consiglio - Publications List

Books

2008

A Consiglio, S Nielsen, S A Zenios (2008) Practical Financial Optimization : A Libray of GAMS Models Blackwell

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Notes: In press

Journal articles

2008

A Consiglio, A Pecorella (2008) A conditional Value–at–Risk model for insurance products with guarantee International Journal of Risk Assessment and Management

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Notes: Forthcoming

2007

A Consiglio, F Cocco, S A Zenios (2007) Asset and liability modelling for participating policies with guarantees European Journal of Operational Research

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Notes: DOI: 10.1016/j.ejor.2007.01.037

2006

A Consiglio, D Saunders, S A Zenios (2006) Asset and liability management for insurance products with minimum guarantees : The UK case Journal of Banking and Finance 30: 645-667

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2005

A Consiglio, V Lacagnina, A Russino (2005) A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices Quantitative Finance 5: 1. 71-87 February

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2004

A Consiglio, F Cocco, S A Zenios (2004) www.Personal_Asset_Allocation Interfaces 34: 4. 287-302 July–August

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2003

A Consiglio, D Saunders, S A Zenios (2003) Insurance league : Italy vs. UK Journal of Risk Finance 4: 4. 47-54

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2001

A Consiglio, F Cocco, S A Zenios (2001) The value of integrative risk management for insurance products with minimum guarantees Journal of Risk Finance 2: 3. 1-11

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1999

A Beltratti, A Consiglio, S A Zenios (1999) Scenario modeling for the management of international bond portfolios Annals of Operations Research 85: 227-247 March

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1997

A Consiglio, S A Zenios (1997) A model for designing callable bonds and its solution using tabu search Journal of Economics Dynamics and Control 21: 10. 1445-1470

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1994

A Consiglio (1994) How to control stock market International Journal of Systems Science 25: 12. 2245-2253

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Book chapters

2007

2003

2002

A Consiglio, I Massabò, S Ortobelli (2002) Value-At-Risk : “Oltre la normale” In: La Tutela dell’Investitore nella Gestione del Risparmio Edited by:D Drago. 175-199 Milano: Bancaria Editrice

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2001

A Consiglio, C Mari (2001) Sul rischio di credito nei mutui bancari In: Nuove Tendenze dell’ Asset & Liability Management in Banca Edited by:D Drago. 129-143 Bancaria Editrice

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1997

Conference papers

2006

A Consiglio, V Lacagnina, A Russino (2006) The dynamics of quote prices in an artificial financial market with learning effect In: Advances in Artificial Economics Edited by:C Bruun. 63-75 Springer

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Notes: 3-540-37247-4

2005

2003

1995

A Consiglio, A Pecorella (1995) Using simulated annealing to solve the k–shortest paths problem In: Atti dell’AIRO ’95

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1993

A Consiglio, A Genco (1993) Job shop scheduling : una soluzione parallela superlineare In: Atti dell’AIRO ’93

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A Consiglio (1993) Il simulated annealing per la selezione di un portafoglio media–varianza a variabili intere In: Atti del XVII Convegno AMASES

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A Consiglio, S Genco, A Pecorella (1993) Implementing simulated annealing in hypercube systems In: Parallel Computing : Trends and Applications Edited by:G R Joubert, D Trystram, F J Peters, D J Evans. London: Elsevier Science B.V.

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Other

2007

A Consiglio (2007) Simulating term structure of interest rates with arbitrary marginals

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Notes: Available at SSRN: http://ssrn.com/abstract=985334

A Consiglio, D De Giovanni (2007) Pricing the Option to Surrender in incomplete markets

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Notes: Available at SSRN: http://ssrn.com/abstract=975948

Andrea Consiglio (2007) Artificial Markets Modeling : Methods and Applications

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2003

A Consiglio (2003) Matematica Finanziaria

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Notes: Distribuito gratuitamente. Disponibile su \urlhttp://www.unipa.it/consiglio/