06 October 2008
ELISA LUCIANOModelling stochastic mortality for dependent lives, with Jaap Spreeuw and Elena Vigna, Insurance, Mathematics and Economics, 43, 2008, pp. 234-244
Spark spread options when commodity prices are represented as time-changed processes, in Financial Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy, ed. by H. Geman, J. Wiley, Finance Series 2008.
Copula-based default dependence modelling and invariance: where do we stand?, in Credit Risk: Models, Derivatives, and Management - Empirical Studies and Analysis, ed. by N. Wagner, Chapman & Hall, Financial Mathematics Series, 2008.
Calibrating risk-neutral default correlation, Journal of Risk Finance, 8 (5), 2007, pp. 450-64.
Bank Efficiency and Banking Sector Development: the Case of Italy, with L. Regis, ICER WP 5/07, forthcoming in the Proceedings of the conference "Economic Modernization and Social Development", Moscow, High School of Economics, April 2007.
Modelling dependence in credit risk, Statistica Applicata, 18 (4), 2006, pp. 573-588.
- A multivariate jump-driven financial asset model, with Wim Schoutens, Quantitative Finance, 6(5), October 2006, pp.385-402.
- Pricing vulnerable options with copulas, with U. Cherubini, Journal of Risk Finance 5 (1), 27-39, 2003.
- Pricing and hedging credit derivatives with copulas, with U. Cherubini, Economic Notes, 32, 2003, pp. 1-23.
- Value at risk bounds for portfolios of non-normal returns, with M. Marena, in New Trends in Banking Management, edited by C. Zopoudinis, Physica-Verlag, 2003, pp. 207-222.
- VaR as a risk measure for multiperiod static inventory models, with D.M. Cifarelli and L. Peccati, International Journal of Production Economics, 55, 2003, pp. 375-84.
- Copulae as a new tool in Financial Modelling, with M. Marena, Operational Research: An International Journal, 2, 2002, pp. 139-55.
- Bivariate option pricing with copulas, with U. Cherubini, Applied Mathematical Finance, 9 (2), 2002, pp. 69-86.
- Copula vulnerability, with U. Cherubini, Risk, October 2002, reprinted in Risk Italia, May 2003.
- Copula vulnerability, with U. Cherubini, in Credit Risk Modelling,
London: Risk Books, 2003. - Portfolio Value at Risk Bounds, with M. Marena, International Transactions in Operational Research, 9 (5), 2002, pp. 629-41.
- Stationary Optimal Lenghts for the Plant Renewal Problem, with L. Peccati, International Journal of Production Economics, 78, 2002, pp. 287-93.
- A Value at Risk Approach to Background Risk, with R. Kast,
Geneva Papers on Risk and Insurance Theory, 26 (2), 2001, pp. 91-117. - Dynamic value at risk under optimal and suboptimal portfolio policies,, with G. Fusai, European Journal of Operational Research, 135, 2, 2001, pp. 249-69.
- Value at risk trade-off and capital allocation, with U. Cherubini, Economic Notes, 30 (2), 2001, pp. 235-56.
- Cycles optimization: the equivalent annuity and the NPV approaches (formerly circulated as On the equivalent annuity principle in some production problems), with L. Peccati, International Journal of Production Economics, 69 (1), 2001, pp. 65-83.
- Some Basic Problems in Inventory Theory: the Financial Perspective, with L. Peccati, European Journal of Operational Research, 114, 1999, pp. 294-303.
- A note on Loadings and Deductibles: can a vicious circle arise?, Scandinavian Actuarial Journal, 1999 (2), pp. 157-69.
- Capital Structure and Inventory Management: the Temporary
Sale Price Problem, with L. Peccati, International Journal of Production Economics, 59 (1), 1998, pp. 169-78. - Revision of Industrial Supply Conditions and Game theory, with P. Gallo and L. Peccati, International Journal of Production Economics, 49, 1997, pp.17-28.
- Bond Pricing through Bargaining, in Recent Research in Financial Modelling, ed. by L. Peccati and M. Virén,
Berlin: Physica-Verlag (Springer-Verlag), 1993, pp. 17-23. - Market making with noise: the case of a specialist financial market with heterogeneous traders, in Recent Research in Financial Modelling, ed. by E.J. Stokking and G. Zambruno,
Heidelberg: Physica-Verlag (Springer-Verlag), 1993, pp. 135-45. - Institutionally heterogeneous agents in an imitative stock market , with L. Ferrari and L. Peccati, in Recent Research in Financial Modelling, ed. by E.J. Stokking and G. Zambruno,
Heidelberg: Physica-Verlag (Springer-Verlag), 1993, pp. 117-124. - A decomposition of random net present values, with L. Peccati, in Recent Research in Financial Modelling, ed. by E.J. Stokking and G. Zambruno,
Heidelberg: Physica-Verlag (Springer-Verlag), 1993, pp. 17-23. - The External Financing of Brazilian Imports, by Enrico Colombatto, with E. Luciano, L. Gargiulo, P. Garibaldi, G. Russo, OCDE Technical Paper 46, Paris, 1991.
- An exact solution to a dynamic portfolio choice problem with transaction costs, with B. Dumas, Journal of Finance, 46 (2), 1991, pp. 577-595.
