Laura Ballotta : Citation Profile

City St George's

9

H index

7

i10 index

247

Citations

RESEARCH PRODUCTION:

21

Articles

2

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 10
   Journals where Laura Ballotta has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 8 (3.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba282
   Updated: 2025-12-20    RAS profile: 2025-03-15    
   Missing citations? Add them    Incorrect content? Let us know

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)

Sensoy, Ahmet (4)

Pelsser, Antoon (4)

Rayée, Grégory (4)

Borel-Mathurin, Fabrice (4)

Fabozzi, Frank (3)

Boyarchenko, Svetlana (3)

DARPEIX, Pierre-Emmanuel (3)

Post, Thomas (3)

Cites to:

Oosterlee, Cornelis (13)

Cao, Charles (9)

Chen, Zhiwu (9)

merton, robert (7)

Brennan, Michael (7)

Rayée, Grégory (7)

Wu, Liuren (7)

Brigo, Damiano (6)

Fang, Fang (6)

luciano, elisa (5)

Gnoatto, Alessandro (5)

Main data

Where Laura Ballotta has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics5
European Journal of Operational Research4
Quantitative Finance4
The European Journal of Finance2

Recent works citing Laura Ballotta (2025 and 2024)

YearTitle of citing document
2025Multivariate L\evy models: calibration and pricing. (2025). Semeraro, Patrizia ; Brandimarte, Paolo ; Amici, Giovanni ; Messeri, Francesco. In: Papers. RePEc:arx:papers:2303.13346.

Full description at Econpapers || Download paper

2025Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue. In: Papers. RePEc:arx:papers:2401.03776.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Joint Calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Cheng, Xue ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2404.16295.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024On the valuation of life insurance policies for dependent coupled lives. (2024). Zeineddine, Raghid ; Pamen, Olivier Menoukeu ; Henshaw, Kira. In: Papers. RePEc:arx:papers:2410.11849.

Full description at Econpapers || Download paper

2025Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps. (2025). Agazzotti, Gaetano ; Rinella, Claudio Aglieri ; Kirkby, Justin Lars ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2502.13824.

Full description at Econpapers || Download paper

2025Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2502.14766.

Full description at Econpapers || Download paper

2025Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation. (2025). Stadje, Mitja ; Fiessinger, Felix. In: Papers. RePEc:arx:papers:2504.12851.

Full description at Econpapers || Download paper

2025Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims. (2025). Schmutz, Michael ; Platen, Eckhard ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:2506.19494.

Full description at Econpapers || Download paper

2025Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics. (2025). Leung, Tim ; Lu, Kevin W. In: Papers. RePEc:arx:papers:2507.11480.

Full description at Econpapers || Download paper

2025Fast and explicit European option pricing under tempered stable processes. (2025). Agazzotti, Gaetano ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2510.01211.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk. (2024). Zhang, Zhimin ; Zhong, Wei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:478:y:2024:i:c:s0096300324002947.

Full description at Econpapers || Download paper

2024Pricing vulnerable spread options with liquidity risk under Lévy processes. (2024). Wang, Xingchun ; Cai, Chengyou ; Yu, Baimin. 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

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.

Full description at Econpapers || Download paper

2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

Full description at Econpapers || Download paper

2024Valuation of a Mixture of GMIB and GMDB Variable Annuity. (2024). Han, Yichen ; Li, Luyan ; Fan, Kun ; Wan, Jiaxin. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:3:p:441-:d:1329602.

Full description at Econpapers || Download paper

2024CBI-time-changed Lévy processes for multi-currency modeling. (2024). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04982-z.

Full description at Econpapers || Download paper

2024Co-movements, option pricing and risk management: an application to WTI versus Brent spread options. (2024). Loccisano, Debora ; Leccadito, Arturo ; de Giovanni, Domenico. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05059-7.

Full description at Econpapers || Download paper

2025Computing XVA for American basket derivatives by machine learning techniques. (2025). Goudenge, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: Computational Management Science. RePEc:spr:comgts:v:22:y:2025:i:2:d:10.1007_s10287-025-00540-7.

Full description at Econpapers || Download paper

Works by Laura Ballotta:

YearTitleTypeCited
2019Variable annuities in a L\evy-based hybrid model with surrender risk In: Papers.
[Full Text][Citation analysis]		paper8
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: 8		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]		article26
2015Counterparty credit risk in a multivariate structural model with jumps In: Finance.
[Full Text][Citation analysis]		article10
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]		article9
2019Integrated structural approach to Credit Value Adjustment In: European Journal of Operational Research.
[Full Text][Citation analysis]		article9
2022Smiles & smirks: Volatility and leverage by jumps In: European Journal of Operational Research.
[Full Text][Citation analysis]		article4
2025Multivariate additive subordination with applications in finance In: European Journal of Operational Research.
[Full Text][Citation analysis]		article1
2021Fourier based methods for the management of complex life insurance products In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
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]		article43
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]		article34
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
2024Counting jumps: does the counting process count? In: Quantitative Finance.
[Full Text][Citation analysis]		article0
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 November, 20 2025. Contact: CitEc Team