Laura Ballotta : Citation Profile


Are you Laura Ballotta?

City University

8

H index

5

i10 index

202

Citations

RESEARCH PRODUCTION:

17

Articles

2

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (2003 - 2022). See details.
   Cites by year: 10
   Journals where Laura Ballotta has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 7 (3.35 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba282
   Updated: 2024-11-04    RAS profile: 2023-06-09    
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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)

Pelsser, Antoon (4)

Sensoy, Ahmet (4)

Rayée, Grégory (4)

Post, Thomas (3)

Boyarchenko, Svetlana (3)

Fabozzi, Frank (3)

Itkin, Andrey (2)

Guesmi, Khaled (2)

Marena, Marina (2)

Cites to:

Oosterlee, Cornelis (13)

Cao, Charles (9)

Chen, Zhiwu (9)

Brennan, Michael (7)

merton, robert (7)

Brigo, Damiano (6)

Fang, Fang (6)

Wu, Liuren (6)

Pelsser, Antoon (4)

Grzelak, Lech (4)

Duffie, Darrell (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 (2024 and 2023)


YearTitle of citing document
2023Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2023A 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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2023Multivariate L\evy Models: Calibration and Pricing. (2023). Semeraro, Patrizia ; Messeri, Francesco ; Brandimarte, Paolo ; Amici, Giovanni. In: Papers. RePEc:arx:papers:2303.13346.

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2023Probability 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.

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2023A 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.

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2023Simulation 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.

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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.

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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.

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

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2023A 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.

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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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2023Improved 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.

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2023Randomization 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.

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2023An 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.

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2023Option 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.

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2023Extending 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.

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2023A 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.

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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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paper5
2020Variable annuities in a Lévy-based hybrid model with surrender risk.(2020) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 5
article
2015Counterparty credit risk in a multivariate structural model with jumps In: Finance.
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article9
2019Estimation of Multivariate Asset Models with Jumps In: Journal of Financial and Quantitative Analysis.
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article9
2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation In: European Journal of Operational Research.
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article8
2019Integrated structural approach to Credit Value Adjustment In: European Journal of Operational Research.
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article5
2022Smiles & smirks: Volatility and leverage by jumps In: European Journal of Operational Research.
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article2
2021Fourier based methods for the management of complex life insurance products In: Insurance: Mathematics and Economics.
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article1
2003Valuation of guaranteed annuity conversion options In: Insurance: Mathematics and Economics.
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article29
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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article42
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
2004Guaranteed annuity conversion options and their valuation In: Chapters.
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chapter0
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
2016Multivariate asset models using Lévy processes and applications In: The European Journal of Finance.
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article31
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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article6
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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article4
2014Monte Carlo Simulation of the CGMY Process and Option Pricing In: Journal of Futures Markets.
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article18

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team