Selected Publications

• Books
• A. Consiglio, S. Nielsen, and S.A. Zenios. Practical Financial Optimi- zation: A Libray of GAMS Models. John Wiley & Sons, Chichester, UK, 2009.
• A. Consiglio (Ed.). Artificial Markets Modeling: Methods and Applications, volume 599 of Lecture Notes in Economics and Mathematical Systems. Springer, 2007.
• Recent Journal Articles 
• A. Consiglio, A. Staino. A stochastic programming model for the optimal issuance of government bonds.  Annals of Operations Research. Forthcoming.
• A. Consiglio and S. Guirreri. Simulating term structure of interest rates with arbitrary marginals. International Journal of Risk Assessment and Management, 15(4):299-313, 2011.
• A. Consiglio and D. De Giovanni. Pricing reinsurance contracts. In M. Bertocchi, G. Consigli, and M. Dempster, editors, Stochastic Optimization Methods in Finance and Energy, volume 163 of International Series in Operations Research & Management Science, pages 125-139. Springer New York, 2011.
  
• A. Consiglio, D. De Giovanni. Pricing the option to surrender in incomplete markets. The Journal of Risk and Insurance, 77(4):935-957, 2010.
• A. Consiglio, A. Pecorella, and S.A. Zenios. A conditional Value-at-Risk model for insurance products with guarantee. International Journal of Risk Assessment and Management, 11(1/2):122-137, 2009.
• A. Consiglio and D. De Giovanni. Evaluation of insurance products with guarantee in incomplete markets. Insurance: Mathematics & Economics, 42(1):332-342, 2008.
• A. Consiglio, F. Cocco, and S.A. Zenios. Asset and liability model- ling for participating policies with guarantees. European Journal of Operational Research, 186(1):380-404, 2008.
• A. Consiglio, F. Cocco, and S.A. Zenios. Scenario optimization asset and liability modelling for individual investors. Annals of Operations Research, 152:167-191, 2007.
• A. Consiglio, F. Cocco, and S.A. Zenios. www.Personal_Asset_Allocation. Interfaces, 34(4):287-302, 2004. Winner of the EURO Excellence in Practice Award 2006.