Spark spread options when commodity prices are represented as time changed processes

von Luciano, Elisa
Veröffentlicht in Risk management in commodity markets (2008)

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

von Luciano, Elisa
Veröffentlicht in Credit risk (2008)

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

von Luciano, Elisa
Veröffentlicht in Rivista internazionale di scienze sociali (1989)

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

von Luciano, Elisa
Veröffentlicht in Recent research in financial modelling (1993)

Bond pricing through bargaining

von Luciano, Elisa
Veröffentlicht in Financial modelling (1994)

Fulfillment of regulatory requirements on VaR and optimal portfolio policies

von Luciano, Elisa
Veröffentlicht in Rivista internazionale di scienze economiche e commerciali (2000)

Value-at-risk trade-off and capital allocation with Copulas

von Cherubini, Umberto
Veröffentlicht in Economic notes (2001)

A decomposition of random net present values

von Luciano, Elisa
Veröffentlicht in Recent research in financial modelling (1993)

Guarantees, leverage, and taxes

von Luciano, Elisa
Veröffentlicht in The review of financial studies (2014)

The economics of continuous-time finance

von Dumas, Bernard
Veröffentlicht 2017

A value at risk approach to background risk

von Luciano, Elisa
Veröffentlicht in The Geneva papers on risk and insurance theory (2001)

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

von Dumas, Bernard
Veröffentlicht in The journal of finance (1991)

Pricing and hedging credit derivatives with copulas

von Cherubini, Umberto
Veröffentlicht in Economic notes (2003)

A generalized normal mean-variance mixture for return processes in finance

von Luciano, Elisa
Veröffentlicht in International journal of theoretical and applied finance (2010)

Introduction

von Fornero, Elsa
Veröffentlicht in Developing an annuity market in Europe (2004)

Value at risk bounds for portfolios of non-normal returns

von Luciano, Elisa
Veröffentlicht in New trends in banking management (2002)

Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk

von Luciano, Elisa
Veröffentlicht in Insurance / Mathematics & economics (2014)

Financial synergies and systemic risk in the organization of bank affiliates

von Luciano, Elisa
Veröffentlicht in Journal of banking & finance (2018)

Developing an annuity market in Europe

Veröffentlicht 2004

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

von Dumas, Bernard
Veröffentlicht 1990