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An exact solution [dynamic] to the portfolio choice problem under transactions costs

Dumas, Bernard; Luciano, Elisa - 1990

Persistent link: https://www.econbiz.de/10000789448

Delta-Gamma hedging of mortality and interest rate risk

Luciano, Elisa; Regis, Luca; Vigna, Elena - In: Insurance / Mathematics & economics 50 (2012) 3, pp. 402-412

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From volatility smiles to the volatility of volatility

Dumas, Bernard; Luciano, Elisa - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 387-406

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Financial synergies and systemic risk in the organization of bank affiliates

Luciano, Elisa; Wihlborg, Clas - In: Journal of banking & finance 88 (2018), pp. 208-224

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Risk analysis and portfolio modelling

Allen, David E. (ed.); Luciano, Elisa (ed.) - 2019

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide...

Persistent link: https://www.econbiz.de/10012117977

Basis risk in static versus dynamic longevity-risk hedging

De Rosa, Clemente; Luciano, Elisa; Regis, Luca - In: Scandinavian actuarial journal (2017) 4, pp. 343-365

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Single- and cross-generation natural hedging of longevity and financial risk

Luciano, Elisa; Regis, Luca; Vigna, Elena - In: The journal of risk and insurance : the journal of the … 84 (2017) 3, pp. 961-986

Persistent link: https://www.econbiz.de/10011749228

The economics of continuous-time finance

Dumas, Bernard; Luciano, Elisa - 2017

Persistent link: https://www.econbiz.de/10011619655

Geographical diversification and longevity risk mitigation in annuity portfolios

De Rosa, Clemente; Luciano, Elisa; Regis, Luca - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 375-410

Persistent link: https://www.econbiz.de/10012523250

Risk analysis and portfolio modelling

Allen, David E.; Luciano, Elisa - In: Journal of risk and financial management : JRFM 12 (2019) 4/154, pp. 1-4

Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially explored risks or risk takers in a wide variety of...

Persistent link: https://www.econbiz.de/10012173017