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 : 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

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
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)
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. 645-667

Risultato 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)
Portfolio choice
Double auction
Simulation analysis
Trading mechanism
Financial markets
2004

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

Zenios, Sa, 2004

Risultato della ricerca: Other contribution

Risk model
Insurance
Guarantee
Conditional value at risk
Assets
10 Citazioni (Scopus)

www.Personal_Asset_Allocation.

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

Risultato della ricerca: Article

Finance
World Wide Web
Education
Internet
Planning