Items where Author is "Ballotta, L."
Amici, G., Ballotta, L. 
ORCID: 0000-0002-2059-6281 & Semeraro, P. (2024).
Multivariate Additive Subordination with Applications in Finance.
European Journal of Operational Research, 321(3),
pp. 1004-1020.
doi: 10.1016/j.ejor.2024.10.010
Ballotta, L. ORCID: 0000-0002-2059-6281 (2024).
The calibration conundrum.
Wilmott, 2024(134),
pp. 18-20.
doi: 10.54946/wilm.12087
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 & Marazzina, D. (2024).
Counting jumps: does the counting process count?.
Quantitative Finance, 24(11),
pp. 1621-1640.
doi: 10.1080/14697688.2024.2357731
Ballotta, L. ORCID: 0000-0002-2059-6281 (2024).
Is the VIX Just Volatility? The Devil is in the (De)tails.
Wilmott, 2024(130),
doi: 10.54946/wilm.12022
Ballotta, L. ORCID: 0000-0002-2059-6281 (2023).
Demystifying generic beliefs on jump models.
Wilmott, 2023(124),
pp. 70-73.
doi: 10.54946/wilm.11110
Ballotta, L. ORCID: 0000-0002-2059-6281 (2023).
Once upon a time there was a magic formula.
Wilmott Magazine, 2023(126),
pp. 70-72.
doi: 10.54946/wilm.11151
Ballotta, L. ORCID: 0000-0002-2059-6281 (2022).
Powering up Fourier valuation to any dimension.
Wilmott, 2022(121),
pp. 68-71.
doi: 10.54946/wilm.11051
Ballotta, L. ORCID: 0000-0002-2059-6281 & Grégory, R. (2022).
Smiles & Smirks: Volatility and leverage by jumps.
European Journal of Operational Research, 298(3),
pp. 1145-1161.
doi: 10.1016/j.ejor.2021.08.023
Ballotta, L. ORCID: 0000-0002-2059-6281, Eberlein, E., Schmidt, T. & Zeineddine, R. (2021).
Fourier based methods for the management of complex life insurance products.
Insurance: Mathematics and Economics, 101(B),
pp. 320-341.
doi: 10.1016/j.insmatheco.2021.08.009
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586, Kyriakou, I. ORCID: 0000-0001-9592-596X , Papapostolou, N. C. ORCID: 0000-0003-4529-1182 & Pouliasis, P. K. ORCID: 0000-0002-7389-3722 (2020).
Risk management of climate impact for tourism operators: An empirical analysis on ski resorts.
Tourism Management, 77,
article number 104011.
doi: 10.1016/j.tourman.2019.104011
Ballotta, L. ORCID: 0000-0002-2059-6281, Eberlein, E., Schmidt, T. & Zeineddine, R. (2019).
Variable annuities in a Lévy-based hybrid model with surrender risk.
Quantitative Finance, 20(5),
pp. 867-886.
doi: 10.1080/14697688.2019.1687929
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586, Loregian, A. & Perez, M. F. (2019).
Estimation of Multivariate Asset Models with Jumps.
Journal of Financial and Quantitative Analysis, 54(5),
pp. 2053-2083.
doi: 10.1017/s0022109018001321
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 & Marazzina, D. (2019).
Integrated Structural Approach to Credit Value Adjustment.
European Journal of Operational Research, 272(3),
pp. 1143-1157.
doi: 10.1016/j.ejor.2018.07.026
Ballotta, L. ORCID: 0000-0002-2059-6281 & Fusai, G. ORCID: 0000-0001-9215-2586 (2018).
Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction (10.2139/ssrn.3183712).
SSRN Working Paper Series.
Ballotta, L., Deelstra, G. & 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. ORCID: 0000-0002-2059-6281 & Fusai, G. ORCID: 0000-0001-9215-2586 (2017).
A Gentle Introduction to Value at Risk (10.2139/ssrn.2942138).
SSRN Working Paper Series.
Ballotta, L., Gerrard, R. J. G. & 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. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 & Marena, M. (2016).
A Gentle Introduction to Default Risk and Counterparty Credit Modelling (10.2139/ssrn.2816355).
SSRN Working Paper Series.
Ballotta, L. & Bonfiglioli, E. (2016). Multivariate Asset Models Using Levy Processes and Applications. The European Journal of Finance, 22(13), pp. 1320-1350. doi: 10.1080/1351847x.2013.870917
Ballotta, L., Deelstra, G. & Rayée, G. (2015). Quanto Implied Correlation in a Multi-Lévy Framework. London: SSRN.
Ballotta, L. ORCID: 0000-0002-2059-6281 & 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, Vol. 3(1),
pp. 39-74.
doi: 10.3917/fina.361.0039
Ballotta, L., Loregian, A. & Fusai, G. (2015). Multivariate Lévy Models by Linear Combination: Estimation. London: SSRN.
Ballotta, L. & Kyriakou, I. (2014). Convertible bond valuation in a jump diffusion setting with stochastic interest rates. Quantitative Finance, 15(1), pp. 115-129. doi: 10.1080/14697688.2014.935464
Ballotta, L. & Kyriakou, I. (2014). Monte carlo simulation of the CGMY process and option pricing. Journal of Futures Markets, 34(12), pp. 1095-1121. 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. & Haberman, S. (2009). Investment Strategies and Risk Management for Participating Life Insurance Contracts. London: SSRN.
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. & 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. & 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. & 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., Esposito, G. & Haberman, S. (2006). Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk (Actuarial Research Paper No. 176). London, UK: Faculty of Actuarial Science & Insurance, City University London.
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. (2004). Alternative framework for the fair valuation of participating life insurance contracts (Actuarial Research Paper No. 157). London, UK: Faculty of Actuarial Science & Insurance, City University London.
Ballotta, L. & 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. & Haberman, S. (2003). Pricing of guaranteed annuity conversion options.. INSURANCE MATHEMATICS & ECONOMICS, 32(1), pp. 87-108.
Haberman, S., Ballotta, L. & Wang, N. (2003). Modelling and valuation of guarantees in with-profit and unitised with-profit life insurance contracts (Actuarial Research Paper No. 146). London, UK: Faculty of Actuarial Science & Insurance, City University London.
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. & Kyprianou, A.E. (2001). A note on the alpha-quantile option. Applied Mathematical Finance, 8(3), pp. 137-144. doi: 10.1080/13504860210122375
Ballotta, L. & Kyprianou, A.E. (2000). A note on α-quantile option (Actuarial Research Paper No. 128). London, UK: Faculty of Actuarial Science & Insurance, City University London.