Details about Andrea Consiglio

Access statistics for papers by Andrea Consiglio.

Last updated 2008-09-29. Update your information in the RePEc Author Service.

Short-id: pco223

Working Papers

2007

1. Pricing the Option to Surrender in Incomplete Markets
   Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies

2001

2. Asset and Liability Modeling for Participating Policies with Guarantees
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
   See also Journal Article in European Journal of Operational Research (2008)
3. The Value of Integrative Risk Management for Insurance Products with Guarantees
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania

1998

4. Scenario Modeling for the Management of International Bond Portfolios
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations

Journal Articles

2008

1. Asset and liability modelling for participating policies with guarantees
   European Journal of Operational Research, 2008, 186, (1), 380-404
   See also Working Paper (2001)
2. Evaluation of insurance products with guarantee in incomplete markets
   Insurance: Mathematics and Economics, 2008, 42, (1), 332-342

2007

3. How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
   Journal of Economic Dynamics and Control, 2007, 31, (6), 1910-1937

2006

4. Asset and liability management for insurance products with minimum guarantees: The UK case
   Journal of Banking & Finance, 2006, 30, (2), 645-667 View citations

1997

5. A model for designing callable bonds and its solution using tabu search
   Journal of Economic Dynamics and Control, 1997, 21, (8-9), 1445-1470