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 : Default journal. 9, pag. 1-24 24 pag.Risultato della ricerca: Article
4
Citazioni
(Scopus)
Portfolio diversification in the sovereign credit swap markets
Consiglio, A., Lotfi, S. & Zenios, S. A., 2018, In : Default journal. 266, pag. 5-33 29 pag.Risultato della ricerca: Article
Credit
Swaps
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 : Default journal. 88, pag. 137-155 19 pag.Risultato della ricerca: Article
Hedging
Incomplete markets
Pricing
Coupons
Risk factors
1
Citazione
(Scopus)
Pricing Sovereign contingent convertible debt
Tumminello, M., Consiglio, A. & Zenios, S. A., 2018, In : Default journal. 21, pag. 1-34 34 pag.Risultato della ricerca: 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, 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 : Default journal. 18, pag. 537-558 22 pag.Risultato della ricerca: Article
Sustainability
Sustainable development
Strategic Planning
Strategic planning
Risk Measures
2016
12
Citazioni
(Scopus)
A parsimonious model for generating arbitrage-free scenario trees
Carollo, A., Consiglio, A. & Zenios, S. A., 2016, In : Default journal. 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
Consiglio, A., Tumminello, M. & Zenios, S. A., 2015, In : Default journal. 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 : Default journal. 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 : Default journal. 16, pag. 2-26 25 pag.Risultato della ricerca: Article
Debt
Sovereign debt
Profiling
Italy
Cyprus
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 : Default journal. 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 : Default journal. 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
Pricing
Reinsurance
Insurance
Risk model
Assets
Simulating term structure of interest rates with arbitrary marginals
Consiglio, A. & Guirreri, S. S., 2011, In : Default journal. 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 : Default journal. 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
Pecorella, A., Consiglio, A. & Zenios, S. A., 2009, In : Default journal. 11, pag. 122-137 200 pag.Risultato della ricerca: Article
Conditional Value at Risk
Insurance
Optimal Portfolio
Objective function
Model
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 : Default journal. 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 : Default journal. 42, pag. 332-342 400 pag.Risultato della ricerca: Article
Insurance
Incomplete markets
Evaluation
Guarantee
Bonus
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 : Default journal. 31, pag. 1910-1937 28 pag.Risultato della ricerca: Article
Traders
Double auction
Market liquidity
Simulation analysis
Financial markets
11
Citazioni
(Scopus)
Scenario Optimization Asset and Liability Modelling for Individual Investors
Consiglio, A., Cocco, F. & Zenios, S. A., 2007, In : Default journal. 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 : Default journal. 30, pag. 645-667Risultato della ricerca: Article
Insurer
Asset and liability management
Bonus
Insurance
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
Optimal portfolio
Optimization problem
Bid
2005
8
Citazioni
(Scopus)
A Simulation Analysis of the Microstructure of an Order Driven Financial Market with Multiple Securities and Portfolio Choices
Consiglio, A., Lacagnina, V. & Russino, A., 2005, In : Default journal. 5, pag. 71-87Risultato della ricerca: Article
Portfolio choice
Double auction
Simulation analysis
Trading mechanism
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
Risk model
Insurance
Guarantee
Conditional value at risk
Assets
A High-Frequency Data Analysis of a Double Auction Artificial Financial Market
Lacagnina, V., Consiglio, A. & Russino, A., 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., Consiglio, A. & Lacagnina, V., 2004Risultato della ricerca: Other contribution
High-Frequency Data Analysis of a Double Auction Artificial Financial Market
Consiglio, A., Lacagnina, V. & 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 : Default journal. 34, pag. 287-302Risultato della ricerca: Article
Finance
World Wide Web
Education
Internet
Planning