Giorgio Consigli
Department of Management, Economics and Quantitative Methods University of Bergamo, Italy (Corresponding author)
[ 1 ] - A Defined Benefit Pension Fund ALM Model through Multistage Stochastic Programming
We consider an asset-liability management (ALM) problem for a defined benefit pension fund (PF). The PF manager is assumed to follow a maximal fund valuation problem facing an extended set of risk factors: due to the longevity of the PF members, the inflation affecting salaries in real terms and future incomes, interest rates and market factors affecting jointly the PF liability and asset p...
[ 2 ] - Simulation of Long-term Returns with Stochastic Correlations
This paper focuses on a nonlinear stochastic model for financial simulation and forecasting based on assumptions of multivariate stochastic correlation, with an application to the European market. We present in particular the key elements of a structured hierarchical econometric model that can be used to forecast financial and commodity markets relying on statistical and simulation methods. The...
[ 3 ] - Modifying the Black-Scholes model to valuate preemption right
In this paper, we try and valuate preemption rights by modifying the Black-Scholes model, which is widely used to valuate options and other derivatives. Here we first present the basics of the Black-Scholes model and then we discus modification of the model to be fit for preemption right valuation. At the end, we valuate four of the preemptive rights using the proposed model
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