Laura Ballotta
Names
| first: |
Laura |
| last: |
Ballotta |
Identifer
Contact
Affiliations
-
City University
/ Bayes Business School
Research profile
author of:
- Variable annuities in a L\'evy-based hybrid model with surrender risk (RePEc:arx:papers:1905.09596)
by Laura Ballotta & Ernst Eberlein & Thorsten Schmidt & Raghid Zeineddine - Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option (RePEc:bla:jrinsu:v:73:y:2006:i:1:p:97-121)
by Laura Ballotta & Steven Haberman & Nan Wang - Counterparty credit risk in a multivariate structural model with jumps (RePEc:cai:finpug:fina_361_0039)
by Laura Ballotta & Gianluca Fusai - Estimation of Multivariate Asset Models with Jumps (RePEc:cup:jfinqa:v:54:y:2019:i:05:p:2053-2083_00)
by Ballotta, Laura & Fusai, Gianluca & Loregian, Angela & Perez, M. Fabricio - Multivariate FX models with jumps: Triangles, Quantos and implied correlation (RePEc:eee:ejores:v:260:y:2017:i:3:p:1181-1199)
by Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory - Integrated structural approach to Credit Value Adjustment (RePEc:eee:ejores:v:272:y:2019:i:3:p:1143-1157)
by Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele - Smiles & smirks: Volatility and leverage by jumps (RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161)
by Ballotta, Laura & Rayée, Grégory - Multivariate additive subordination with applications in finance (RePEc:eee:ejores:v:321:y:2025:i:3:p:1004-1020)
by Amici, Giovanni & Ballotta, Laura & Semeraro, Patrizia - Fourier based methods for the management of complex life insurance products (RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341)
by Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid - Valuation of guaranteed annuity conversion options (RePEc:eee:insuma:v:33:y:2003:i:1:p:87-108)
by Ballotta, Laura & Haberman, Steven - A Lévy process-based framework for the fair valuation of participating life insurance contracts (RePEc:eee:insuma:v:37:y:2005:i:2:p:173-196)
by Ballotta, Laura - The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case (RePEc:eee:insuma:v:38:y:2006:i:1:p:195-214)
by Ballotta, Laura & Haberman, Steven - The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements (RePEc:eee:insuma:v:39:y:2006:i:3:p:356-375)
by Ballotta, Laura & Esposito, Giorgia & Haberman, Steven - Guaranteed annuity conversion options and their valuation (RePEc:elg:eechap:3181_7)
by Laura Ballotta & Steven Haberman - Valuation of participating contracts and risk capital assessment: the importance of market modelling (RePEc:sce:scecfa:506)
by Laura Ballotta - A note on the α-quantile option (RePEc:taf:apmtfi:v:8:y:2001:i:3:p:137-144)
by Laura Ballotta & Andreas Kyprianou - Multivariate asset models using Lévy processes and applications (RePEc:taf:eurjfi:v:22:y:2016:i:13:p:1320-1350)
by Laura Ballotta & Efrem Bonfiglioli - Hedging of Asian options under exponential Lévy models: computation and performance (RePEc:taf:eurjfi:v:23:y:2017:i:4:p:297-323)
by Laura Ballotta & Russell Gerrard & Ioannis Kyriakou - Convertible bond valuation in a jump diffusion setting with stochastic interest rates (RePEc:taf:quantf:v:15:y:2015:i:1:p:115-129)
by Laura Ballotta & Ioannis Kyriakou - Variable annuities in a Lévy-based hybrid model with surrender risk (RePEc:taf:quantf:v:20:y:2020:i:5:p:867-886)
by Laura Ballotta & Ernst Eberlein & Thorsten Schmidt & Raghid Zeineddine - Pricing and capital requirements for with profit contracts: modelling considerations (RePEc:taf:quantf:v:9:y:2009:i:7:p:803-817)
by Laura Ballotta - Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy (RePEc:taf:uaajxx:v:14:y:2010:i:3:p:355-368)
by Laura Ballotta - Monte Carlo Simulation of the CGMY Process and Option Pricing (RePEc:wly:jfutmk:v:34:y:2014:i:12:p:1095-1121)
by Laura Ballotta & Ioannis Kyriakou