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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
69*2008
Integrated simulation and optimization models for tracking international fixed income indices
A Consiglio, SA Zenios
Mathematical Programming 89, 311-339, 2001
662001
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
642006
Scenario modeling for the management ofinternational bond portfolios
A Beltratti, A Consiglio, SA Zenios
Annals of Operations Research 85 (0), 227-247, 1999
531999
Designing portfolios of financial products via integrated simulation and optimization models
A Consiglio, SA Zenios
Operations Research 47 (2), 195-208, 1999
411999
A parsimonious model for generating arbitrage-free scenario trees
A Consiglio, A Carollo, SA Zenios
Quantitative Finance 16 (2), 201-212, 2016
392016
A stochastic programming model for the optimal issuance of government bonds
A Consiglio, A Staino
Annals of Operations Research 193, 159-172, 2012
382012
The value of integrative risk management for insurance products with guarantees
A Consiglio, F Cocco, SA Zenios
The Journal of Risk Finance 2 (3), 6-16, 2001
362001
Risk management optimization for sovereign debt restructuring
A Consiglio, SA Zenios
Journal of Globalization and Development 6 (2), 181-213, 2015
322015
Risk management for sustainable sovereign debt financing
SA Zenios, A Consiglio, M Athanasopoulou, E Moshammer, A Gavilan, ...
Operations Research 69 (3), 755-773, 2021
30*2021
Scenario optimization asset and liability modelling for individual investors
A Consiglio, F Cocco, SA Zenios
Annals of Operations Research 152, 167-191, 2007
302007
Contingent convertible bonds for sovereign debt risk management
A Consiglio, SA Zenios
Journal of Globalization and Development 9 (1), 20170011, 2018
28*2018
Pricing the option to surrender in incomplete markets
A Consiglio, D De Giovanni
Journal of Risk and Insurance 77 (4), 935-957, 2010
222010
www. Personal_Asset_Allocation
A Consiglio, F Cocco, SA Zenios
Interfaces 34 (4), 287-302, 2004
222004
Evaluation of insurance products with guarantee in incomplete markets
A Consiglio, D De Giovanni
Insurance: Mathematics and Economics 42 (1), 332-342, 2008
202008
Pricing and hedging GDP-linked bonds in incomplete markets
A Consiglio, SA Zenios
Journal of Economic Dynamics and Control 88, 137-155, 2018
192018
Breakup and default risks in the great lockdown
G Bonaccolto, N Borri, A Consiglio
Journal of Banking & Finance 147, 106308, 2023
18*2023
Debt sustainability and monetary policy: the case of ECB asset purchases
E Alberola, G Cheng, A Consiglio, SA Zenios
Available at SSRN 4254184, 2022
182022
Designing and pricing guarantee options in defined contribution pension plans
A Consiglio, M Tumminello, SA Zenios
Insurance: Mathematics and Economics 65, 267-279, 2015
182015
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
171997
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