Concepedia

Elisa Luciano

EL

40

Publications

2K

Citations

23

H-Index

1991

Active since

Affiliations

University of Turin(Current)

Collegio Carlo Alberto

Università degli Studi del Piemonte Orientale “Amedeo Avogadro”

Bocconi University

Elisa Luciano is an author at University of Turin specializing in business, finance, and management.

Top concepts

FinanceBusinessManagementEconomicsAsset PricingStatisticsEngineeringFinancial RiskFinancial EngineeringRisk Management

Publications per year

1991–2023

40

Publications

40

An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs

Bernard Dumas, Elisa Luciano · The Journal of Finance · 1991 · 412 citations

Mathematical Programming, Exact Solution, Stationary Portfolio Rule +19

Bivariate option pricing with copulas

Umberto Cherubini, Elisa Luciano · Applied Mathematical Finance · 2002 · 126 citations

Mathematical Programming, Engineering, Bivariate Option Pricing +16

Multivariate time changes for Lévy asset models: Characterization and calibration

Elisa Luciano, Patrizia Semeraro · Journal of Computational and Applied Mathematics · 2009 · 109 citations

Volatility Modeling, Economics, Asset Pricing +8

Modelling stochastic mortality for dependent lives

Elisa Luciano, Jaap Spreeuw, Elena Vigna · Insurance Mathematics and Economics · 2008 · 108 citations

Life Prediction, Longevity, Dependent Lives +5

Non mean reverting affine processes for stochastic mortality

Elisa Luciano, Elena Vigna · RePEc: Research Papers in Economics · 2005 · 82 citations

Affine Class, Engineering, Stochastic Processes +12

Rows per page

1–5 of 40