All Stories

  1. Pricing and hedging GDP-linked bonds in incomplete markets

    Article • Journal of Economic Dynamics and Control, March 2018, Elsevier

    Professor Andrea Consiglio

  2. Designing and pricing guarantee options in defined contribution pension plans

    Article • Insurance Mathematics and Economics, November 2015, Elsevier

    Professor Andrea Consiglio

  3. Risk profiles for re-profiling the sovereign debt of crisis countries

    Article • The Journal of Risk Finance, January 2015, Emerald

    Professor Andrea Consiglio, Stavros Zenios

  4. Simulating term structure of interest rates with arbitrary marginals

    Article • International Journal of Risk Assessment and Management, January 2011, Inderscience Publishers

    Professor Andrea Consiglio

  5. Pricing the Option to Surrender in Incomplete Markets

    Article • Journal of Risk & Insurance, November 2010, Wiley

    Professor Andrea Consiglio

  6. A stochastic programming model for the optimal issuance of government bonds

    Article • Annals of Operations Research, May 2010, Springer Science + Business Media

    Professor Andrea Consiglio

  7. Practical Financial Optimization

    Article • February 2010, Wiley

    Professor Andrea Consiglio

  8. Asset Return Dynamics under Alternative Learning Schemes

    Article • January 2009, Springer Science + Business Media

    Professor Andrea Consiglio

  9. A conditional value-at-risk model for insurance products with a guarantee

    Article • International Journal of Risk Assessment and Management, January 2009, Inderscience Publishers

    Professor Andrea Consiglio

  10. Asset and liability modelling for participating policies with guarantees

    Article • European Journal of Operational Research, April 2008, Elsevier

    Professor Andrea Consiglio

  11. Evaluation of insurance products with guarantee in incomplete markets

    Article • Insurance Mathematics and Economics, February 2008, Elsevier

    Professor Andrea Consiglio

  12. The prometeia model for managing insurance policies with guarantees

    Article • January 2008, Elsevier

    Professor Andrea Consiglio

  13. How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders

    Article • Journal of Economic Dynamics and Control, June 2007, Elsevier

    Professor Andrea Consiglio

  14. Scenario optimization asset and liability modelling for individual investors

    Article • Annals of Operations Research, November 2006, Springer Science + Business Media

    Professor Andrea Consiglio

  15. Asset and liability management for insurance products with minimum guarantees: The UK case

    Article • Journal of Banking & Finance, February 2006, Elsevier

    Professor Andrea Consiglio

  16. Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders

    Article • January 2006, Springer Science + Business Media

    Professor Andrea Consiglio

  17. A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices

    Article • Quantitative Finance, February 2005, Taylor & Francis

    Professor Andrea Consiglio

  18. www.Personal_Asset_Allocation

    Article • INFORMS Journal on Applied Analytics, August 2004, INFORMS

    Professor Andrea Consiglio

  19. The Dynamics of Quote Prices in an Artificial Financial Market with Learning Effects

    Article • Springer Science + Business Media

    Professor Andrea Consiglio