Luca Vincenzo Ballestra : Citation Profile

Alma Mater Studiorum - Università di Bologna

7

H index

4

i10 index

127

Citations

RESEARCH PRODUCTION:

33

Articles

4

Papers

RESEARCH ACTIVITY:

   18 years (2007 - 2025). See details.
   Cites by year: 7
   Journals where Luca Vincenzo Ballestra has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 11 (7.97 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba2099
   Updated: 2025-12-20    RAS profile: 2025-02-19    
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Relations with other researchers

Works with:

Guizzardi, Andrea (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Luca Vincenzo Ballestra.

Is cited by:

Boucekkine, Raouf (6)

Fabbri, Giorgio (5)

Gozzi, Fausto (4)

Xepapadeas, Anastasios (3)

Punder, Ramon (2)

Lange, Rutger-Jan (2)

Faggian, Silvia (2)

Onali, Enrico (1)

Viegas, Cristina (1)

Sun, Chuanwang (1)

Wang, Xiuqing (1)

Cites to:

Camacho, Carmen (20)

Boucekkine, Raouf (18)

Fabbri, Giorgio (17)

Engle, Robert (11)

Scholes, Myron (9)

Bollerslev, Tim (8)

Koopman, Siem Jan (7)

Zou, Benteng (7)

Duffie, Darrell (6)

Longstaff, Francis (6)

Cao, Charles (6)

Main data

Where Luca Vincenzo Ballestra has published?

Journals with more than one article published# docs
Finance Research Letters3
Chaos, Solitons & Fractals2
Applied Mathematics and Computation2
Insurance: Mathematics and Economics2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org4

Recent works citing Luca Vincenzo Ballestra (2025 and 2024)

YearTitle of citing document
2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

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2024How to crack the impossible triangle of new energy coupled system——Evidence from China. (2024). Tian, Lixin ; Zhou, Huixin ; Fang, Guochang ; Meng, Aoxiang. In: Applied Energy. RePEc:eee:appene:v:374:y:2024:i:c:s030626192401448x.

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2024A stochastic fractional differential variational inequality with Lévy jump and its application. (2024). Zeng, Yue ; Zhang, Yao-Jia ; Huang, Nan-Jing. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:178:y:2024:i:c:s0960077923012742.

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2025Analytically pricing crude oil options under a jump-diffusion model with stochastic liquidity risk and convenience yield. (2025). He, Xin-Jiang ; Chen, Meiling ; Lin, Sha. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000646.

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2024Can renewable energy development facilitate Chinas sustainable energy transition? Perspective from Energy Trilemma. (2024). Yang, Zhaofu ; Yuan, Yongna ; Li, Muhua ; Liu, Hong. In: Energy. RePEc:eee:energy:v:304:y:2024:i:c:s0360544224019340.

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2024“Carbon” suppresses “energy” - How does carbon emission right trading policy alleviate the energy trilemma?. (2024). Liu, Yong ; Wang, Jianlong ; Zhang, Guidong. In: Energy. RePEc:eee:energy:v:307:y:2024:i:c:s0360544224025647.

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2024Market reaction to the expected loss model in banks. (2024). Onali, Enrico ; Torluccio, Giuseppe ; Cardillo, Giovanni ; Ginesti, Gianluca. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308921000449.

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2024Pricing Asian options under the mixed fractional Brownian motion with jumps. (2024). Ballestra, L V ; Shokrollahi, F ; Ahmadian, D. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:226:y:2024:i:c:p:172-183.

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2024Fifty years of mathematical growth theory: Classical topics and new trends. (2024). ZOU, Benteng ; Venditti, Alain ; Boucekkine, Raouf ; Gozzi, Fausto ; Augeraud-Veron, Emmanuelle. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:111:y:2024:i:c:s0304406824000284.

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2024The valuation of American options with the stochastic liquidity risk and jump risk. (2024). Guo, Xunxiang ; Huang, Shoude ; Wang, KE ; Zhang, Hongyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:650:y:2024:i:c:s0378437124004205.

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2024Spatial externalities, R&D spillovers, and endogenous technological change. (2024). Xepapadeas, Anastasios ; Salvati, Luca ; Tsangaris, Spyridon ; Yannacopoulos, Athanasios N. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:109:y:2024:i:c:s0166046224000863.

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2025Dynamic policy pathfinding for balanced growth of energy trilemma: Evidence from the worlds large energy-consuming economies. (2025). Shirazi, Masoud. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:214:y:2025:i:c:s1364032125001662.

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2024Pricing transition risk with a jump-diffusion credit risk model: evidences from the CDS market. (2024). Smaniotto, Elia ; Radi, Davide ; Livieri, Giulia. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:123650.

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2024A Systematic Review on the Path to Inclusive and Sustainable Energy Transitions. (2024). Awolesi, Oluwafemi ; Reams, Margaret ; Salter, Corinne A. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:14:p:3512-:d:1437112.

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2024The Economic and Social Dimension of Energy Transformation in the Face of the Energy Crisis: The Case of Poland. (2024). Dziku, Maciej ; Piwowar, Arkadiusz. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:2:p:403-:d:1318591.

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2025Economic Performance of the Producers of Biomass for Energy Generation in the Context of National and European Policies—A Case Study of Poland. (2025). Trbska, Paulina ; Brawski, Piotr ; Wyszomierski, Rafa ; Bedycka-Brawska, Aneta. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:15:p:4042-:d:1712937.

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2025Modeling SSE 50 ETF Returns and Option Pricing: Evidence from a Score-Driven GARCH-Jump Approach. (2025). Shi, Mingfu ; Zhang, Chuanhai ; Chen, Qingqing ; Hrdle, Wolfgang Karl. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:20:p:3332-:d:1774963.

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2025Dynamic Multilayer Network for Systemic Risk and Bank Regulation Based on CDS. (2025). Tang, Miao ; Fan, Hong. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:2:d:10.1007_s10614-023-10508-x.

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2025Considering Appropriate Input Features of Neural Network to Calibrate Option Pricing Models. (2025). Kim, Hyun-Gyoon ; Huh, Jeonggyu. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10686-2.

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2025A Computational Study for Pricing European- and American-Type Options Under Heston’s Stochastic Volatility Model: Application of the SUPG-YZ $$\beta$$ β Formulation. (2025). Cengizci, Sleyman ; Uur, MR. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10704-3.

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2025Pricing of geometric Asian options in the Volterra-Heston model. (2025). Aichinger, Florian ; Desmettre, Sascha. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:1:d:10.1007_s11147-025-09211-w.

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2024VIX constant maturity futures trading strategy: A walk-forward machine learning study. (2024). Li, Keran ; Wang, Sangyuan ; Chen, Yijun ; Liu, Yaling ; Tang, Xianbo. In: PLOS ONE. RePEc:plo:pone00:0302289.

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2024The impact of COVID-19 on the tourism sector in Italy: A regional spatial perspective. (2024). Faggian, Alessandra ; Pinate, Adriana C ; Brandano, Maria Giovanna. In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:8:p:2181-2202.

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2024Valuation of mining projects under dynamic model framework. (2024). Dvokov, Hana ; Tich, Tom ; Hozman, JI. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:3:d:10.1007_s10479-023-05569-y.

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2024A simplified Wiener–Hopf factorization method for pricing double barrier options under Lévy processes. (2024). Kudryavtsev, Oleg. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-024-00519-w.

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2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240051.

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2025Optimal Control in Infinite Dimensional Spaces and Economic Modeling: State of the Art and Perspectives. (2025). Fabbri, Giorgio ; Gozzi, Fausto ; Federico, Salvatore ; Faggian, Silvia. In: Working Papers. RePEc:ven:wpaper:2025:16.

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2025Wealth Sharing or Rights Sharing? Stable Coalitions in Resource Extraction on Networks. (2025). Faggian, Silvia ; Wiszniewska-Matyszkiel, Agnieszka ; Machowska, Dominika. In: Working Papers. RePEc:ven:wpaper:2025:18.

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2025Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model. (2025). Xu, Wen ; Aschakulporn, Pakorn ; Zhang, Jin E. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:5:p:1638-1657.

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2025Energy security indicators for sustainable energy development: Application to electricity sector in the context of state economic decisions. (2025). Karpavicius, Tomas ; Streimikiene, Dalia ; Balezentis, Tomas. In: Sustainable Development. RePEc:wly:sustdv:v:33:y:2025:i:1:p:1381-1400.

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Works by Luca Vincenzo Ballestra:

YearTitleTypeCited
2021Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps In: Papers.
[Full Text][Citation analysis]		paper0
2024GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance In: Papers.
[Full Text][Citation analysis]		paper0
2024A GARCH model with two volatility components and two driving factors In: Papers.
[Full Text][Citation analysis]		paper0
2025A multi-factor model for improved commodity pricing: Calibration and an application to the oil market In: Papers.
[Full Text][Citation analysis]		paper0
2022Hotel dynamic pricing, stochastic demand and covid-19 In: Annals of Tourism Research.
[Full Text][Citation analysis]		article1
2015Pricing European and American options by radial basis point interpolation In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article10
2024Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article0
2023The impact of education on the Energy Trilemma Index: A sustainable innovativeness perspective for resilient energy systems In: Applied Energy.
[Full Text][Citation analysis]		article9
2016A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion In: Chaos, Solitons & Fractals.
[Full Text][Citation analysis]		article8
2016A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE In: Chaos, Solitons & Fractals.
[Full Text][Citation analysis]		article6
2013Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article18
2024A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options In: European Journal of Operational Research.
[Full Text][Citation analysis]		article2
2020Modeling CDS spreads: A comparison of some hybrid approaches In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article4
2015Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley In: Finance Research Letters.
[Full Text][Citation analysis]		article6
2017Investor reaction to IFRS for financial instruments in Europe: The role of firm-specific factors In: Finance Research Letters.
[Full Text][Citation analysis]		article6
2010On a variational formulation used in credit risk modeling In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2012An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
2014Valuing risky debt: A new model combining structural information with the reduced-form approach In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article9
2019Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators In: International Journal of Forecasting.
[Full Text][Citation analysis]		article11
2007A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2024Integrating narrow and wide framing disposition effect: A novel approach incorporating perceived risk and realized asset performance In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article0
2016The spatial AK model and the Pontryagin maximum principle In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article12
2016A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article1
2013Stability Switches and Hopf Bifurcation in a Kaleckian Model of Business Cycle In: Abstract and Applied Analysis.
[Full Text][Citation analysis]		article1
2007THE HESTON STOCHASTIC VOLATILITY MODEL FOR SINGLE ASSETS AND FOR ASSET PORTFOLIOS: PARAMETER ESTIMATION AND AN APPLICATION TO THE ITALIAN FINANCIAL MARKET In: The International Journal of Business and Finance Research.
[Full Text][Citation analysis]		article0
2018Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach In: Computational Economics.
[Full Text][Citation analysis]		article1
2024Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article2
2021Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation In: Computational Management Science.
[Full Text][Citation analysis]		article1
2018Fast and accurate calculation of American option prices In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article4
2025Multivariate GARCH models with spherical parameterizations: an oil price application In: Financial Innovation.
[Full Text][Citation analysis]		article0
2024Reverse engineering the last-minute on-line pricing practices: an application to hotels In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article0
2011The constant elasticity of variance model: calibration, test and evidence from the Italian equity market In: Applied Financial Economics.
[Full Text][Citation analysis]		article0
2009A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article1
2017Valuing investment projects under interest rate risk: empirical evidence from European firms In: Applied Economics.
[Full Text][Citation analysis]		article1
2016From insurance risk to credit portfolio management: a new approach to pricing CDOs In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2017Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2016A NOTE ON FERGUSSON AND PLATEN: “APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS” In: Annals of Financial Economics (AFE).
[Full Text][Citation analysis]		article2

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