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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

Persistent link: https://www.econbiz.de/10009542258

Spouses' dependence across generations and pricing impact on reversionary annuities

Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - In: Risks : open access journal 4 (2016) 2, pp. 1-18

This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a...

Persistent link: https://www.econbiz.de/10011507502

Sugli effetti dei costi di transizione nelle scelte di portafoglio con orizzonte finito

Luciano, Elisa - In: Rivista internazionale di scienze sociali 97 (1989) 2, pp. 254-271

Persistent link: https://www.econbiz.de/10001087495

Market making with noise : the case of a specialist financial market with heterogeneous traders

Luciano, Elisa - In: Recent research in financial modelling, (pp. 135-145). 1993

Persistent link: https://www.econbiz.de/10001282576

Bond pricing through bargaining

Luciano, Elisa - In: Financial modelling : recent research ; [selection of …, (pp. 262-285). 1994

Persistent link: https://www.econbiz.de/10001285720

Copula-based default dependence modeling : where do we stand?

Luciano, Elisa - In: Credit risk : models, derivatives, and management, (pp. 327-345). 2008

Persistent link: https://www.econbiz.de/10003718534

Optimal fees and equilibrium in crypto markets

Luciano, Elisa - 2024

Persistent link: https://www.econbiz.de/10015101070

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

Dumas, Bernard; Luciano, Elisa - 1990

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

A note on the pricing solution to bilateral monopoly and its efficiency

Luciano, Elisa - In: Rivista internazionale di scienze economiche e … 45 (1998) 3, pp. 443-461

Persistent link: https://www.econbiz.de/10001251065

An exact solution to a dynamic portfolio choice problem under transactions costs

Dumas, Bernard - In: The journal of finance : the journal of the American … 46 (1991) 2, pp. 577-595

Persistent link: https://www.econbiz.de/10001108563