Risultato della ricerca per anno
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)
Pricing Sovereign contingent convertible debt
Tumminello, M., Consiglio, A. & Zenios, S. A., 2018, In : International Journal of Theoretical and Applied Finance. 21, pag. 1-34 34 pag.Risultato della ricerca: Article
Convertible bonds
Pricing
Convertible debt
Credit default swap (CDS) spreads
Bond prices
Un Modello di Massima Copertura della Domanda per l’Allocazione Ottima delle Ciclostazioni di AMAT
Fricano, S., Pecorella, A., Consiglio, A. & Attanasio, M., 2018, In : D/SEAS WORKING PAPERS. 2, pag. 24-38 15 pag.Risultato della ricerca: Article
2017
1
Citazione
(Scopus)
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
Consiglio, A. & Zenios, S. A., 2017, In : Optimization and Engineering. 18, pag. 537-558 22 pag.Risultato della ricerca: Article
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)
Designing and pricing guarantee options in defined contribution pension plans
Tumminello, M., Consiglio, A. & Zenios, S. A., 2015, In : INSURANCE MATHEMATICS & ECONOMICS. pag. 267-279 13 pag.Risultato della ricerca: Article
Defined contribution
Pricing
Defined contribution pension plan
Guarantee
Defined benefit
Risk Management Optimization for Sovereign Debt Restructuring
Consiglio, A., 2015, In : Journal of Globalization and Development. 6, pag. 181-213 33 pag.Risultato della ricerca: Article
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
2013
VALUTAZIONE E COPERTURA DI OPZIONI SU MATERIE PRIME
Piraino, S., Russino, A., Consiglio, A. & Pecorella, A., 2013, In : ANNALI DELLA FACOLTÀ DI ECONOMIA. UNIVERSITÀ DI PALERMO. pag. 158-166 9 pag.Risultato della ricerca: Article
2012
13
Citazioni
(Scopus)
A stochastic programming model for the optimalissuance of government bonds
Consiglio, A., 2012, In : Annals of Operations Research. 193, pag. 159-172 13 pag.Risultato della ricerca: Article
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
Simulating term structure of interest rates with arbitrary marginals
Consiglio, A. & Guirreri, S. S., 2011, In : International Journal of Risk Assessment and Management. 15, pag. 299-313 15 pag.Risultato della ricerca: Article
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)
A Conditional Value–at–Risk Model for Insurance Products with Guarantee
Consiglio, A., Pecorella, A. & Zenios, S. A., 2009, In : International Journal of Risk Assessment and Management. 11, pag. 122-137 200 pag.Risultato della ricerca: Article
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)
How Does Learning Affect Market Liquidity? A Simulation Analysis of a Double-Auction Financial Market with Portfolio Traders.
Consiglio, A. & Russino, A., 2007, In : JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 31, pag. 1910-1937 28 pag.Risultato della ricerca: Article
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. 645-667Risultato 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)
A Simulation Analysis of the Microstructure of an Order Driven Financial Market with Multiple Securities and Portfolio Choices
Consiglio, A., Russino, A. & Lacagnina, V., 2005, In : Quantitative Finance. 5, pag. 71-87Risultato della ricerca: Article
Portfolio choice
Double auction
Trading mechanism
Simulation analysis
Financial markets
How Does Learning Affect Market Liquidity? A Simulation Analysis of a Double-Auction Financial Market with Portfolio Traders
Russino, A. & Consiglio, A., 2005Risultato della ricerca: Other contribution
2004
A Conditional Value–at–Risk Model for Insurance Products with Guarantee
Zenios, Sa, 2004Risultato della ricerca: Other contribution
Conditional model
Guarantee
Insurance
Assets
Optimal portfolio
A High-Frequency Data Analysis of a Double Auction Artificial Financial Market
Consiglio, A., Russino, A. & Lacagnina, V., 2004.Risultato della ricerca: Other
A Simulation Analysis of the Microstructure of an Order Driven Financial Market with n Securities and Portfolio Choices
Russino, A., Lacagnina, V. & Consiglio, A., 2004Risultato della ricerca: Other contribution
High-Frequency Data Analysis of a Double Auction Artificial Financial Market
Lacagnina, V., Consiglio, A. & Russino, A., 2004, pag. 13-16.Risultato della ricerca: Other
10
Citazioni
(Scopus)
www.Personal_Asset_Allocation.
Consiglio, A., Cocco, F. & Zenios, S. A., 2004, In : Interfaces. 34, pag. 287-302Risultato della ricerca: Article
Finance
World Wide Web
Education
Internet
Planning