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ANDREA CONSIGLIO

Curriculum and Research

Subjects

Academic Year Subject identification code Subject name ECTS Course of study
2020/2021 19645 LABORATORIO DI MODELLI MATEMATICI PER LA GESTIONE DEL RISCHIO (MODULO) 3 STATISTICA E DATA SCIENCE
2020/2021 04892 MATEMATICA FINANZIARIA 8 ECONOMIA E FINANZA
2020/2021 15507 MATHEMATICS FOR ECONOMICS AND FINANCE 10 SCIENZE ECONOMICHE E FINANZIARIE
2020/2021 19947 MODELLI MATEMATICI PER LA GESTIONE DEL RISCHIO (MODULO) 6 STATISTICA E DATA SCIENCE
2020/2021 19638 MODELLI MATEMATICI PER LA GESTIONE DEL RISCHIO C.I. 9 STATISTICA E DATA SCIENCE
2020/2021 20667 NUMERICAL ANALYSIS AND OPTIMIZATION C.I. 6 STATISTICA E DATA SCIENCE
2020/2021 20666 OPTIMIZATION (MODULO) 3 STATISTICA E DATA SCIENCE

Publications

Date Title Type Record
2021 Risk Management for Sustainable Sovereign Debt Financing Articolo in rivista Go to
2020 Analisi e monitoraggio della diffusione del Covid19 in Italia: il gruppo CoViSTAT19 Articolo in rivista Go to
2018 Portfolio diversification in the sovereign credit swap markets Articolo in rivista Go to
2018 Pricing Sovereign contingent convertible debt Articolo in rivista Go to
2018 Contingent Convertible Bonds for Sovereign Debt Risk Management Articolo in rivista Go to
2018 Un Modello di Massima Copertura della Domanda per l’Allocazione Ottima delle Ciclostazioni di AMAT Articolo in rivista Go to
2018 Pricing and hedging GDP-linked bonds in incomplete markets Articolo in rivista Go to
2017 Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling Articolo in rivista Go to
2016 A parsimonious model for generating arbitrage-free scenario trees Articolo in rivista Go to
2015 Designing and pricing guarantee options in defined contribution pension plans Articolo in rivista Go to
2015 Risk profiles for re-profiling sovereign debt Articolo in rivista Go to
2015 Risk Management Optimization for Sovereign Debt Restructuring Articolo in rivista Go to
2014 A MULTISTAGE DECISION MODEL FOR THE OPTIMAL ISSUANCE OF SOVEREIGN DEBT UNDER ESA95 Capitolo o Saggio Go to
2013 VALUTAZIONE E COPERTURA DI OPZIONI SU MATERIE PRIME Articolo in rivista Go to
2012 A stochastic programming model for the optimal issuance of government bonds Articolo in rivista Go to
2011 Simulating term structure of interest rates with arbitrary marginals Articolo in rivista Go to
2011 Pricing Reinsurance Contracts Capitolo o Saggio Go to
2010 Pricing the option to surrender in incomplete markets Articolo in rivista Go to
2009 Practical Financial Optimization: A Library of GAMS Models Monografia Go to
2009 Asset Return Dynamics under Alternative Learning Schemes Capitolo o Saggio Go to
2009 A Conditional Value–at–Risk Model for Insurance Products with Guarantee Articolo in rivista Go to
2008 Asset and Liability Modelling for Participating Policies with Guarantee Articolo in rivista Go to
2008 Evaluation of Insurance Products with Guarantee in Incomplete Markets Articolo in rivista Go to
2007 How Does Learning Affect Market Liquidity? A Simulation Analysis of a Double-Auction Financial Market with Portfolio Traders. Articolo in rivista Go to
2007 Lecture Notes in Economics and Mathematical Systems: Preface Prefazione/Postfazione Go to
2007 The PROMETEIA Model for Managing Insurance Policies with Guarantees Capitolo o Saggio Go to
2007 Scenario Optimization Asset and Liability Modelling for Individual Investors Articolo in rivista Go to
2007 Artificial Markets Modeling. Methods and Applications Curatela Go to
2006 Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case Articolo in rivista Go to
2006 Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders Contributo in atti di convegno pubblicato in volume Go to
2006 The Dynamics of Quote Prices in an Artificial Financial Market with Learning Effects Capitolo o Saggio Go to
2005 A Simulation Analysis of the Microstructure of an Order Driven Financial Market with Multiple Securities and Portfolio Choices Articolo in rivista Go to
2005 How Does Learning Affect Market Liquidity? A Simulation Analysis of a Double-Auction Financial Market with Portfolio Traders Altro Go to
2004 A Simulation Analysis of the Microstructure of an Order Driven Financial Market with n Securities and Portfolio Choices Altro Go to
2004 www.Personal_Asset_Allocation. Articolo in rivista Go to
2004 A High-Frequency Data Analysis of a Double Auction Artificial Financial Market Proceedings (TIPOLOGIA NON ATTIVA) Go to
2004 High-Frequency Data Analysis of a Double Auction Artificial Financial Market Proceedings (TIPOLOGIA NON ATTIVA) Go to
2003 Insurance league: Italy vs. U.K Articolo in rivista Go to
2001 Integrated simulation and optimization models for tracking international fixed income indices Articolo in rivista Go to
2001 The value of integrative risk management for insurance products with guarantees Articolo in rivista Go to
1999 Scenario modeling for the management of international bond portfolios Articolo in rivista Go to
1999 Designing portfolios of financial products via integrated simulation and optimization models Articolo in rivista Go to
1997 A model for designing callable bonds and its solution using tabu search Articolo in rivista Go to
1994 How to control stock markets Articolo in rivista Go to