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Elisa Luciano

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Personal Details

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

RePEc Short-ID: plu86

Email:
Homepage: http://sites.carloalberto.org/luciano/
Postal Address:
Phone:

Affiliation

(50%) Collegio Carlo Alberto
Location: Moncalieri, Italy
Homepage: http://www.carloalberto.org/
Email:
Phone: +390116705000
Fax: +390116476847
Postal: Via Real Collegio, 30, 10024 Moncalieri (To)
Handle: RePEc:edi:fccaait (more details at EDIRC)
(50%) Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche
Facoltà di Economia
Università degli Studi di Torino
Location: Torino, Italy
Homepage: http://web.econ.unito.it/prato/
Email:
Phone: +39 011 6706128
Fax: +39 011 6706062
Postal: Corso Unione Sovietica 218 bis, Torino
Handle: RePEc:edi:dstorit (more details at EDIRC)

Works

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Working papers

  1. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013. "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks 307, Collegio Carlo Alberto.
  2. Elisa Luciano & Luca Regis, 2013. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Carlo Alberto Notebooks 308, Collegio Carlo Alberto.
  3. Elisa Luciano & Clas Wihlborg, 2013. "The Organization of Bank Affiliates; A Theoretical Perspective on Risk and Efficiency," ICER Working Papers 06-2013, ICER - International Centre for Economic Research.
  4. Elisa Luciano & Giovanna Nicodano, 2012. "Default risk in business groups," Carlo Alberto Notebooks 283, Collegio Carlo Alberto.
  5. Petar Jevtic & Elisa Luciano & Elena Vigna, 2012. "Mortality Surface by Means of Continuous Time Cohort Models," Carlo Alberto Notebooks 264, Collegio Carlo Alberto, revised 2013.
  6. Elisa Luciano & Luca Regis, 2012. "Demographic risk transfer: is it worth for annuity providers?," ICER Working Papers 11-2012, ICER - International Centre for Economic Research.
  7. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.
  8. Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Single and cross-generation natural hedging of longevity and financial risk," Carlo Alberto Notebooks 257, Collegio Carlo Alberto.
  9. Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Natural delta gamma hedging of longevity and interest rate risk," ICER Working Papers - Applied Mathematics Series 21-2011, ICER - International Centre for Economic Research.
  10. Riccardo Giacomelli & Elisa Luciano, 2011. "Equilibrium price of immediacy and infrequent trade," Carlo Alberto Notebooks 221, Collegio Carlo Alberto, revised 2013.
  11. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
  12. E. Luciano, 2010. "Business Time and New Credit Risk Models," ICER Working Papers - Applied Mathematics Series 16-2010, ICER - International Centre for Economic Research.
  13. Elisa Luciano & Patrizia Semeraro, 2008. "Multivariate Variance Gamma and Gaussian dependence: a study with copulas," Carlo Alberto Notebooks 96, Collegio Carlo Alberto.
  14. Elisa Luciano & Giovanna Nicodano, 2008. "Ownership links, leverage and credit risk," Carlo Alberto Notebooks 69, Collegio Carlo Alberto, revised 2008.
  15. Elisa Luciano & Giovanna Nicodano, 2008. "Intercorporate guarantees, leverage and taxes," Carlo Alberto Notebooks 95, Collegio Carlo Alberto, revised 2010.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. Elisa Luciano & Patrizia Semeraro, 2007. "Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators," Carlo Alberto Notebooks 42, Collegio Carlo Alberto.
  21. 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).
  22. 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.
  23. 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.
  24. 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.
  25. Elisa Luciano, 2005. "Calibrating risk-neutral default correlation," ICER Working Papers - Applied Mathematics Series 12-2005, ICER - International Centre for Economic Research.
  26. 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.
  27. 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.
  28. 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.
  29. Umberto Cherubini & Elisa Luciano, 2002. "Pricing Vulnerable Options with Copulas," ICER Working Papers - Applied Mathematics Series 06-2002, ICER - International Centre for Economic Research.
  30. Umberto Cherubini & Elisa Luciano, 2002. "Multivariate Option Pricing with Copulas," ICER Working Papers - Applied Mathematics Series 05-2002, ICER - International Centre for Economic Research.
  31. 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 Publishing.
  32. 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 & Regis, Luca, 2014. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 68-77.
  2. Jevtić, Petar & Luciano, Elisa & Vigna, Elena, 2013. "Mortality surface by means of continuous time cohort models," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 122-133.
  3. Dhaene, Jan & Kukush, Alexander & Luciano, Elisa & Schoutens, Wim & Stassen, Ben, 2013. "On the (in-)dependence between financial and actuarial risks," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 522-531.
  4. Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
  5. Elisa Luciano & Patrizia Semeraro, 2010. "A Generalized Normal Mean-Variance Mixture For Return Processes In Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 415-440.
  6. Filippo Fiorani & Elisa Luciano & Patrizia Semeraro, 2010. "Single and joint default in a structural model with purely discontinuous asset prices," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 249-263.
  7. 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.
  8. Elisa Luciano, 2007. "Calibrating risk-neutral default correlation," Journal of Risk Finance, Emerald Group Publishing, vol. 8(5), pages 450-464, November.
  9. Elisa Luciano & Wim Schoutens, 2006. "A multivariate jump-driven financial asset model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 385-402.
  10. 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.
  11. 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.
  12. U. Cherubini & E. Luciano, 2002. "Bivariate option pricing with copulas," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(2), pages 69-85.
  13. 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.
  14. 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.
  15. 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.
  16. Elisa Luciano & Robert Kast, 2001. "A Value at Risk Approach to Background Risk," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 26(2), pages 91-115, September.
  17. 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.
  18. 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.
  19. Elisa Luciano, 1998. "Swap pricing and hedging of general DCFs," Decisions in Economics and Finance, Springer, vol. 21(1), pages 73-95, June.
  20. 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.
  21. 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.
  22. 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.

NEP Fields

25 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (2) 2010-06-26 2013-09-25
  2. NEP-CFN: Corporate Finance (3) 2006-11-04 2008-02-02 2013-11-16
  3. NEP-CMP: Computational Economics (1) 2005-04-24
  4. NEP-DEM: Demographic Economics (1) 2012-09-22
  5. NEP-ECM: Econometrics (2) 2007-11-24 2009-02-14
  6. NEP-ETS: Econometric Time Series (1) 2013-11-16
  7. NEP-FIN: Finance (3) 2003-07-10 2005-04-16 2005-06-05
  8. NEP-FOR: Forecasting (2) 2006-11-04 2012-09-22
  9. NEP-HEA: Health Economics (6) 2005-04-16 2005-05-07 2006-11-04 2007-09-24 2007-11-24 2011-06-25. Author is listed
  10. NEP-IAS: Insurance Economics (1) 2013-01-19
  11. NEP-LAM: Central & South America (1) 2013-09-25
  12. NEP-LTV: Unemployment, Inequality & Poverty (1) 2013-09-25
  13. NEP-NEU: Neuroeconomics (1) 2013-09-25
  14. NEP-RMG: Risk Management (13) 2003-07-10 2003-07-10 2005-05-07 2005-06-05 2006-11-04 2007-04-09 2007-11-24 2008-02-02 2010-06-26 2012-07-08 2013-01-19 2013-02-16 2013-11-16. Author is listed

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