Andrea Consiglio
Andrea Consiglio
Professor of Mathematical Finance, University of Palermo
Verified email at unipa.it - Homepage
Title
Cited by
Cited by
Year
Asset and liability modelling for participating policies with guarantees
A Consiglio, F Cocco, SA Zenios
European Journal of Operational Research 186 (1), 380-404, 2008
59*2008
Integrated simulation and optimization models for tracking international fixed income indices
A Consiglio, SA Zenios
Mathematical Programming 89 (2), 311-339, 2001
582001
Asset and liability management for insurance products with minimum guarantees: The UK case
A Consiglio, D Saunders, SA Zenios
Journal of Banking & Finance 30 (2), 645-667, 2006
512006
Scenario modeling for the management ofinternational bond portfolios
A Beltratti, A Consiglio, SA Zenios
Annals of Operations Research 85, 227-247, 1999
481999
Designing portfolios of financial products via integrated simulation and optimization models
A Consiglio, SA Zenios
Operations Research 47 (2), 195-208, 1999
401999
The value of integrative risk management for insurance products with guarantees
A Consiglio, F Cocco, SA Zenios
Journal of Risk Finance 2 (3), 6-16, 2001
352001
A stochastic programming model for the optimal issuance of government bonds
A Consiglio, A Staino
Annals of Operations Research 193 (1), 159-172, 2012
272012
A parsimonious model for generating arbitrage-free scenario trees
A Consiglio, A Carollo, SA Zenios
Quantitative Finance 16 (2), 201-212, 2016
262016
Risk management optimization for sovereign debt restructuring
A Consiglio, SA Zenios
Journal of Globalization and Development 6 (2), 181-213, 2015
232015
Scenario optimization asset and liability modelling for individual investors
A Consiglio, F Cocco, SA Zenios
Annals of Operations Research 152 (1), 167, 2007
212007
www. Personal_Asset_Allocation
A Consiglio, F Cocco, SA Zenios
Interfaces 34 (4), 287-302, 2004
182004
A model for designing callable bonds and its solution using tabu search
A Consiglio, SA Zenios
Journal of Economic Dynamics and Control 21 (8-9), 1445-1470, 1997
181997
Pricing the option to surrender in incomplete markets
A Consiglio, D De Giovanni
Journal of Risk and Insurance 77 (4), 935-957, 2010
172010
Evaluation of insurance products with guarantee in incomplete markets
A Consiglio, D De Giovanni
Insurance: Mathematics and Economics 42 (1), 332-342, 2008
162008
A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices
A Consiglio*, V Lacagnina, A Russino
Quantitative Finance 5 (1), 71-87, 2005
142005
The Prometeia model for managing insurance policies with guarantees
A Consiglio, F Cocco, SA Zenios
Handbook of asset and liability management, 663-705, 2008
132008
Insurance league: Italy vs. UK
A Consiglio, D Saunders, S Zenios
Journal of Risk Finance 4 (4), 47-54, 2003
12*2003
Designing and pricing guarantee options in defined contribution pension plans
A Consiglio, M Tumminello, SA Zenios
Insurance: Mathematics and Economics 65, 267-279, 2015
112015
How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
A Consiglio, A Russino
Journal of Economic Dynamics and Control 31 (6), 1910-1937, 2007
112007
Portfolio diversification in the sovereign credit swap markets
A Consiglio, S Lotfi, SA Zenios
Annals of Operations Research 266 (1-2), 5-33, 2018
92018
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