Laura Ballotta : Citation Profile


Are you Laura Ballotta?

City University

6

H index

5

i10 index

147

Citations

RESEARCH PRODUCTION:

16

Articles

2

Papers

RESEARCH ACTIVITY:

   18 years (2001 - 2019). See details.
   Cites by year: 8
   Journals where Laura Ballotta has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 5 (3.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba282
   Updated: 2020-01-25    RAS profile: 2019-09-29    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Laura Ballotta.

Is cited by:

Chevallier, Julien (6)

Goutte, Stéphane (5)

Rayée, Grégory (4)

Pelsser, Antoon (4)

Fabozzi, Frank (3)

DARPEIX, Pierre-Emmanuel (3)

Loisel, Stéphane (3)

Borel-Mathurin, Fabrice (3)

Broeders, Dirk (3)

Burnecki, Krzysztof (2)

Schlogl, Erik (2)

Cites to:

Cao, Charles (9)

Chen, Zhiwu (9)

Brennan, Michael (6)

merton, robert (6)

Grosen, Anders (5)

Brigo, Damiano (5)

Jørgensen, Peter (5)

Jarrow, Robert (4)

Oosterlee, Cornelis (4)

Scholes, Myron (3)

Pelsser, Antoon (3)

Main data


Where Laura Ballotta has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics4
The European Journal of Finance2
European Journal of Operational Research2
Quantitative Finance2

Recent works citing Laura Ballotta (2019 and 2018)


YearTitle of citing document
2018Sequential Sampling for CGMY Processes via Decomposition of their Time Changes. (2018). Zhang, Zhiyuan. In: Papers. RePEc:arx:papers:1708.00189.

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2018Calibration for Weak Variance-Alpha-Gamma Processes. (2018). Madan, Dilip B ; Lu, Kevin W ; Buchmann, Boris. In: Papers. RePEc:arx:papers:1801.08852.

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2018Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform. (2018). Tassinari, Gian Luca ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.05584.

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2018SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations. (2018). Boyarchenko, Svetlana ; Levendorskiui, Sergei. In: Papers. RePEc:arx:papers:1808.05295.

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2018Cliquet option pricing in a jump-diffusion L\{e}vy model. (2018). Hess, Markus. In: Papers. RePEc:arx:papers:1810.09670.

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2019Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

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2018An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. (2018). Zhao, Yixing ; Mamon, Rogemar. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:1-12.

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2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?. (2018). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:148-166.

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2018Multivariate modeling and analysis of regional ocean freight rates. (2018). Koekebakker, Steen ; Benth, Fred Espen ; Adland, Roar. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:113:y:2018:i:c:p:194-221.

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2019On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps. (2019). Guesmi, Khaled ; Goutte, Stéphane ; Chevallier, Julien ; Saadi, Samir. In: Working Papers. RePEc:hal:wpaper:halshs-02120636.

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2019Study of the dynamic of Bitcoins price. (2019). Guesmi, Khaled ; Goutte, Stéphane ; Chevallier, Julien ; Saadi, Samir. In: Working Papers. RePEc:hal:wpaper:halshs-02175669.

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2019Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy. (2019). Perera, Sandun ; Buckley, Winston. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-018-0335-2.

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2019Quanto Option Pricing with Lévy Models. (2019). Park, Jiho ; Fabozzi, Frank J ; Kim, Young S ; Fallahgoul, Hasan A. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-018-9807-8.

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2019Credit Value Adjustment with Market-implied Recovery. (2019). Jiang, Weiyu ; Franois, Pascal. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:56:y:2019:i:2:d:10.1007_s10693-018-0298-5.

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2018Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry. (2018). DARPEIX, Pierre-Emmanuel ; Borel-Mathurin, Fabrice ; Loisel, Stephane ; Guibert, Quentin. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:43:y:2018:i:3:d:10.1057_s41288-018-0080-9.

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2019Lévy CARMA models for shocks in mortality. (2019). Rroji, Edit ; Mercuri, Lorenzo ; Hitaj, Asmerilda. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00248-9.

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2018MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES. (2018). Guillaume, Florence. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500073.

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Works by Laura Ballotta:


YearTitleTypeCited
2019Variable annuities in a L\evy-based hybrid model with surrender risk In: Papers.
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paper0
2006Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option In: Journal of Risk & Insurance.
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article25
2015Counterparty credit risk in a multivariate structural model with jumps In: Finance.
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article3
2019Estimation of Multivariate Asset Models with Jumps In: Journal of Financial and Quantitative Analysis.
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article0
2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation In: European Journal of Operational Research.
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article3
2019Integrated structural approach to Credit Value Adjustment In: European Journal of Operational Research.
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article0
2003Valuation of guaranteed annuity conversion options In: Insurance: Mathematics and Economics.
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article26
2005A Lévy process-based framework for the fair valuation of participating life insurance contracts In: Insurance: Mathematics and Economics.
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article25
2006The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case In: Insurance: Mathematics and Economics.
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article35
2006The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements In: Insurance: Mathematics and Economics.
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article3
2006Valuation of participating contracts and risk capital assessment: the importance of market modelling In: Computing in Economics and Finance 2006.
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paper0
2001A note on the α-quantile option In: Applied Mathematical Finance.
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article0
2016Multivariate asset models using Lévy processes and applications In: The European Journal of Finance.
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article13
2017Hedging of Asian options under exponential Lévy models: computation and performance In: The European Journal of Finance.
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article1
2015Convertible bond valuation in a jump diffusion setting with stochastic interest rates In: Quantitative Finance.
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article3
2009Pricing and capital requirements for with profit contracts: modelling considerations In: Quantitative Finance.
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article0
2010Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy In: North American Actuarial Journal.
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article2
2014Monte Carlo Simulation of the CGMY Process and Option Pricing In: Journal of Futures Markets.
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article8

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2020. Contact: CitEc Team