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Laura Ballotta
Laura Ballotta
Professor of Mathematical Finance, Bayes Business School (formerly Cass)
Email verificata su city.ac.uk
Titolo
Citata da
Citata da
Anno
The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case
L Ballotta, S Haberman
Insurance: Mathematics and Economics 38 (1), 195-214, 2006
1692006
A Lévy process-based framework for the fair valuation of participating life insurance contracts
L Ballotta
Insurance: Mathematics and Economics 37 (2), 173-196, 2005
127*2005
Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option
L Ballotta, S Haberman, N Wang
Journal of Risk and Insurance 73 (1), 97-121, 2006
1252006
Valuation of guaranteed annuity conversion options
L Ballotta, S Haberman
Insurance: Mathematics and Economics 33 (1), 87-108, 2003
1182003
Multivariate asset models using Lévy processes and applications
L Ballotta, E Bonfiglioli
European Journal of Finance, 2014
1172014
Monte Carlo simulation of the CGMY process and option pricing
L Ballotta, I Kyriakou
Journal of Futures Markets 34 (12), 1095-1121, 2014
512014
Risk management of climate impact for tourism operators: An empirical analysis on ski resorts
L Ballotta, G Fusai, I Kyriakou, NC Papapostolou, PK Pouliasis
Tourism Management 77, 104011, 2020
382020
Modelling and valuation of guarantees in with-profit and unitised with profit life insurance contracts
S Haberman, L Ballotta, N Wang
Cass Business School Research Paper, 2003
36*2003
Integrated structural approach to credit value adjustment
L Ballotta, G Fusai, D Marazzina
European Journal of Operational Research 272 (3), 1143-1157, 2019
35*2019
Multivariate FX models with jumps: Triangles, quantos and implied correlation
L Ballotta, G Deelstra, G Rayée
European Journal of Operational Research 260 (3), 1181-1199, 2017
33*2017
The IASB Insurance Project for life insurance contracts: impact on reserving methods and solvency requirements
L Ballotta, G Esposito, S Haberman
Insurance: Mathematics and Economics 39 (3), 356-375, 2006
332006
Counterparty credit risk in a multivariate structural model with jumps
L Ballotta, G Fusai
Finance 36 (1), 39-74, 2015
292015
Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates
L Ballotta, I Kyriakou
Quantitative Finance, 2014
27*2014
Estimation of multivariate asset models with jumps
L Ballotta, G Fusai, A Loregian, MF Perez
Journal of Financial and Quantitative Analysis 54 (5), 2053-2083, 2019
21*2019
Variable annuities in a Lévy-based hybrid model with surrender risk
L Ballotta, E Eberlein, T Schmidt, R Zeineddine
Quantitative Finance 20 (5), 867-886, 2020
202020
Efficient pricing of ratchet equity-indexed annuities in a variance-gamma economy
L Ballotta
North American Actuarial Journal 14 (3), 355-368, 2010
17*2010
Pricing and capital requirements for with profit contracts: modelling considerations
L Ballotta
Quantitative Finance 9 (7), 803-817, 2009
142009
A gentle introduction to value at risk
L Ballotta, G Fusai
Available at SSRN 2942138, 2017
132017
Hedging of Asian options under exponential Lévy models: computation and performance
L Ballotta, R Gerrard, I Kyriakou
The European Journal of Finance 23 (4), 297-323, 2017
132017
Smiles & smirks: Volatility and leverage by jumps
L Ballotta, G Rayée
European Journal of Operational Research 298 (3), 1145-1161, 2022
11*2022
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
Articoli 1–20