Elisa Luciano

Tel: +39 011 6705230

Fax: +39 011 6705784

e-mail: luciano@econ.unito.it

 
Ph.D. in Applied Mathematics, University of Trieste, 1990.
Laurea in Economics, University of Turin,  1985.

                                  FIELDS: Quantitative Finance, Risk Management.

ADDRESS:
Dipartimento di Statistica e Matematica Applicata
Universit   di Torino
Corso Unione Sovietica 218 bis
10100 Torino, Italy

                  CURRENT POSITIONS                                  

-          Professor of  Financial Mathematics, University of Turin, School of Economics

-          Scientific Committee  Member, Vilfredo Pareto Doctoral School in Economics, University of Turin

-          Scientific Committee  Member, Finance Doctoral School, University of Trieste

-          Scientific Committee  Member, Statistics and Applied Math PhD program of the Vilfredo Pareto Doctoral School

-          Faculty Member, Ph D program in Institutions, Economics & Law, IEL-CLEI (Cornell University, Ithaca, NY,   ‰cole Polytechnique, Paris, University of Gent, Belgium, University of Turin)

-          Scientific Coordinator (Direttore), Master in Finance, University of Turin, School of Economics & Coripe Piemonte

-          Scientific Coordinator for  Quantitative Methods, Master in Private Banking, University of Turin, School of Economics

-          Member of the Interschool Advisory Board, School of Mathematics and School of Economics, Program in Applied mathematics.

-          Fellow, Collegio Carlo Alberto, Moncalieri, Turin

-          Permanent Fellow, ICER (International Center for Economic Research, Villa Gualino, Turin)

-          Associate Fellow, FERC (Financial Econometrics Research Center, Warwick Finance Research Institute, Warwick University, UK)

ACADEMIC CAREER
· Full Professor of  Mathematical Methods for Economics and  Finance, University of Turin, School of Economics,  since 1996

· Distinguished Visiting Scholar,  Johnson Graduate School of Management, Cornell University, 1996

· Associate Professor of Mathematics and Mathematics for Finance, University of Turin, School of Economics, 1993-6

· Associate Professor of Mathematics, University of Lecce, School of Economics, 1992

· Research Assistant, University of Turin, School of Economics, 1990-2

· Research Assistant, Catholic University of Milan, School of Economics, 1987-90

· Distinguished Visiting Scholar, Wharton School of the University of Pennsylvania, Department of Finance, 1987

CURRENT TEACHING ACTIVITIES
· Marchés financiers et calcul actuariel, Master Informatique et mathématiques appliquées   la finance et   l'assurance (IMAFA),  Ecole Polytechnique Universitaire, Université de Nice-Sophia Antipolis, France (http://www.polytechnice.fr/)

· Credit Risk, Master in Finance, University of Turin, School of Economics

· Financial  Mathematics, Ph D program in Institutions, Economics & Law, IEL, http://www.iel-turin.it/  

 

SEE ALSO

-         my Repec page: http://econpapers.repec.org/RAS/plu86.htm

-         my SSRN page: http://ssrn.com/author=269874

-         the ranking of my last book in the €œbest of 2004 € page (as of December 2008): http://www.riskbook.com/link/cherubini_luciano_vecchiato_%282004%29.htm

-         and in the top ten book list: http://www.defaultrisk.com/top10_pop_books.htm

 

 

EDITORIAL BOARD MEMBER

Journal of Risk

 

PRIZES AND AWARDS

·        Best paper award, Journal of Risk Finance, 2007

·        Research Prize, School of Economics, University of Torino, Department of Statistics and Mathematics, Math group, 2008

·        Emerald Literati Network Member

RECENT GRANTS

-        National Coordinator Italian MURST-Cofin Research project, grant 2006132713, year 2006

-        Local Coordinator and Member of Italian MURST-Cofin Research projects, previous editions (grant MM13564444_008, year 2000, grant 2000138159_004, year 2002)

RECENT ORGANIZATIONAL ACTIVITY

·        Scientific Committee Member, II International   Risk Management Conference (IRMC), Venice 2009

·        Scientific Committee Member, X Workshop on Quantitative Finance, Milano 2009

·        Scientific and Organizing Committee Member, III International FIMA (Federazione Italiana Matematica Applicata) Conference, 2009

·        Scientific Committee Member, I International   Risk Management Conference (IRMC), Florence 2008

·        Scientific and Organizing Committee Member, II International FIMA Conference, 2008

 

 

MOST RECENT   BOOKS

·        Copulas for finance, with U. Cherubini and W. Vecchiato, J. Wiley, 2004

·        Developing an annuity market in Europe, co-edited with E. Fornero, E. Elgar, 2004.

 

MOST RECENT PAPERS PUBLISHED IN REFEREED  JOURNALS AND BOOKS

 

                     

·        Modelling stochastic mortality for dependent lives, with Jaap Spreeuw and Elena Vigna, Insurance, Mathematics and Economics, 43, 2008, pp. 234-244

·         Credit risk and rating assignments with parent-subsidiary links, with Giovanna Nicodano, Proceedings of the 1st International Financial Research Forum, Paris, March 2008, in press

·        Spark spread options when commodity prices are represented as time-changed processes, in €œFinancial Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy €, ed. by H. Geman, J. Wiley, Finance Series 2008

·        Copula-based default dependence modelling and invariance: where do we stand? In  "Credit Risk: Models, Derivatives, and Management - Empirical Studies and Analysis", ed. by N. Wagner, Chapman & Hall,   Financial Mathematics Series, 2008.

·        Calibrating risk-neutral default correlation,  Journal of Risk Finance, 8 (5), 2007, pp. 450-64.

·         Bank Efficiency and Banking Sector Development: the Case of Italy, with L. Regis, ICER WP 5/07,    Proceedings of the conference "Economic Modernization and Social   Development", Moscow, High School of Economics, April 2007, http://www.hse.ru/lingua/en/org/hse/apr_conf_eng/2007

·        "Copulas and dependence models in credit risk: diffusions versus jumps",   Statistica Applicata, 18 (4), 2006, pp. 573-588.

·          A multivariate jump-driven financial asset model, with Wim Schoutens, Quantitative Finance, 6(5), October 2006, pp.385-402.

·         Pricing vulnerable options with copulas, with U.  Cherubini, Journal of Risk Finance 5 (1),  2003, pp.27-39.

·        Pricing and hedging credit derivatives with copulas, with U. Cherubini, Economic Notes, 32, 2003, pp. 1-23.

·        Value at risk bounds for portfolios of non-normal returns, with M. Marena, in New Trends in Banking Management, edited by C. Zopoudinis, Physica-Verlag, 2003, pp. 207-222.

·        VaR as a risk measure for multiperiod static  inventory models, with D.M. Cifarelli and L. Peccati,  International Journal of Production Economics, 55, 2003, pp. 375-84.

·        Copulae as a new tool in Financial Modelling, with M. Marena,  Operational Research: An International Journal, 2, 2002, pp. 139-55.

·        Bivariate option pricing with copulas, with U. Cherubini,  Applied Mathematical Finance, 9 (2), 2002, pp. 69-86.

·        Copula vulnerability, with U. Cherubini,  Risk, October 2002, reprinted in  Risk Italia, May 2003.

·        Copula vulnerability, with U. Cherubini,  in Credit Risk Modelling, London: Risk Books, 2003.

·        Portfolio Value at Risk Bounds, with M. Marena,  International Transactions in Operational Research, 9 (5), 2002, pp. 629-41.

·        Stationary Optimal Lenghts for the Plant Renewal Problem, with L. Peccati, International Journal of Production Economics, 78, 2002, pp. 287-93.

·        A Value at Risk Approach to Background Risk, with R. Kast, Geneva Papers on Risk and Insurance Theory, 26 (2), 2001, pp. 91-117.

·        Dynamic value at risk under optimal and suboptimal portfolio policies,, with G. Fusai, European Journal of Operational Research, 135, 2, 2001, pp. 249-69.

·        Value at risk trade-off and capital allocation, with U. Cherubini, Economic Notes, 30 (2), 2001, pp. 235-56.

·        Cycles optimization: the equivalent annuity and the NPV approaches (formerly circulated as On the equivalent annuity principle in some production problems), with L. Peccati, International Journal of Production Economics, 69 (1), 2001, pp. 65-83.

 

SOME PREVIOUS REFEREED PUBLICATIONS

·        Some Basic Problems in Inventory Theory: the Financial Perspective, with L. Peccati, European Journal of Operational Research, 114, 1999, pp. 294-303.

·        A note on Loadings and Deductibles: can a vicious circle arise?, Scandinavian Actuarial Journal, 1999 (2), pp. 157-69.

·        Capital Structure and Inventory Management: the Temporary Sale Price Problem, with L. Peccati, International Journal of Production Economics, 59 (1), 1998, pp. 169-78.

·        Revision of Industrial Supply Conditions and Game theory, with P. Gallo and L. Peccati, International Journal of Production Economics, 49, 1997, pp.17-28.

·        Bond Pricing through Bargaining, in Recent Research in Financial Modelling, ed. by L. Peccati and M. Virén, Berlin: Physica-Verlag (Springer-Verlag), 1993, pp. 17-23.

·        Market making with noise: the case of a specialist financial market with heterogeneous traders, in Recent Research in Financial Modelling, ed. by E.J. Stokking and G. Zambruno, Heidelberg: Physica-Verlag (Springer-Verlag), 1993, pp. 135-45.

·        Institutionally heterogeneous agents in an imitative stock market , with L. Ferrari and L. Peccati, in Recent Research in Financial Modelling, ed. by E.J. Stokking and G. Zambruno, Heidelberg: Physica-Verlag (Springer-Verlag), 1993, pp. 117-124.

·        A decomposition of random net present values, with L. Peccati, in Recent Research in Financial Modelling, ed. by E.J. Stokking and G. Zambruno, Heidelberg: Physica-Verlag (Springer-Verlag), 1993, pp. 17-23.

·        The External Financing of Brazilian Imports, by Enrico Colombatto, with E. Luciano, L. Gargiulo, P. Garibaldi, G. Russo, OCDE Technical Paper 46, Paris, 1991.

·         An exact solution to a dynamic portfolio choice problem with transaction costs, with B. Dumas, Journal of Finance, 46 (2), 1991, pp. 577-595.

 

WORK IN PROGRESS

Lévy processes

·        Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators, with Patrizia Semeraro, Collegio Carlo Alberto Notebook 42/2007. A preliminary version has been presented in  Edinburgh,   Credit Risk under Lévy Models Conference, September 2006,  in Paris, Ecòle Polytechnique (Palaiseau), Workshop on  Financial Modeling with Jump Processes,  September  2006,      http://www.fiquam.polytechnique.fr/AMAMEF/, in Lecce, AMASES Conference , http://www.sms.dsems.unile.it/amases2007/elenco_autori.html

·         Generalized Normal Mean variance mixtures and Subordinated Brownian motions, with Patrizia Semeraro, ICER WP 42/07, submitted

·        Multivariate Variance Gamma and Gaussian dependence: a study with copulas, with Patrizia Semeraro, proceedings of the MAF conference, Venice, 2008, http://maf2008.unive.it/papers.php, submitted

 

Credit risk

 

·        Ownership structure, leverage and credit risk, with G. Nicodano, Collegio Carlo Alberto Notebook 69/2007, presented at the 2007 Greta conference, in their proceedings: http://www.greta.it/credit/credit2007/credit2007.htm.

·        Leverage and firm scope, with G. Nicodano, Ricafe wp 49/2008, presented at the 2007 Ricafe conference, in their proceedings: http://www.lse.ac.uk/collections/RICAFE/newsAndEvents.htm

·         Single and joint default in a structural model with purely discontinuous assets, with Filippo Fiorani and Patrizia Semeraro, Collegio Carlo Alberto Notebook 41/2007, presented at the AMAMEF conference,   http://www.afmathconf.ugent.be/index.php?page=programme, submitted

                        Survival modeling in insurance

·        Non mean reverting affine processes for stochastic mortality (Measuring mortality risk in pricing life insurance products), with Elena Vigna, ICER WP 4/05 and Collegio Carlo Alberto Notebook 30/2007, IME 2005 Conference, Quebec, July 2005, and   AFIR Meeting, Zurich,   September 2005, submitted.

·        A note on stochastic survival probabilities and their calibration, with Elena Vigna, ICER WP 1/05