In caso di modifiche a Pure, queste saranno visibili qui a breve.

Risultato della ricerca 2004 2018

2018

Contingent Convertible Bonds for Sovereign Debt Risk Management

Consiglio, A. & Zenios, S. A., 2018, In : JOURNAL OF GLOBALIZATION AND DEVELOPMENT. 9, pag. 1-24 24 pag.

Risultato della ricerca: Article

debt
risk management
indebtedness
market
debt crisis
4 Citazioni (Scopus)

Portfolio diversification in the sovereign credit swap markets

Consiglio, A., Lotfi, S. & Zenios, S. A., 2018, In : Annals of Operations Research. 266, pag. 5-33 29 pag.

Risultato della ricerca: Article

Swaps
Credit
Credit default swaps
Portfolio diversification
Euro zone
3 Citazioni (Scopus)

Pricing and hedging GDP-linked bonds in incomplete markets

Consiglio, A. & Zenios, S. A., 2018, In : JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 88, pag. 137-155 19 pag.

Risultato della ricerca: Article

Incomplete Markets
Hedging
Parameter Design
Pricing
Risk Factors
1 Citazione (Scopus)
Convertible bonds
Pricing
Convertible debt
Credit default swap (CDS) spreads
Bond prices
2017
1 Citazione (Scopus)
Sustainability
Sustainable development
Strategic Planning
Strategic planning
Risk Measures
2016
14 Citazioni (Scopus)

A parsimonious model for generating arbitrage-free scenario trees

Carollo, A., Consiglio, A. & Zenios, S. A., 2016, In : Quantitative Finance. 16, pag. 201-212 12 pag.

Risultato della ricerca: Article

Scenarios
Arbitrage
Risk factors
Optimization problem
Financial risk
2015
3 Citazioni (Scopus)
Defined contribution
Pricing
Defined contribution pension plan
Guarantee
Defined benefit
debt
risk management
indebtedness
restructuring
debt crisis
3 Citazioni (Scopus)

Risk profiles for re-profiling sovereign debt

Consiglio, A. & Zenios, S., 2015, In : Journal of Risk Finance. 16, pag. 2-26 25 pag.

Risultato della ricerca: Article

Debt
Profiling
Sovereign debt
Italy
Sanctions
2014

A MULTISTAGE DECISION MODEL FOR THE OPTIMAL ISSUANCE OF SOVEREIGN DEBT UNDER ESA95

Piraino, S., Pecorella, A. & Consiglio, A., 2014, Annali della Facoltà di Economia. pag. 91-115 25 pag.

Risultato della ricerca: Chapter

Debt
Decision model
Sovereign debt
Costs
Cost function
2012
13 Citazioni (Scopus)
Government bonds
Conditional value at risk
Stochastic programming
Trade-offs
Public debt
2011

Pricing Reinsurance Contracts

Consiglio, A., 2011, Stochastic Optimization Methods in Finance and Energy. pag. 125-139 15 pag. (INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE).

Risultato della ricerca: Chapter

Reinsurance
Insurance
Pricing
Conditional Value at Risk
Costs
Term Structure of Interest Rates
Interest Rates
Arbitrary
Leptokurtic
Economics
2010
9 Citazioni (Scopus)

Pricing the option to surrender in incomplete markets

Consiglio, A. & De Giovanni, D., 2010, In : JOURNAL OF RISK AND INSURANCE. 77, pag. 935-957 22 pag.

Risultato della ricerca: Article

Incomplete markets
Pricing
Incompleteness
Empirical analysis
International accounting standards
2009
3 Citazioni (Scopus)
Conditional Model
Insurance
Conditional Value at Risk
Optimal Portfolio
Objective function

Asset Return Dynamics under Alternative Learning Schemes

Lacagnina, V., Consiglio, A., Russino, A. & Catanese, E., 2009, Artificial Economics: The generative Method in Economics. pag. 211-222 268 pag. (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).

Risultato della ricerca: Chapter

Asset returns
Joint distribution
Long-range dependence
Stylized facts
Fat tails

Practical Financial Optimization: A Library of GAMS Models

Consiglio, A., 2009, John Wiley & Sons. 177 pag. (Wiley Finance)

Risultato della ricerca: Book

Portfolio optimization
Language
Immunization
Hedging
Insurance
2008
22 Citazioni (Scopus)

Asset and Liability Modelling for Participating Policies with Guarantee

Consiglio, A., Cocco, F. & Zenios, S. A., 2008, In : European Journal of Operational Research. 186, pag. 380-404 450 pag.

Risultato della ricerca: Article

Optimization Model
Modeling
Constrained optimization
Empirical Analysis
Insurance
6 Citazioni (Scopus)

Evaluation of Insurance Products with Guarantee in Incomplete Markets

Consiglio, A. & De Giovanni, D., 2008, In : INSURANCE MATHEMATICS & ECONOMICS. 42, pag. 332-342 400 pag.

Risultato della ricerca: Article

Incomplete Markets
Insurance
Incompleteness
Evaluation
Regulator
2007

Artificial Markets Modeling. Methods and Applications

Consiglio, A., 2007, Springer. 120 pag.

Risultato della ricerca: Other report

5 Citazioni (Scopus)
Double Auction
Liquidity
Simulation Analysis
Financial Markets
Model Choice
11 Citazioni (Scopus)

Scenario Optimization Asset and Liability Modelling for Individual Investors

Consiglio, A., Cocco, F. & Zenios, S. A., 2007, In : Annals of Operations Research. 152, pag. 167-191 25 pag.

Risultato della ricerca: Article

Assets
Liability
Modeling
Individual investors
Scenarios

The PROMETEIA Model for Managing Insurance Policies with Guarantees

Consiglio, A., 2007, Handbook of Asset and Liability Management, 2. Applications and Case Studies. pag. 664-705 42 pag.

Risultato della ricerca: Chapter

2006
22 Citazioni (Scopus)

Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case

Consiglio, A., Saunders, D. & Zenios, S. A., 2006, In : JOURNAL OF BANKING & FINANCE. 30, pag. 645-667

Risultato della ricerca: Article

Asset and liability management
Insurer
Bonus
Profit
Guarantee

Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders

Lacagnina, V., Consiglio, A., Russino, A., Lacagnina, V., Consiglio, A. & Russino, A., 2006, Artificial Economics. pag. 215-226 12 pag. (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).

Risultato della ricerca: Conference contribution

Double Auction
Financial Markets
Marginal Distribution
Bounded Rationality
Prior distribution

The Dynamics of Quote Prices in an Artificial Financial Market with Learning Effects

Consiglio, A., Lacagnina, V., Russino, A., Lacagnina, V., Consiglio, A. & Russino, A., 2006, Advances in Artificial Economics. pag. 63-75 13 pag. (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).

Risultato della ricerca: Chapter

Learning Effect
Financial Markets
Choose
Optimal Portfolio
Copula
2005
8 Citazioni (Scopus)
Portfolio choice
Double auction
Trading mechanism
Simulation analysis
Financial markets
2004

A Conditional Value–at–Risk Model for Insurance Products with Guarantee

Zenios, Sa, 2004

Risultato della ricerca: Other contribution

Conditional model
Guarantee
Insurance
Assets
Optimal portfolio
10 Citazioni (Scopus)

www.Personal_Asset_Allocation.

Consiglio, A., Cocco, F. & Zenios, S. A., 2004, In : Interfaces. 34, pag. 287-302

Risultato della ricerca: Article

Finance
World Wide Web
Education
Internet
Planning