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Elisa Luciano · Study
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Author
Elisa Luciano
31 works
· latest 2017
· 5 institutions
cluster: provisional
ORCID 0000-0003-2992-3952
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i10
31
Citations
3,950
Works here
31
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Most cited in this library
Copula Methods in Finance
2004 · 2,013 citations
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
1991 · 401 citations
A Multivariate Jump-Driven Financial Asset Model
2006 · 204 citations
Non Mean Reverting Affine Processes for Stochastic Mortality
2005 · 131 citations
Bivariate option pricing with copulas
2002 · 123 citations
Works
31 shown
Financial synergies and systemic risk in the organization of bank affiliates
Journal of Banking & Finance
·
2017
·
2 authors
·
Open access
21
citations
Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities
Risks
·
2016
·
3 authors
·
Open access
24
citations
Basis risk in static versus dynamic longevity-risk hedging
Scandinavian Actuarial Journal
·
2016
·
3 authors
·
Open access
20
citations
Dependence calibration and portfolio fit with factor-based subordinators
Quantitative Finance
·
2016
·
3 authors
·
Open access
32
citations
Single‐ and Cross‐Generation Natural Hedging of Longevity and Financial Risk
Journal of Risk & Insurance
·
2015
·
3 authors
·
Open access
33
citations
Guarantees, Leverage, and Taxes
Review of Financial Studies
·
2014
·
2 authors
·
Open access
44
citations
Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators
SSRN Electronic Journal
·
2014
·
2 authors
·
preprint
·
Open access
43
citations
Mortality surface by means of continuous time cohort models
Insurance Mathematics and Economics
·
2013
·
3 authors
·
Open access
44
citations
A note on the (in)dependence between financial and actuarial risks
Institutional Research Information System University of Turin (University of Turin)
·
2013
·
5 authors
·
Open access
43
citations
Delta–Gamma hedging of mortality and interest rate risk
Insurance Mathematics and Economics
·
2012
·
3 authors
·
Open access
61
citations
Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk
SSRN Electronic Journal
·
2012
·
3 authors
·
preprint
·
Open access
13
citations
A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE
International Journal of Theoretical and Applied Finance
·
2010
·
2 authors
29
citations
Single and joint default in a structural model with purely discontinuous asset prices
Quantitative Finance
·
2009
·
3 authors
30
citations
Multivariate time changes for Lévy asset models: Characterization and calibration
Journal of Computational and Applied Mathematics
·
2009
·
2 authors
·
Open access
104
citations
Modelling stochastic mortality for dependent lives
Insurance Mathematics and Economics
·
2008
·
3 authors
105
citations
Mortality risk via affine stochastic intensities: calibration and empirical relevance
Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)
·
2008
·
2 authors
·
report
·
Open access
82
citations
Single and joint default in a structural model with purely discontinuous assets
RePEc: Research Papers in Economics
·
2007
·
3 authors
·
preprint
32
citations
A multivariate jump-driven financial asset model
Quantitative Finance
·
2006
·
2 authors
·
Open access
34
citations
A Multivariate Jump-Driven Financial Asset Model
Social Science Open Access Repository (GESIS – Leibniz Institute for the Social Sciences)
·
2006
·
2 authors
204
citations
Abstracts and Reviews
Insurance Mathematics and Economics
·
2005
·
2 authors
·
other
13
citations
Non Mean Reverting Affine Processes for Stochastic Mortality
SSRN Electronic Journal
·
2005
·
2 authors
·
preprint
·
Open access
131
citations
A Note on Stochastic Survival Probabilities and Their Calibration
SSRN Electronic Journal
·
2005
·
2 authors
·
preprint
·
Open access
11
citations
Copula Methods in Finance
Wiley eBooks
·
2004
·
3 authors
·
book
2,013
citations
Pricing Vulnerable Options With Copulas
The Journal of Risk Finance
·
2003
·
2 authors
34
citations
VaR as a risk measure for multiperiod static inventory models
International Journal of Production Economics
·
2002
·
3 authors
61
citations
Bivariate option pricing with copulas
Applied Mathematical Finance
·
2002
·
2 authors
123
citations
Multivariate Option Pricing with Copulas
RePEc: Research Papers in Economics
·
2002
·
2 authors
·
preprint
35
citations
Value‐at‐risk Trade‐off and Capital Allocation with Copulas
Economic Notes
·
2001
·
2 authors
72
citations
Multivariate Option Pricing with Copulas
SSRN Electronic Journal
·
2001
·
2 authors
·
preprint
·
Open access
22
citations
Capital structure and inventory management:
International Journal of Production Economics
·
1999
·
2 authors
36
citations
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
The Journal of Finance
·
1991
·
2 authors
401
citations