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 2 8 31 31 6 22 71 71
A Multivariate Jump-Driven Financial Asset Model 0 3 13 125 1 8 35 308
A Multivariate Jump-Driven Financial Asset Model 1 4 31 83 7 16 84 252
A note on stochastic survival probabilities and their calibration 0 1 3 3 0 3 9 9
A note on stochastic survival probabilities and their calibration 0 2 15 81 1 3 29 186
An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019) 0 0 0 0 2 8 44 255
Bank Efficiency and Banking Sector Development: the Case of Italy 1 6 10 10 2 9 15 15
Calibrating risk-neutral default correlation 0 1 14 195 1 5 35 370
Copula-Based Default Dependence Modelling: Where Do We Stand? 2 5 10 10 6 11 19 19
Copulas and Dependence models in Credit Risk: Diffusions versus Jumps 2 5 8 8 4 8 14 14
Credit risk in pure jump structural models 48 151 228 228 48 152 230 230
Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators 2 6 38 84 4 13 83 172
Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion 0 2 3 3 4 7 13 13
Leverage and Value Creation in Holding-Subsidiary Structures 1 4 7 7 2 10 27 27
Modelling Stochastic Mortality for Dependent Lives 1 5 13 54 3 11 38 125
Modelling stochastic mortality for dependent lives 1 6 22 61 3 12 62 149
Multivariate Option Pricing with Copulas 7 20 90 1,219 16 47 198 2,317
Multivariate Variance Gamma and Gaussian dependence: a study with copulas 4 11 30 30 6 23 75 75
Non mean reverting affine processes for stochastic mortality 2 6 24 158 6 16 60 431
Non mean reverting affne processes for stochastic mortality 1 5 20 60 9 27 102 343
Ownership links, leverage and credit risk 1 6 24 61 3 23 84 160
Pricing Vulnerable Options with Copulas 1 3 23 288 8 14 70 606
Single and joint default in a structural model with purely discontinuous assets 57 178 357 413 64 203 458 623
The External Financing of Brazilian Imports (Special Series on Mixed Credits, in Collaboration with ICEPS) 0 2 3 9 0 5 26 205
Total Working Papers 134 440 1,017 3,221 206 656 1,881 6,975

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 1 8 13 1 4 30 40
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 0 5 51 140 2 11 84 303
Bivariate option pricing with copulas 0 4 19 235 3 11 60 603
Calibrating risk-neutral default correlation 0 3 3 3 0 5 5 5
Capital structure and inventory management:: The temporary sale price problem 0 0 4 21 2 3 25 110
Cycles optimization: The equivalent annuity and the NPV approaches 0 0 6 42 3 3 36 303
Dynamic value at risk under optimal and suboptimal portfolio policies 2 2 10 19 4 4 18 36
Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza 1 1 5 5 4 8 29 29
Modelling stochastic mortality for dependent lives 1 3 10 10 6 12 31 31
Pricing and Hedging Credit Derivatives with Copulas 1 3 12 289 3 8 34 677
Revision of industrial supply conditions and game theory 0 0 0 8 2 3 7 79
Some basic problems in inventory theory: The financial perspective 1 1 11 18 6 21 81 116
Stationary optimal lengths for the plant renewal problem 0 0 0 2 1 1 7 38
Swap pricing and hedging of general DCFs 0 1 10 30 3 8 29 71
VaR as a risk measure for multiperiod static inventory models 1 4 13 69 2 6 27 174
Total Journal Articles 7 28 162 904 42 108 503 2,615

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Statistics updated 2009-11-04