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Items where City Author is "Ballotta, L."

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Number of items: 28.

Article

Ballotta, L. ORCID: 0000-0002-2059-6281, Loregian, A., Fusai, G. ORCID: 0000-0001-9215-2586 and Perez, M. F. (2018). Estimation of Multivariate Asset Models with Jumps. Journal of Financial and Quantitative Analysis,

Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 and Marazzina, D. (2018). Integrated Structural Approach to Credit Value Adjustment. European Journal of Operational Research, doi: 10.1016/j.ejor.2018.07.026

Ballotta, L., Deelstra, G. and Rayée, G. (2017). Multivariate FX models with jumps: triangles, Quantos and implied correlation. European Journal of Operational Research, 260(3), pp. 1181-1199. doi: 10.1016/j.ejor.2017.02.018

Ballotta, L., Gerrard, R. J. G. and Kyriakou, I. (2017). Hedging of Asian options under exponential Lévy models: computation and performance. The European Journal of Finance, 23(4), pp. 297-323. doi: 10.1080/1351847X.2015.1066694

Ballotta, L. and Bonfiglioli, E. (2016). Multivariate Asset Models Using Levy Processes and Applications. The European Journal of Finance, 22(13), doi: 10.1080/1351847X.2013.870917

Ballotta, L. ORCID: 0000-0002-2059-6281 and Fusai, G. ORCID: 0000-0001-9215-2586 (2015). Counterparty credit risk in a multivariate structural model with jumps. Finance, Revue de l'Association Française de Finance, 36(1), pp. 39-74.

Ballotta, L. and Kyriakou, I. (2014). Convertible bond valuation in a jump diffusion setting with stochastic interest rates. Quantitative Finance, doi: 10.1080/14697688.2014.935464

Ballotta, L. and Kyriakou, I. (2014). Monte carlo simulation of the CGMY process and option pricing. Journal of Futures Markets, doi: 10.1002/fut.21647

Ballotta, L. (2010). Efficient pricing of ratchet equity-indexed annuities in a variance-gamma economy. North American Actuarial Journal, 14(3), pp. 355-368. doi: 10.1080/10920277.2010.10597639

Ballotta, L. (2009). Pricing and capital requirements for with profit contracts: modelling considerations. Quantitative Finance, 9(7), pp. 803-817. doi: 10.1080/14697680802452068

Ballotta, L., Haberman, S. and Wang, N. (2006). Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option. Journal of Risk and Insurance, 73(1), pp. 97-121. doi: 10.1111/j.1539-6975.2006.00167.x

Ballotta, L. and Haberman, S. (2006). The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case. Insurance: Mathematics and Economics, 38(1), pp. 195-214. doi: 10.1016/j.insmatheco.2005.10.002

Ballotta, L., Esposito, G. and Haberman, S. (2006). The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements. Insurance: Mathematics and Economics, 39(3), pp. 356-375. doi: 10.1016/j.insmatheco.2006.04.004

Ballotta, L. (2005). A Levy process-based framework for the fair valuation of participating life insurance contracts. Insurance: Mathematics and Economics, 37(2), pp. 173-196. doi: 10.1016/j.insmatheco.2004.10.001

Ballotta, L. and Haberman, S. (2003). Valuation of guaranteed annuity conversion options. Insurance: Mathematics and Economics, 33(1), pp. 87-108. doi: 10.1016/S0167-6687(03)00146-X

Ballotta, L. and Haberman, S. (2003). Pricing of guaranteed annuity conversion options.. INSURANCE MATHEMATICS & ECONOMICS, 33(1), pp. 87-108.

Ballotta, L. (2002). α-quantile option in a jump-diffusion economy. Financial Engineering, E-commerce and Supply Chain, 70, pp. 75-87. doi: 10.1007/978-1-4757-5226-7_5

Ballotta, L. and Kyprianou, A.E. (2001). A note on the alpha-quantile option. Applied Mathematical Finance, 8(3), pp. 137-144. doi: 10.1080/13504860210122375

Monograph

Ballotta, L. ORCID: 0000-0002-2059-6281 and Fusai, G. ORCID: 0000-0001-9215-2586 (2018). Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction (Report No. 10.2139/ssrn.3183712). SSRN Working Paper Series.

Ballotta, L. ORCID: 0000-0002-2059-6281 and Fusai, G. ORCID: 0000-0001-9215-2586 (2017). A Gentle Introduction to Value at Risk (Report No. 10.2139/ssrn.2942138). SSRN Working Paper Series.

Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 and Marena, M. (2016). A Gentle Introduction to Default Risk and Counterparty Credit Modelling (Report No. 10.2139/ssrn.2816355). SSRN Working Paper Series.

Ballotta, L., Deelstra, G. and Rayée, G. (2015). Quanto Implied Correlation in a Multi-Lévy Framework. London: SSRN.

Ballotta, L., Loregian, A. and Fusai, G. (2015). Multivariate Lévy Models by Linear Combination: Estimation. London: SSRN.

Ballotta, L. and Haberman, S. (2009). Investment Strategies and Risk Management for Participating Life Insurance Contracts. London: SSRN.

Ballotta, L., Esposito, G. and Haberman, S. (2006). Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk (Report No. Actuarial Research Paper No. 176). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Ballotta, L. (2004). Alternative framework for the fair valuation of participating life insurance contracts (Report No. Actuarial Research Paper No. 157). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Haberman, S., Ballotta, L. and Wang, N. (2003). Modelling and valuation of guarantees in with-profit and unitised with-profit life insurance contracts (Report No. Actuarial Research Paper No. 146). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Ballotta, L. and Kyprianou, A.E. (2000). A note on α-quantile option (Report No. Actuarial Research Paper No. 128). London, UK: Faculty of Actuarial Science & Insurance, City University London.

This list was generated on Fri Oct 19 04:30:37 2018 UTC.