8
H index
5
i10 index
203
Citations
Laura Ballotta : Citation Profile
City University | RESEARCH PRODUCTION: 17 Articles 2 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2003 - 2022). 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:
| Cites to:
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Main data
Where Laura Ballotta has published?
| Journals with more than one article published | # docs |
|---|---|
| Insurance: Mathematics and Economics | 5 |
| Quantitative Finance | 3 |
| European Journal of Operational Research | 3 |
| The European Journal of Finance | 2 |
Recent works citing Laura Ballotta (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042. Full description at Econpapers || Download paper |
| 2023 | A fast Monte Carlo scheme for additive processes and option pricing. (2021). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2112.08291. Full description at Econpapers || Download paper |
| 2023 | Multivariate 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 |
| 2023 | Probability of Default modelling with L\evy-driven Ornstein-Uhlenbeck processes and applications in credit risk under the IFRS 9. (2023). Yannacopoulos, Athanasios N ; Georgiou, Kyriakos. In: Papers. RePEc:arx:papers:2309.12384. Full description at Econpapers || Download paper |
| 2023 | A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate. (2023). Dang, Duy-Minh ; Lu, Yaowen. In: Papers. RePEc:arx:papers:2310.00606. Full description at Econpapers || Download paper |
| 2023 | Simulation of a L\evy process, its extremum, and hitting time of the extremum via characteristic functions. (2023). Levendorskii, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2312.03929. Full description at Econpapers || Download paper |
| 2024 | Enhancing 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 |
| 2024 | Joint 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 |
| 2024 | On 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 |
| 2023 | A general method for analysis and valuation of drawdown risk. (2023). Li, Lingfei ; Zhang, Gongqiu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:152:y:2023:i:c:s0165188923000751. Full description at Econpapers || Download paper |
| 2024 | Pricing 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. Full description at Econpapers || Download paper |
| 2023 | Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. (2023). Cummins, Mark ; Atkins, Philip J. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1331-1348. Full description at Econpapers || Download paper |
| 2023 | Randomization and the valuation of guaranteed minimum death benefits. (2023). Hieber, Peter ; Deelstra, Griselda. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1218-1236. Full description at Econpapers || Download paper |
| 2023 | Efficient willow tree method for variable annuities valuation and risk management☆. (2020). Sevic, Zeljko ; Xu, Wei ; Dong, Bing. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305149. Full description at Econpapers || Download paper |
| 2023 | An imprecise pricing model for Asian options based on Nonparametric predictive inference. (2023). He, Ting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000070. Full description at Econpapers || Download paper |
| 2023 | Option Pricing and Portfolio Optimization under a Multi-Asset Jump-Diffusion Model with Systemic Risk. (2023). Makarov, Roman N. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:12:p:217-:d:1299138. Full description at Econpapers || Download paper |
| 2023 | Extending the Merton model with applications to credit value adjustment. (2023). Sensoy, Ahmet ; Fabozzi, Frank J ; Hekimoglu, Alper A ; Akyildirim, Erdinc. In: Annals of Operations Research. RePEc:spr:annopr:v:326:y:2023:i:1:d:10.1007_s10479-023-05289-3. Full description at Econpapers || Download paper |
| 2023 | A fast Monte Carlo scheme for additive processes and option pricing. (2023). Baviera, Roberto ; Azzone, Michele. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00463-1. Full description at Econpapers || Download paper |
Works by Laura Ballotta:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2019 | Variable annuities in a L\evy-based hybrid model with surrender risk In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2020 | Variable 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: 6 | article | |
| 2015 | Counterparty credit risk in a multivariate structural model with jumps In: Finance. [Full Text][Citation analysis] | article | 9 |
| 2019 | Estimation of Multivariate Asset Models with Jumps In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 9 |
| 2017 | Multivariate FX models with jumps: Triangles, Quantos and implied correlation In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 8 |
| 2019 | Integrated structural approach to Credit Value Adjustment In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 5 |
| 2022 | Smiles & smirks: Volatility and leverage by jumps In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
| 2021 | Fourier based methods for the management of complex life insurance products In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
| 2003 | Valuation of guaranteed annuity conversion options In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 29 |
| 2005 | A Lévy process-based framework for the fair valuation of participating life insurance contracts In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 27 |
| 2006 | The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 42 |
| 2006 | The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
| 2004 | Guaranteed annuity conversion options and their valuation In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2006 | Valuation of participating contracts and risk capital assessment: the importance of market modelling In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2016 | Multivariate asset models using Lévy processes and applications In: The European Journal of Finance. [Full Text][Citation analysis] | article | 31 |
| 2017 | Hedging of Asian options under exponential Lévy models: computation and performance In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
| 2015 | Convertible bond valuation in a jump diffusion setting with stochastic interest rates In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2009 | Pricing and capital requirements for with profit contracts: modelling considerations In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 4 |
| 2014 | Monte Carlo Simulation of the CGMY Process and Option Pricing In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 18 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team