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Details about Elisa Luciano

E-mail:
Homepage:http://sites.carloalberto.org/luciano/
Workplace:Collegio Carlo Alberto (Carlo Alberto College), Università degli Studi di Torino (University of Turin), (more information at EDIRC)
Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche, Università degli Studi di Torino (University of Turin), (more information at EDIRC)

Access statistics for papers by Elisa Luciano.

Last updated 2020-02-04. Update your information in the RePEc Author Service.

Short-id: plu86


Jump to Journal Articles Books Edited books

Working Papers

2019

  1. Geographical diversication and longevity risk mitigation in annuity portfolios
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads
  2. Model Risk in Credit Risk
    Papers, arXiv.org Downloads

2016

  1. Are information and portfolio diversification substitutes or complements?
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads
  2. Equilibrium bid-ask spread and infrequent trade with outside options
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads
  3. Financial Inclusion and Life Insurance Demand; Evidence from Italian households
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) Downloads View citations (3)
  4. Information effects in longevity-linked vs purely financial portfolios
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) Downloads View citations (1)

2015

  1. Basis risk in static versus dynamic longevity-risk hedging
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads
  2. Dependence Calibration and Portfolio Fit with FactorBased Time Changes
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (6)
  3. Static versus dynamic longevity-risk hedging
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads

2014

  1. Financial synergies and the Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads

2013

  1. Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2014)
  2. Equilibrium price of immediacy and infrequent trade
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (1)
  3. Mortality Surface by Means of Continuous Time Cohort Models
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (8)
    See also Journal Article in Insurance: Mathematics and Economics (2013)
  4. The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency
    ICER Working Papers, ICER - International Centre for Economic Research Downloads

2012

  1. Default risk in business groups
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (2)
  2. Demographic risk transfer: is it worth for annuity providers?
    ICER Working Papers, ICER - International Centre for Economic Research Downloads
  3. Evolution of coupled lives' dependency across generations and pricing impact
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (1)
  4. Natural delta gamma hedging of longevity and interest rate risk
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads
  5. Single and cross-generation natural hedging of longevity and financial risk
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (5)
    Also in ICER Working Papers, ICER - International Centre for Economic Research (2012) Downloads View citations (7)

    See also Journal Article in Journal of Risk & Insurance (2017)

2011

  1. Delta and Gamma hedging of mortality and interest rate risk
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads View citations (3)

2010

  1. Business Time and New Credit Risk Models
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads
  2. Intercorporate guarantees, leverage and taxes
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (1)

2009

  1. A Generalized Normal Mean Variance Mixture for Return Processes in Finance
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (4)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2010)

2008

  1. Mortality risk via affine stochastic intensities: calibration and empirical relevance
    MPRA Paper, University Library of Munich, Germany Downloads View citations (34)
  2. Multivariate Variance Gamma and Gaussian dependence: a study with copulas
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (1)
  3. Ownership links, leverage and credit risk
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads

2007

  1. Bank Efficiency and Banking Sector Development: the Case of Italy
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads View citations (4)
  2. Copula-Based Default Dependence Modelling: Where Do We Stand?
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads View citations (1)
  3. Copulas and Dependence models in Credit Risk: Diffusions versus Jumps
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2006) Downloads
  4. Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (4)
  5. Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads
  6. Modelling Stochastic Mortality for Dependent Lives
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) Downloads
    Also in Carlo Alberto Notebooks, Collegio Carlo Alberto (2007) Downloads View citations (2)

    See also Journal Article in Insurance: Mathematics and Economics (2008)
  7. Single and joint default in a structural model with purely discontinuous assets
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (6)

2006

  1. A Multivariate Jump-Driven Financial Asset Model
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (30)
    Also in ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research (2005) Downloads View citations (9)

    See also Journal Article in Quantitative Finance (2006)
  2. A note on stochastic survival probabilities and their calibration
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads
    Also in ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research (2005) Downloads View citations (1)
  3. Credit risk in pure jump structural models
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads View citations (2)
  4. Non mean reverting affne processes for stochastic mortality
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (1)
    Also in ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research (2005) Downloads View citations (23)

2005

  1. Calibrating risk-neutral default correlation
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads View citations (1)
    See also Journal Article in Journal of Risk Finance (2007)

2002

  1. Multivariate Option Pricing with Copulas
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads View citations (20)
  2. Pricing Vulnerable Options with Copulas
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research Downloads View citations (12)

1999

  1. A note on loadings and deductibles: can a vicious circle arise?
    MPRA Paper, University Library of Munich, Germany Downloads

1991

  1. The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS)
    OECD Development Centre Working Papers, OECD Publishing Downloads

1990

  1. An exact solution to the portfolio choice problem under transactions costs
    Working Papers, HAL View citations (1)

Undated

  1. An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)

Journal Articles

2019

  1. From volatility smiles to the volatility of volatility
    Decisions in Economics and Finance, 2019, 42, (2), 387-406 Downloads View citations (1)
  2. Risk Analysis and Portfolio Modelling
    Journal of Risk and Financial Management, 2019, 12, (4), 1-4 Downloads View citations (1)

2018

  1. Financial synergies and systemic risk in the organization of bank affiliates
    Journal of Banking & Finance, 2018, 88, (C), 208-224 Downloads

2017

  1. Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk
    Journal of Risk & Insurance, 2017, 84, (3), 961-986 Downloads View citations (3)
    See also Working Paper (2012)

2016

  1. Dependence calibration and portfolio fit with factor-based subordinators
    Quantitative Finance, 2016, 16, (7), 1037-1052 Downloads View citations (4)
  2. Life Insurance Ownership by Italian Households: A Gender-Based Differences Analysis
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2016, 41, (3), 468-490 Downloads
  3. Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities
    Risks, 2016, 4, (2), 1-18 Downloads View citations (1)

2014

  1. Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
    Insurance: Mathematics and Economics, 2014, 55, (C), 68-77 Downloads View citations (3)
    See also Working Paper (2013)
  2. Guarantees, Leverage, and Taxes
    Review of Financial Studies, 2014, 27, (9), 2736-2772 Downloads View citations (14)

2013

  1. Mortality surface by means of continuous time cohort models
    Insurance: Mathematics and Economics, 2013, 53, (1), 122-133 Downloads View citations (7)
    See also Working Paper (2013)
  2. On the (in-)dependence between financial and actuarial risks
    Insurance: Mathematics and Economics, 2013, 52, (3), 522-531 Downloads View citations (9)

2012

  1. Delta–Gamma hedging of mortality and interest rate risk
    Insurance: Mathematics and Economics, 2012, 50, (3), 402-412 Downloads View citations (21)

2010

  1. A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE
    International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (03), 415-440 Downloads
    See also Working Paper (2009)
  2. Single and joint default in a structural model with purely discontinuous asset prices
    Quantitative Finance, 2010, 10, (3), 249-263 Downloads View citations (3)

2008

  1. Modelling stochastic mortality for dependent lives
    Insurance: Mathematics and Economics, 2008, 43, (2), 234-244 Downloads View citations (21)
    See also Working Paper (2007)

2007

  1. Calibrating risk-neutral default correlation
    Journal of Risk Finance, 2007, 8, (5), 450-464 Downloads
    See also Working Paper (2005)

2006

  1. A multivariate jump-driven financial asset model
    Quantitative Finance, 2006, 6, (5), 385-402 Downloads View citations (28)
    See also Working Paper (2006)

2003

  1. Pricing and Hedging Credit Derivatives with Copulas
    Economic Notes, 2003, 32, (2), 219-242 Downloads View citations (4)
  2. VaR as a risk measure for multiperiod static inventory models
    International Journal of Production Economics, 2003, 81-82, (1), 375-384 Downloads View citations (13)

2002

  1. Bivariate option pricing with copulas
    Applied Mathematical Finance, 2002, 9, (2), 69-85 Downloads View citations (37)
  2. Stationary optimal lengths for the plant renewal problem
    International Journal of Production Economics, 2002, 78, (3), 287-293 Downloads

2001

  1. A Value at Risk Approach to Background Risk
    The Geneva Risk and Insurance Review, 2001, 26, (2), 91-115 Downloads View citations (3)
  2. Cycles optimization: The equivalent annuity and the NPV approaches
    International Journal of Production Economics, 2001, 69, (1), 65-83 Downloads View citations (1)
  3. Dynamic value at risk under optimal and suboptimal portfolio policies
    European Journal of Operational Research, 2001, 135, (2), 249-269 Downloads View citations (5)
  4. Value-at-risk Trade-off and Capital Allocation with Copulas
    Economic Notes, 2001, 30, (2), 235-256 Downloads View citations (11)

1999

  1. Capital structure and inventory management:: The temporary sale price problem
    International Journal of Production Economics, 1999, 59, (1-3), 169-178 Downloads View citations (11)
  2. Some basic problems in inventory theory: The financial perspective
    European Journal of Operational Research, 1999, 114, (2), 294-303 Downloads View citations (1)

1998

  1. Swap pricing and hedging of general DCFs
    Decisions in Economics and Finance, 1998, 21, (1), 73-95 Downloads

1997

  1. Revision of industrial supply conditions and game theory
    International Journal of Production Economics, 1997, 49, (1), 17-28 Downloads View citations (2)

1995

  1. Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza
    Decisions in Economics and Finance, 1995, 18, (2), 199-227 Downloads

1991

  1. An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
    Journal of Finance, 1991, 46, (2), 577-95 Downloads View citations (119)

Books

2017

  1. The Economics of Continuous-Time Finance, vol 1
    MIT Press Books, The MIT Press View citations (1)

Edited books

2004

  1. Developing an Annuity Market in Europe
    Books, Edward Elgar Publishing Downloads View citations (4)
 
Page updated 2020-02-22