Access Statistics for Elisa Luciano

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Generalized Normal Mean Variance Mixture for Return Processes in Finance 4 10 47 48 6 18 101 104
A Multivariate Jump-Driven Financial Asset Model 3 3 14 130 4 6 31 316
A Multivariate Jump-Driven Financial Asset Model 1 4 24 88 4 11 75 266
A note on stochastic survival probabilities and their calibration 1 1 4 4 1 2 12 12
A note on stochastic survival probabilities and their calibration 1 1 8 82 2 3 18 190
An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) 0 0 0 0 3 6 39 263
Bank Efficiency and Banking Sector Development: the Case of Italy 1 3 14 14 2 8 26 26
Calibrating risk-neutral default correlation 1 2 8 199 1 3 22 375
Copula-Based Default Dependence Modelling: Where Do We Stand? 3 6 19 19 4 9 32 32
Copulas and Dependence models in Credit Risk: Diffusions versus Jumps 0 1 10 10 2 8 26 26
Credit risk in pure jump structural models 1 56 326 326 1 58 331 331
Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators 7 14 41 102 9 27 78 204
Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion 2 5 9 9 3 11 26 26
Leverage and Value Creation in Holding-Subsidiary Structures 2 4 14 14 7 22 64 67
Modelling Stochastic Mortality for Dependent Lives 0 2 7 56 0 3 26 131
Modelling stochastic mortality for dependent lives 3 8 20 70 6 18 53 170
Multivariate Option Pricing with Copulas 4 14 84 1,242 9 30 189 2,370
Multivariate Variance Gamma and Gaussian dependence: a study with copulas 0 2 29 34 4 11 90 94
Non mean reverting affine processes for stochastic mortality 1 2 18 160 2 4 50 440
Non mean reverting affne processes for stochastic mortality 0 2 15 62 4 12 84 358
Ownership links, leverage and credit risk 1 3 21 66 1 10 72 179
Pricing Vulnerable Options with Copulas 1 3 17 292 1 5 48 615
Single and joint default in a structural model with purely discontinuous assets 10 81 467 543 16 101 581 786
The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS) 0 0 2 9 1 2 23 208
Total Working Papers 47 227 1,218 3,579 93 388 2,097 7,589

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Value at Risk Approach to Background Risk 0 0 5 13 0 7 28 48
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 1 3 35 145 2 8 61 317
Bivariate option pricing with copulas 0 3 18 239 3 15 55 620
Calibrating risk-neutral default correlation 0 1 7 7 1 4 12 12
Capital structure and inventory management:: The temporary sale price problem 0 0 4 22 0 2 17 114
Cycles optimization: The equivalent annuity and the NPV approaches 1 1 4 44 2 5 19 311
Dynamic value at risk under optimal and suboptimal portfolio policies 0 1 9 21 2 5 19 42
Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza 0 3 8 9 2 11 38 43
Modelling stochastic mortality for dependent lives 0 4 12 14 0 7 35 40
Pricing and Hedging Credit Derivatives with Copulas 1 4 9 293 3 8 31 686
Revision of industrial supply conditions and game theory 0 0 0 8 0 2 9 81
Some basic problems in inventory theory: The financial perspective 0 0 9 19 0 4 64 122
Stationary optimal lengths for the plant renewal problem 0 0 0 2 0 2 4 40
Swap pricing and hedging of general DCFs 0 0 3 30 0 2 21 74
VaR as a risk measure for multiperiod static inventory models 2 2 13 73 4 7 25 183
Total Journal Articles 5 22 136 939 19 89 438 2,733

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Statistics updated 2010-03-03