Details about Andrea Consiglio

Access statistics for papers by Andrea Consiglio.

Last updated 2018-09-03. Update your information in the RePEc Author Service.

Short-id: pco223

Working Papers

2019

1. Risk Management for Sovereign Debt Financing with Sustainability Conditions
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)

2018

2. Pricing sovereign contingent convertible debt
   Papers, arXiv.org View citations (5)

2017

3. Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (2)
   See also Journal Article Pricing and hedging GDP-linked bonds in incomplete markets, Journal of Economic Dynamics and Control, Elsevier (2018) View citations (9) (2018)

2015

4. Desinging Guarantee Options in Defined Contributions Pension Plans
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (1)

2014

5. Risk Management Optimization for Sovereign Debt Restructuring
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (7)
   See also Journal Article Risk Management Optimization for Sovereign Debt Restructuring, Journal of Globalization and Development, De Gruyter (2015) View citations (12) (2015)
6. Risk Profiles for Re-profiling the Sovereign Debt of Crisis Countries
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (1)

2007

7. Pricing the Option to Surrender in Incomplete Markets
   Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (2)
   See also Journal Article Pricing the Option to Surrender in Incomplete Markets, Journal of Risk & Insurance, The American Risk and Insurance Association (2010) View citations (8) (2010)

2001

8. Asset and Liability Modeling for Participating Policies with Guarantees
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (4)
   See also Journal Article Asset and liability modelling for participating policies with guarantees, European Journal of Operational Research, Elsevier (2008) View citations (13) (2008)
9. 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 View citations (11)

1998

10. 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 (4)
    See also Journal Article Scenario modeling for the management ofinternational bond portfolios, Annals of Operations Research, Springer (1999) View citations (2) (1999)

Journal Articles

2018

1. Portfolio diversification in the sovereign credit swap markets
   Annals of Operations Research, 2018, 266, (1), 5-33 View citations (7)
2. Pricing and hedging GDP-linked bonds in incomplete markets
   Journal of Economic Dynamics and Control, 2018, 88, (C), 137-155 View citations (9)
   See also Working Paper Pricing and Hedging GDP-Linked Bonds in Incomplete Markets, Working Papers (2017) View citations (2) (2017)

2016

3. A parsimonious model for generating arbitrage-free scenario trees
   Quantitative Finance, 2016, 16, (2), 201-212 View citations (17)

2015

4. Designing and pricing guarantee options in defined contribution pension plans
   Insurance: Mathematics and Economics, 2015, 65, (C), 267-279 View citations (6)
5. Risk Management Optimization for Sovereign Debt Restructuring
   Journal of Globalization and Development, 2015, 6, (2), 181-213 View citations (12)
   See also Working Paper Risk Management Optimization for Sovereign Debt Restructuring, Working Papers (2014) View citations (7) (2014)

2012

6. A stochastic programming model for the optimal issuance of government bonds
   Annals of Operations Research, 2012, 193, (1), 159-172 View citations (10)

2010

7. Pricing the Option to Surrender in Incomplete Markets
   Journal of Risk & Insurance, 2010, 77, (4), 935-957 View citations (8)
   See also Working Paper Pricing the Option to Surrender in Incomplete Markets, Finance Research Group Working Papers (2007) View citations (2) (2007)

2008

8. Asset and liability modelling for participating policies with guarantees
   European Journal of Operational Research, 2008, 186, (1), 380-404 View citations (13)
   See also Working Paper Asset and Liability Modeling for Participating Policies with Guarantees, Center for Financial Institutions Working Papers (2001) View citations (4) (2001)
9. Evaluation of insurance products with guarantee in incomplete markets
   Insurance: Mathematics and Economics, 2008, 42, (1), 332-342 View citations (5)

2007

10. 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 View citations (3)
11. Scenario optimization asset and liability modelling for individual investors
    Annals of Operations Research, 2007, 152, (1), 167-191 View citations (10)

2006

12. Asset and liability management for insurance products with minimum guarantees: The UK case
    Journal of Banking & Finance, 2006, 30, (2), 645-667 View citations (19)

2005

13. A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices
    Quantitative Finance, 2005, 5, (1), 71-87 View citations (13)

2004

14. www.Personal_Asset_Allocation
    Interfaces, 2004, 34, (4), 287-302 View citations (3)

1999

15. Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models
    Operations Research, 1999, 47, (2), 195-208 View citations (1)
16. Scenario modeling for the management ofinternational bond portfolios
    Annals of Operations Research, 1999, 85, 227-247 View citations (2)
    See also Working Paper Scenario Modeling for the Management of International Bond Portfolios, Center for Financial Institutions Working Papers (1998) View citations (4) (1998)

1997

17. A model for designing callable bonds and its solution using tabu search
    Journal of Economic Dynamics and Control, 1997, 21, (8-9), 1445-1470 View citations (3)

Edited books

2007

1. Artificial Markets Modeling
   Lecture Notes in Economics and Mathematical Systems, Springer View citations (5)