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Andrea Consiglio

Professor

Former affiliation
 https://orcid.org/0000-0003-1654-9172
  • 136 Citations
  • 8 h-Index
20042018
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Term Structure of Interest Rates Mathematics
Double Auction Mathematics
Conditional Value at Risk Mathematics
Insurance Mathematics
Sustainability Mathematics
Interest Rates Mathematics
Financial Markets Mathematics
Modeling Mathematics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 2004 2018

Contingent Convertible Bonds for Sovereign Debt Risk Management

Consiglio, A. & Zenios, S. A., 2018, In : Default journal. 9, p. 1-24 24 p.

Research output: Contribution to journal › Article

Portfolio diversification in the sovereign credit swap markets

Consiglio, A., Lotfi, S. & Zenios, S. A., 2018, In : Default journal. 266, p. 5-33 29 p.

Research output: Contribution to journal › Article

Credit
Swaps
Credit default swaps
Portfolio diversification
Euro zone

Pricing and hedging GDP-linked bonds in incomplete markets

Consiglio, A. & Zenios, S. A., 2018, In : Default journal. 88, p. 137-155 19 p.

Research output: Contribution to journal › Article

Hedging
Incomplete markets
Pricing
Coupons
Risk factors

Pricing Sovereign contingent convertible debt

Tumminello, M., Consiglio, A. & Zenios, S. A., 2018, In : Default journal. 21, p. 1-34 34 p.

Research output: Contribution to journal › Article

Un Modello di Massima Copertura della Domanda per l’Allocazione Ottima delle Ciclostazioni di AMAT

Attanasio, M., Fricano, S., Pecorella, A. & Consiglio, A., 2018, In : Default journal. 2, p. 24-38 15 p.

Research output: Contribution to journal › Article

Projects 2004 2018

Modelli per la dinamica dei prezzi di titoli finanziari: aspetti istituzionali ed ipotesi comportamentali in un'ottica agent-based

Consiglio, A.

1/1/04 → …

Project: Research project

A Stochastic Programming Model for the Optimal Issuance of Government Bonds

Consiglio, A.

1/1/08 → …

Project: Research project

Modelli di gestione del portafoglio con misure di rischio coerenti.

Consiglio, A.

1/1/09 → …

Project: Research project

Simulazione della microstruttura di un mercato finanziario di tipo “order driven” con ottimizzazione di portafoglio

Consiglio, A.

11/30/04 → 11/30/06

Project: Research project

Modelli di Apprendimento e Decisionali in un Mercato Artificiale di Tipo Order-Driven

Consiglio, A.

9/22/08 → 9/22/10

Project: Research project