Laura Ballotta : Citation Profile

City University

8

H index

6

i10 index

233

Citations

RESEARCH PRODUCTION:

20

Articles

2

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 9
   Journals where Laura Ballotta has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 7 (2.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba282
   Updated: 2025-03-08    RAS profile: 2025-01-07    
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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)

Loisel, Stéphane (4)

Pelsser, Antoon (4)

Rayée, Grégory (4)

Borel-Mathurin, Fabrice (4)

Sensoy, Ahmet (4)

Fabozzi, Frank (3)

Post, Thomas (3)

DARPEIX, Pierre-Emmanuel (3)

Boyarchenko, Svetlana (3)

Cites to:

Oosterlee, Cornelis (13)

Cao, Charles (9)

Chen, Zhiwu (9)

merton, robert (7)

Brennan, Michael (7)

Wu, Liuren (6)

Brigo, Damiano (6)

Fang, Fang (6)

Duffie, Darrell (4)

Pelsser, Antoon (4)

Jørgensen, Peter (4)

Main data

Production by document typearticlechapterpaper2001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025052.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250102030Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250102030Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250255075100Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 8Most cited documents123456789100204060Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025030510h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Laura Ballotta has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics5
European Journal of Operational Research4
Quantitative Finance3
The European Journal of Finance2

Recent works citing Laura Ballotta (2025 and 2024)

Year  ↓Title of citing document  ↓
2025Multivariate L\evy Models: Calibration and Pricing. (2023). Semeraro, Patrizia ; Messeri, Francesco ; Brandimarte, Paolo ; Amici, Giovanni. In: Papers. RePEc:arx:papers:2303.13346.

Full description at Econpapers || Download paper

2024Enhancing Valuation of Variable Annuities in L\evy Models with Stochastic Interest Rate. (2024). Zanette, Antonino ; Wei, Xiao ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2404.07658.

Full description at Econpapers || Download paper

2024Joint calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Peng, Xianhua ; Cheng, Xue. In: Papers. RePEc:arx:papers:2404.16295.

Full description at Econpapers || Download paper

2024On variable annuities with surrender charges. (2024). Stabile, Gabriele ; Milazzo, Alessandro ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2405.02115.

Full description at Econpapers || Download paper

2024Insurance–finance arbitrage. (2024). Schmidt, Thorsten ; Eisele, Karltheodor ; Artzner, Philippe. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:739-773.

Full description at Econpapers || Download paper

2024Pricing vulnerable spread options with liquidity risk under Lévy processes. (2024). Yu, Baimin ; Wang, Xingchun ; Cai, Chengyou. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000494.

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2024Closed-form approximations for basket option pricing under normal tempered stable Lévy model. (2024). Zhong, Qifeng ; Yao, Jing ; Sayit, Hasanjan ; Hu, Dongdong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400158x.

Full description at Econpapers || Download paper

2025Evaluation of counterparty credit risk under netting agreements. (2025). Tavasoli, Ahmadreza ; Breton, Michle. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:2:p:402-416.

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Works by Laura Ballotta:

Year  ↓Title  ↓Type  ↓Cited  ↓
2019Variable annuities in a L\evy-based hybrid model with surrender risk In: Papers.
[Full Text][Citation analysis]		paper7
2020Variable annuities in a Lévy-based hybrid model with surrender risk.(2020) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		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.
[Full Text][Citation analysis]		article25
2015Counterparty credit risk in a multivariate structural model with jumps In: Finance.
[Full Text][Citation analysis]		article9
2019Estimation of Multivariate Asset Models with Jumps In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article9
2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation In: European Journal of Operational Research.
[Full Text][Citation analysis]		article8
2019Integrated structural approach to Credit Value Adjustment In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
2022Smiles & smirks: Volatility and leverage by jumps In: European Journal of Operational Research.
[Full Text][Citation analysis]		article2
2025Multivariate additive subordination with applications in finance In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
2021Fourier based methods for the management of complex life insurance products In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article1
2003Valuation of guaranteed annuity conversion options In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article29
2005A Lévy process-based framework for the fair valuation of participating life insurance contracts In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article27
2006The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article42
2006The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article5
2004Guaranteed annuity conversion options and their valuation In: Chapters.
[Full Text][Citation analysis]		chapter0
2006Valuation of participating contracts and risk capital assessment: the importance of market modelling In: Computing in Economics and Finance 2006.
[Citation analysis]		paper0
2001A note on the α-quantile option In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article2
2016Multivariate asset models using Lévy processes and applications In: The European Journal of Finance.
[Full Text][Citation analysis]		article32
2017Hedging of Asian options under exponential Lévy models: computation and performance In: The European Journal of Finance.
[Full Text][Citation analysis]		article1
2015Convertible bond valuation in a jump diffusion setting with stochastic interest rates In: Quantitative Finance.
[Full Text][Citation analysis]		article6
2009Pricing and capital requirements for with profit contracts: modelling considerations In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2010Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy In: North American Actuarial Journal.
[Full Text][Citation analysis]		article4
2014Monte Carlo Simulation of the CGMY Process and Option Pricing In: Journal of Futures Markets.
[Full Text][Citation analysis]		article18

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team