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Information about:
Elisa Luciano

Personal Details | Affiliation | Works
This is information that was supplied by Elisa Luciano in registering through RePEc. If you are Elisa Luciano , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Elisa
Middle Name:
Last Name: Luciano
Suffix:

RePEc Short-ID: plu86

Email:
Homepage: http://web.econ.unito.it/gma/elisa.htm
Postal Address:
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Elisa Luciano & Giovanna Nicodano, 2008. "Ownership links, leverage and credit risk," Carlo Alberto Notebooks 69, Collegio Carlo Alberto. [Downloadable!]

  2. Elisa Luciano & Patrizia Semeraro, 2008. "A Generalized Normal Mean Variance Mixture for Return Processes in Finance," Carlo Alberto Notebooks 97, Collegio Carlo Alberto, revised 2009. [Downloadable!]

  3. Elisa Luciano & Giovanna Nicodano, 2008. "Leverage, Value and Firm Scope," Carlo Alberto Notebooks 95, Collegio Carlo Alberto. [Downloadable!]

  4. Elisa Luciano & Patrizia Semeraro, 2008. "Multivariate Variance Gamma and Gaussian dependence: a study with copulas," Carlo Alberto Notebooks 96, Collegio Carlo Alberto. [Downloadable!]

  5. Elisa Luciano & Patrizia Semeraro, 2007. "Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion," ICER Working Papers - Applied Mathematics Series 42-2007, ICER - International Centre for Economic Research. [Downloadable!]

  6. Filippo Fiorani & Elisa Luciano & Patrizia Semeraro, 2007. "Single and joint default in a structural model with purely discontinuous assets," Carlo Alberto Notebooks 41, Collegio Carlo Alberto. [Downloadable!]

  7. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling Stochastic Mortality for Dependent Lives," CeRP Working Papers 58, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
    Other versions:
    Published as:

  8. Elisa Luciano, 2007. "Copulas and Dependence models in Credit Risk: Diffusions versus Jumps," ICER Working Papers - Applied Mathematics Series 31-2007, ICER - International Centre for Economic Research. [Downloadable!]

  9. Elisa Luciano, 2007. "Copula-Based Default Dependence Modelling: Where Do We Stand?," ICER Working Papers - Applied Mathematics Series 21-2007, ICER - International Centre for Economic Research. [Downloadable!]

  10. Elisa Luciano & Luca Regis, 2007. "Bank Efficiency and Banking Sector Development: the Case of Italy," ICER Working Papers - Applied Mathematics Series 5-2007, ICER - International Centre for Economic Research. [Downloadable!]

  11. Elisa Luciano & Patrizia Semeraro, 2007. "Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators," Carlo Alberto Notebooks 42, Collegio Carlo Alberto. [Downloadable!]

  12. Filippo Fiorani & Elisa Luciano, 2006. "Credit risk in pure jump structural models," ICER Working Papers - Applied Mathematics Series 6-2006, ICER - International Centre for Economic Research. [Downloadable!]

  13. Elisa Luciano & Elena Vigna, 2005. "Non mean reverting affine processes for stochastic mortality," ICER Working Papers - Applied Mathematics Series 4-2005, ICER - International Centre for Economic Research. [Downloadable!]
    Other versions:

  14. Elisa Luciano & Elena Vigna, 2005. "A note on stochastic survival probabilities and their calibration," ICER Working Papers - Applied Mathematics Series 1-2005, ICER - International Centre for Economic Research. [Downloadable!]
    Other versions:

  15. Elisa Luciano & Wim Schoutens, 2005. "A Multivariate Jump-Driven Financial Asset Model," ICER Working Papers - Applied Mathematics Series 6-2005, ICER - International Centre for Economic Research. [Downloadable!]
    Other versions:

  16. Elisa Luciano, 2005. "Calibrating risk-neutral default correlation," ICER Working Papers - Applied Mathematics Series 12-2005, ICER - International Centre for Economic Research. [Downloadable!]
    Published as:

  17. Umberto Cherubini & Elisa Luciano, 2002. "Multivariate Option Pricing with Copulas," ICER Working Papers - Applied Mathematics Series 05-2002, ICER - International Centre for Economic Research. [Downloadable!]

  18. Umberto Cherubini & Elisa Luciano, 2002. "Pricing Vulnerable Options with Copulas," ICER Working Papers - Applied Mathematics Series 06-2002, ICER - International Centre for Economic Research. [Downloadable!]

  19. Enrico Colombatto & Elisa Luciano & Luca Gargiulo & Pietro Garibaldi & Giuseppe Russo, 1991. "The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS)," OECD Development Centre Working Papers 46, OECD, Development Centre. [Downloadable!]

  20. Bernard Dumas & Elisa Luciano, . "An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019)," Rodney L. White Center for Financial Research Working Papers 41-89, Wharton School Rodney L. White Center for Financial Research.

Articles

  1. Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena, 2008. "Modelling stochastic mortality for dependent lives," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 234-244, October. [Downloadable!] (restricted)
    Other versions:

  2. Elisa Luciano, 2007. "Calibrating risk-neutral default correlation," Journal of Risk Finance, Emerald Group Publishing, vol. 8(5), pages 450-464, November. [Downloadable!] (restricted)
    Other versions:

  3. Luciano, Elisa & Peccati, Lorenzo & Cifarelli, Donato M., 2003. "VaR as a risk measure for multiperiod static inventory models," International Journal of Production Economics, Elsevier, vol. 81(1), pages 375-384, January. [Downloadable!] (restricted)

  4. Umberto Cherubini & Elisa Luciano, 2003. "Pricing and Hedging Credit Derivatives with Copulas," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 32(2), pages 219-242, 07. [Downloadable!] (restricted)

  5. Luciano, E. & Peccati, L., 2002. "Stationary optimal lengths for the plant renewal problem," International Journal of Production Economics, Elsevier, vol. 78(3), pages 287-293, August. [Downloadable!] (restricted)

  6. U. Cherubini & E. Luciano, 2002. "Bivariate option pricing with copulas," Applied Mathematical Finance, Taylor and Francis Journals, vol. 9(2), pages 69-85, June. [Downloadable!] (restricted)

  7. Fusai, Gianluca & Luciano, Elisa, 2001. "Dynamic value at risk under optimal and suboptimal portfolio policies," European Journal of Operational Research, Elsevier, vol. 135(2), pages 249-269, December. [Downloadable!] (restricted)

  8. Luciano, Elisa & Peccati, Lorenzo, 2001. "Cycles optimization: The equivalent annuity and the NPV approaches," International Journal of Production Economics, Elsevier, vol. 69(1), pages 65-83, January. [Downloadable!] (restricted)

  9. Elisa Luciano & Robert Kast, 2001. "A Value at Risk Approach to Background Risk," The Geneva Risk and Insurance Review, Palgrave Macmillan Journals, vol. 26(2), pages 91-115, September. [Downloadable!] (restricted)

  10. Luciano, Elisa & Peccati, Lorenzo, 1999. "Some basic problems in inventory theory: The financial perspective," European Journal of Operational Research, Elsevier, vol. 114(2), pages 294-303, April. [Downloadable!] (restricted)

  11. Luciano, Elisa & Peccati, Lorenzo, 1999. "Capital structure and inventory management:: The temporary sale price problem," International Journal of Production Economics, Elsevier, vol. 59(1-3), pages 169-178, March. [Downloadable!] (restricted)

  12. Elisa Luciano, 1998. "Swap pricing and hedging of general DCFs," Decisions in Economics and Finance, Springer, vol. 21(1), pages 73-95, June. [Downloadable!] (restricted)

  13. Gallo, Paolo & Luciano, Elisa & Peccati, Lorenzo, 1997. "Revision of industrial supply conditions and game theory," International Journal of Production Economics, Elsevier, vol. 49(1), pages 17-28, March. [Downloadable!] (restricted)

  14. Elisa Luciano, 1995. "Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza," Decisions in Economics and Finance, Springer, vol. 18(2), pages 199-227, September. [Downloadable!] (restricted)

  15. Dumas, Bernard & Luciano, Elisa, 1991. " An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs," Journal of Finance, American Finance Association, vol. 46(2), pages 577-95, June. [Downloadable!] (restricted)

NEP Fields

14 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (2) 2006-11-04 2008-02-02
  2. NEP-CMP: Computational Economics (1) 2005-04-24
  3. NEP-ECM: Econometrics (2) 2007-11-24 2009-02-14
  4. NEP-FIN: Finance (3) 2003-07-10 2005-04-16 2005-06-05
  5. NEP-FOR: Forecasting (1) 2006-11-04
  6. NEP-HEA: Health Economics (5) 2005-04-16 2005-05-07 2006-11-04 2007-09-24 2007-11-24 Author is listed
  7. NEP-RMG: Risk Management (8) 2003-07-10 2003-07-10 2005-05-07 2005-06-05 2006-11-04 2007-04-09 2007-11-24 2008-02-02 Author is listed
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This page was last updated on 2009-10-26.

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