Elisa Luciano

Collegio Carlo Alberto

Fellow

via Real Collegio 30

Moncalieri, Torino 10024

Italy

http://www.carloalberto.org/people/faculty/fellows/luciano/

University of Turin - Department of Statistics and Applied Mathematics

Corso Unione Sovietica 218 bis

Turin, I-10122

Italy

SCHOLARLY PAPERS

33

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CITATIONS
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53

Scholarly Papers (33)

1.

Multivariate Option Pricing With Copulas

EFMA 2001 Lugano Meetings
Number of pages: 23 Posted: 14 May 2001
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Statistics
Downloads 1,369 (9,575)
Citation 21

Abstract:

option pricing, basket options, copula functions, non-normal returns.

2.

Credit Risk in Pure Jump Structural Models

ICER Working Paper No. 6/2006
Number of pages: 23 Posted: 23 Sep 2006
Elisa Luciano and Filo Fiorani
Collegio Carlo Alberto and Merrill Lynch & Co.
Downloads 620 (33,336)

Abstract:

3.

Pricing Vulnerable Options with Copulas

ICER Working Paper, 2001
Number of pages: 38 Posted: 21 Feb 2002
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Statistics
Downloads 619 (33,336)

Abstract:

Credit risk, vulnerable options, copula functions

4.

Value at Risk Bounds for Portfolios of Non-Normal Returns

U. of Turin Statistics and Mathematics Working Paper
Number of pages: 22 Posted: 23 Jun 2001
Elisa Luciano and Marina Marena
Collegio Carlo Alberto and University of Eastern Piedmont
Downloads 460 (49,959)
Citation 3

Abstract:

Value at Risk, Non-normal returns

5.

Pricing and Hedging Vulnerable Credit Derivatives with Copulas

EFA 2003 Annual Conference Paper No. 738
Number of pages: 25 Posted: 23 Jul 2003
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Statistics
Downloads 428 (53,497)

Abstract:

6.

A Multivariate Jump-Driven Financial Asset Model

ICER Applied Mathematics Working Paper No. 6 - 2005
Number of pages: 27 Posted: 20 May 2005
Elisa Luciano and Wim Schoutens
Collegio Carlo Alberto and KU Leuven - Department of Mathematics
Downloads 314 (74,775)
Citation 13

Abstract:

7.

Non Mean Reverting Affine Processes for Stochastic Mortality

ICER Applied Mathematics Working Paper No. 4 - 2005
Number of pages: 32 Posted: 20 May 2005
Elisa Luciano and Elena Vigna
Collegio Carlo Alberto and University of Turin - Faculty of Economics
Downloads 297 (70,567)
Citation 7

Abstract:

Doubly stochastic processes (Cox processes), stochastic mortality, affine processes

8.

Copulae as a New Tool in Financial Modelling

Number of pages: 15 Posted: 29 Aug 2005
Elisa Luciano and Marina Marena
Collegio Carlo Alberto and University of Eastern Piedmont
Downloads 295 (82,512)
Citation 1

Abstract:

Copula functions, multivariate risks, joint distributions

9.

Ownership Links, Leverage and Credit Risk

Number of pages: 41 Posted: 25 Mar 2008
Elisa Luciano and Giovanna Nicodano
Collegio Carlo Alberto and University of Turin - Department of Economics and Statistics
Downloads 181 (129,235)
Citation 2

Abstract:

credit risk, default risk, structural models, optimal leverage, zero leverage, ownership structure, parent-subsidiary

10.

Calibrating Risk-neutral Default Correlation

ICER Working Paper No. 12/2005
Number of pages: 18 Posted: 30 Aug 2005
Elisa Luciano
Collegio Carlo Alberto
Downloads 175 (142,063)

Abstract:

11.

Leverage and Value Creation in Holding-Subsidiary Structures

ECGI - Finance Working Paper No. 268/2009
Number of pages: 52 Posted: 09 Dec 2009 Last Revised: 18 Mar 2010
Elisa Luciano and Giovanna Nicodano
Collegio Carlo Alberto and University of Turin - Department of Economics and Statistics
Downloads 163 (142,063)

Abstract:

holding, subsidiary, groups, guarantees, debt, taxes, bankruptcy costs, limited liability, capital structure

12.

A Note on Stochastic Survival Probabilities and their Calibration

ICER Applied Mathematics Working Paper No. 1 - 2005
Number of pages: 18 Posted: 09 May 2005
Elisa Luciano and Elena Vigna
Collegio Carlo Alberto and University of Turin - Faculty of Economics
Downloads 130 (172,864)

Abstract:

13.

Modelling Stochastic Bivariate Mortality

ICER Working Paper No. 5/2006, Cass Business School Research Paper
Number of pages: 34 Posted: 22 Sep 2006
Elisa Luciano, Elena Vigna and Jaap Spreeuw
Collegio Carlo Alberto, University of Turin - Faculty of Economics and City University London - Sir John Cass Business School
Downloads 112 (201,450)

Abstract:

14.

Delta and Gamma Hedging of Mortality and Interest Rate Risk

Insurance: Mathematics and Economics, 50, 402-412, 2012, ICER Working Paper No. 1/2011
Number of pages: 33 Posted: 31 Jan 2011 Last Revised: 04 Oct 2014
Elisa Luciano, Luca Regis and Elena Vigna
Collegio Carlo Alberto, University of Siena - Dipartimento di Economia Politica and University of Turin - Faculty of Economics
Downloads 103 (190,286)
Citation 1

Abstract:

15.

Financial Synergies and the Organization of Bank Affiliates: A Theoretical Perspective on Risk and Efficiency

ICER Working Paper No. 6/2013
Number of pages: 51 Posted: 15 May 2013 Last Revised: 20 Jan 2015
Elisa Luciano and Clas Wihlborg
Collegio Carlo Alberto and Chapman University
Downloads 88 (191,492)

Abstract:

bank organization, bank risk, financial synergies, endogenous leverage in banking, default costs, bailouts

16.

Intercorporate Guarantees, Leverage and Taxes

Number of pages: 25 Posted: 16 Mar 2012
Giovanna Nicodano and Elisa Luciano
University of Turin - Department of Economics and Statistics and Collegio Carlo Alberto
Downloads 65 (260,806)

Abstract:

debt, taxes, bankruptcy costs, limited liability, capital structure, subsidiary, groups, mergers

17.

Business Time and New Credit Risk Models

International Centre for Economic Research Working Paper No. 16/2010
Number of pages: 20 Posted: 18 Jun 2010
Elisa Luciano
Collegio Carlo Alberto
Downloads 65 (289,028)

Abstract:

18.

Life Insurance Demand: Evidence from Italian Households; A Micro-Economic View and Gender Issue

Netspar Discussion Paper No. 05/2015-010
Number of pages: 29 Posted: 22 May 2015
Collegio Carlo Alberto, INSEEC Business School and University of Turin - Department of Economics
Downloads 61 (166,162)

Abstract:

Life insurance, household life insurance demand, microeconomics, gender issues, Italy

19.

Natural Delta Gamma Hedging of Longevity and Interest Rate Risk

ICER Working Paper No. 21/2011
Number of pages: 19 Posted: 19 Dec 2011
Elisa Luciano, Luca Regis and Elena Vigna
Collegio Carlo Alberto, University of Siena - Dipartimento di Economia Politica and University of Turin - Faculty of Economics
Downloads 61 (260,806)

Abstract:

20.

Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (Value at) Risk

Insurance: Mathematics and Economics, Vol. 55, 2014, Carlo Alberto Notebooks, n.308, October 2013
Number of pages: 27 Posted: 24 Sep 2014
Elisa Luciano and Luca Regis
Collegio Carlo Alberto and University of Siena - Dipartimento di Economia Politica
Downloads 42 (337,258)

Abstract:

longevity risk; hedging; longevity transfers; financial risk; ALM

21.

Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk

Journal of Risk and Insurance, Forthcoming, Carlo Alberto Notebooks, n.257, June 2012 (Revised May 2015)
Number of pages: 39 Posted: 18 Sep 2012 Last Revised: 03 Dec 2015
Elisa Luciano, Luca Regis and Elena Vigna
Collegio Carlo Alberto, University of Siena - Dipartimento di Economia Politica and University of Turin - Faculty of Economics
Downloads 35 (319,619)

Abstract:

Evolution of Coupled Lives' Dependency Across Generations and Pricing Impact

Number of pages: 23 Posted: 05 Jul 2012
Elisa Luciano, Jaap Spreeuw and Elena Vigna
Collegio Carlo Alberto, City University London - Sir John Cass Business School and University of Turin - Faculty of Economics
Downloads 17 (478,610)

Abstract:

copula, goodness-of-fi…t, signifi…cance test, stochastic mortality, generation effect, reversionary annuity

Evolution of Coupled Lives' Dependency Across Generations and Pricing Impact

Cass Business School Research
Number of pages: 23 Posted: 04 Jul 2012
Elisa Luciano, Jaap Spreeuw and Elena Vigna
Collegio Carlo Alberto, City University London - Sir John Cass Business School and University of Turin - Faculty of Economics
Downloads 8 (529,774)

Abstract:

copula, goodness-of-fi…t, signifi…cance test, stochastic mortality, generation effect, reversionary annuity

23.

Demographic Risk Transfer: Is it Worth for Annuity Providers?

ICER Working Paper No. 11/2012
Number of pages: 24 Posted: 12 Oct 2012
Elisa Luciano and Luca Regis
Collegio Carlo Alberto and University of Siena - Dipartimento di Economia Politica
Downloads 24 (425,214)

Abstract:

24.

A Generalized Normal Mean Variance Mixture for Return Processes in Finance

Number of pages: 36 Posted: 15 Jun 2014
Elisa Luciano and Patrizia Semeraro
Collegio Carlo Alberto and Politecnico of Turin
Downloads 18 (430,312)

Abstract:

Multivariate normal mean variance mixtures, multivariate generalized hyperbolic distributions, Lévy processes, multivariate subordinators

25.

Dependence Calibration and Portfolio Fit with Factor-based Time Changes

Carlo Alberto Notebooks No. 307, October 2013
Number of pages: 35 Posted: 14 Jun 2014
Elisa Luciano, Marina Marena and Patrizia Semeraro
Collegio Carlo Alberto, University of Eastern Piedmont and Politecnico of Turin
Downloads 18 (363,118)

Abstract:

Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset modelling, multivariate time-changed processes, factor-based time changes

26.

Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators

Collegio Carlo Alberto Working Paper No. 42
Number of pages: 35 Posted: 14 Jun 2014
Elisa Luciano and Patrizia Semeraro
Collegio Carlo Alberto and Politecnico of Turin
Downloads 16 (397,184)
Citation 4

Abstract:

Lévy processes, multivariate subordinators, dependence (association, correlation), multivariate asset modelling, multivariate time changed processes

27.

On the (In-)Dependence between Financial and Actuarial Risks

Insurance: Mathematics and Economics, Vol. 52, No. 3, 2013
Number of pages: 23 Posted: 04 Sep 2014
Katholieke Universiteit Leuven - Faculty of Economics and Business, Taras Shevchenko National University of Kyiv, Collegio Carlo Alberto, KU Leuven - Department of Mathematics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 10 (430,312)
Citation 1

Abstract:

Independence, real-world probability measure, risk-neutral probability measure, financial risks, actuarial risks, insurance securitization

28.

Equilibrium Price of Immediacy and Infrequent Trade

Number of pages: 30 Posted: 14 Mar 2012
Elisa Luciano
Collegio Carlo Alberto
Downloads 1 (530,214)

Abstract:

equilibrium with bid-ask spreads, infrequent trade, dynamic portfolio selection with transaction costs

29.

Are Information and Portfolio Diversification Substitutes or Complements?

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 26 Posted: 02 Jun 2016 Last Revised: 19 Nov 2016
Elisa Luciano and Antonella Tolomeo
Collegio Carlo Alberto and University of Torino
Downloads 0 (385,086)

Abstract:

Information costs, Optimal filtering, Portfolio diversification

30.

Financial Inclusion and Life Insurance Demand; Evidence from Italian Households

Netspar Discussion Paper No. 11/2015-039
Number of pages: 31 Posted: 22 Dec 2015 Last Revised: 28 Jul 2016
Elisa Luciano, Mariacristina Rossi and Dario Sansone
Collegio Carlo Alberto, University of Turin - Department of Economics and Georgetown University
Downloads 0 (195,163)

Abstract:

31.

Basis Risk in Static vs. Dynamic Longevity Risk Hedging

Carlo Alberto Notebooks, n.425
Number of pages: 31 Posted: 05 Dec 2015
Clemente De Rosa, Elisa Luciano and Luca Regis
University of Torino - Collegio Carlo Alberto, Collegio Carlo Alberto and University of Siena - Dipartimento di Economia Politica
Downloads 0 (337,258)

Abstract:

longevity risk, basis risk, static vs. dynamic hedging, longevity swaps, longevity bonds

32.

Guarantees, Leverage, and Taxes

Forthcoming, Review of Financial Studies
Posted: 28 Feb 2014 Last Revised: 03 Jul 2017
Elisa Luciano and Giovanna Nicodano
Collegio Carlo Alberto and University of Turin - Department of Economics and Statistics

Abstract:

bailout, debt, bankruptcy costs, capital structure, groups, mergers, subsidiary, limited liability.

33.

Value-At-Risk Trade-Off and Capital Allocation with Copulas

Forthcoming in Economic Notes
Posted: 08 Jun 2001
Elisa Luciano and Umberto Cherubini
Collegio Carlo Alberto and University of Bologna - Department of Statistics

Abstract: