilities and their calibration.(2006) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2010 | Business Time and New Credit Risk Models In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Copula-Based Default Dependence Modelling: Where Do We Stand? In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Natural delta gamma hedging of longevity and interest rate risk In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Copulas and Dependence models in Credit Risk: Diffusions versus Jumps In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Copulas and dependence models in credit risk: diffusions versus jumps.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2007 | Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Bank Efficiency and Banking Sector Development: the Case of Italy In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 5 |
| 2006 | Credit risk in pure jump structural models In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] | paper | 2 |
| 2017 | The Economics of Continuous-Time Finance In: MIT Press Books. [Citation analysis] | book | 8 |
| 1991 | The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS) In: OECD Development Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Guarantees, Leverage, and Taxes In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 26 |
| 2001 | A Value at Risk Approach to Background Risk In: The Geneva Risk and Insurance Review. [Full Text][Citation analysis] | article | 5 |
| 2016 | Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis In: The Geneva Papers on Risk and Insurance - Issues and Practice. [Full Text][Citation analysis] | article | 10 |
| 2008 | Mortality risk via affine stochastic intensities: calibration and empirical relevance In: MPRA Paper. [Full Text][Citation analysis] | paper | 55 |
| 1999 | A note on loadings and deductibles: can a vicious circle arise? In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1999 | A Note on Loadings and Deductibles: Can a Vicious Circle Arise?.(1999) In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 1995 | Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 1998 | Swap pricing and hedging of general DCFs In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | From volatility smiles to the volatility of volatility In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 2 |
| 2002 | Bivariate option pricing with copulas In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 43 |
| 2010 | Single and joint default in a structural model with purely discontinuous asset prices In: Quantitative Finance. [Full Text][Citation analysis] | article | 7 |
| 2016 | Dependence calibration and portfolio fit with factor-based subordinators In: Quantitative Finance. [Full Text][Citation analysis] | article | 11 |
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