Laura Ballotta : Citation Profile


Are you Laura Ballotta?

City University

6

H index

6

i10 index

196

Citations

RESEARCH PRODUCTION:

19

Articles

2

Papers

RESEARCH ACTIVITY:

   21 years (2001 - 2022). See details.
   Cites by year: 9
   Journals where Laura Ballotta has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 7 (3.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba282
   Updated: 2022-09-24    RAS profile: 2022-03-06    
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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)

Borel-Mathurin, Fabrice (4)

Loisel, Stéphane (4)

Fabozzi, Frank (3)

Broeders, Dirk (3)

DARPEIX, Pierre-Emmanuel (3)

Post, Thomas (2)

Marfe, Roberto (2)

Cites to:

Carr, Peter (15)

Oosterlee, Cornelis (13)

Cao, Charles (9)

Chen, Zhiwu (9)

Brennan, Michael (7)

merton, robert (7)

Wu, Liuren (6)

Fang, Fang (6)

Brigo, Damiano (5)

Pelsser, Antoon (4)

Scholes, Myron (4)

Main data


Where Laura Ballotta has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics5
European Journal of Operational Research3
Quantitative Finance3
The European Journal of Finance2

Recent works citing Laura Ballotta (2022 and 2021)


YearTitle of citing document
2021No arbitrage in insurance and the QP-rule. (2020). Schmidt, Thorsten ; Eisele, Karl-Theodor ; Artzner, Philippe. In: Papers. RePEc:arx:papers:2005.11022.

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2021Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2103.13252.

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2021Normal Tempered Stable Processes and the Pricing of Energy Derivatives. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2105.03071.

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2021Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities. (2021). Germano, Guido ; Marazzina, Daniele ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:2106.06030.

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2021The Variance Gamma++ Process and Applications to Energy Markets. (2021). E, ; P., ; M., . In: Papers. RePEc:arx:papers:2106.15452.

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2021Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2022CBI-time-changed L\evy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2112.02440.

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2021A fast Monte Carlo scheme for additive processes and option pricing. (2021). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2112.08291.

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2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

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2022CDS pricing with fractional Hawkes processes. (2022). Hainaut, Donatien ; Ketelbuters, John-John. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:3:p:1139-1150.

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2021Follow the leader: Index tracking with factor models. (2021). Perez, M. Fabricio ; Jiang, Pan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:337-350.

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2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. (2021). Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:408-428.

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2021Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247.

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2021Pricing longevity derivatives via Fourier transforms. (2021). Vidal, Joo Pedro ; Bravo, Jorge M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:81-97.

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2021Prepayment risk in reverse mortgages: An intensity-governed surrender model. (2021). Lee, Yung-Tsung ; Shi, Tianxiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:68-82.

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2021A model-free approach to multivariate option pricing. (2021). Vanduffel, Steven ; Bondarenko, Oleg ; Bernard, Carole. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09172-2.

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2022A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation. (2022). Zhang, Gongqiu ; Li, Lingfei ; Fan, Liaoyuan ; Chen, Jie. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:2:d:10.1007_s11147-022-09186-y.

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2022On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance. (2022). Asmussen, Soren. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00482-x.

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2021CBI-time-changed Lévy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Working Papers. RePEc:ver:wpaper:14/2021.

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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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paper3
2020Variable annuities in a Lévy-based hybrid model with surrender risk.(2020) In: Quantitative Finance.
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This paper has another version. Agregated cites: 3
article
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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article4
2019Estimation of Multivariate Asset Models with Jumps In: Journal of Financial and Quantitative Analysis.
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article6
2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation In: European Journal of Operational Research.
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article6
2019Integrated structural approach to Credit Value Adjustment In: European Journal of Operational Research.
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article3
2022Smiles & smirks: Volatility and leverage by jumps In: European Journal of Operational Research.
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article0
2021Fourier based methods for the management of complex life insurance products In: Insurance: Mathematics and Economics.
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article0
2003Valuation of guaranteed annuity conversion options In: Insurance: Mathematics and Economics.
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article28
2005A Lévy process-based framework for the fair valuation of participating life insurance contracts In: Insurance: Mathematics and Economics.
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article27
2006The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case In: Insurance: Mathematics and Economics.
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article40
2006The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements In: Insurance: Mathematics and Economics.
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article5
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 ?-quantile option In: Applied Mathematical Finance.
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article2
2016Multivariate asset models using Lévy processes and applications In: The European Journal of Finance.
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article25
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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article4
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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article3
2014Monte Carlo Simulation of the CGMY Process and Option Pricing In: Journal of Futures Markets.
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article14

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