Laura Ballotta

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Steven HabermanProfessor of Actuarial Science, Bayes Business School (formerly Cass), City, University of LondonVerified email at city.ac.uk
Gianluca FusaiPiemonte OrientaleVerified email at eco.unipmn.it
Ioannis KyriakouProfessor of Actuarial Finance, Bayes Business School, City St George's, University of LondonVerified email at city.ac.uk
Rayée GrégoryUniversité Libre de BruxellesVerified email at ulb.ac.be
Daniele MarazzinaPolitecnico di MilanoVerified email at polimi.it
Griselda DeelstraUniversité libre de BruxellesVerified email at ulb.ac.be
Thorsten SchmidtProfessur für Finanzmathematik, TU ChemnitzVerified email at mathematik.tu-chemnitz.de
Ernst EberleinProfessor für Mathematische Stochastik und Finanzmathematik, Universität FreiburgVerified email at stochastik.uni-freiburg.de
Panos K PouliasisReader in Energy Commodities Finance (Bayes Business School, City, University of London)Verified email at city.ac.uk
Nikos C. PapapostolouReader in Shipping FinanceVerified email at city.ac.uk
Andreas KyprianouProfessor of Probability Theory, University of WarwickVerified email at warwick.ac.uk
M. Fabricio PerezProfessor of Finance, Wilfrid Laurier UniversityVerified email at wlu.ca
Giovanni AmiciPhD candidate, Politecnico di TorinoVerified email at polito.it
Patrizia SemeraroProfessor, Department of Mathematical Science, Politecnico di TorinoVerified email at polito.it

Laura Ballotta

Professor of Mathematical Finance, Bayes Business School (formerly Cass)

Verified email at city.ac.uk

Mathematical Finance Levy processes Financial Engineering Risk Management


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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	170	2006
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	124	2006
Valuation of guaranteed annuity conversion options L Ballotta, S Haberman Insurance: Mathematics and Economics 33 (1), 87-108, 2003	118	2003
Multivariate asset models using Lévy processes and applications L Ballotta, E Bonfiglioli European Journal of Finance, 2014	117	2014
Monte Carlo simulation of the CGMY process and option pricing L Ballotta, I Kyriakou Journal of Futures Markets 34 (12), 1095-1121, 2014	51	2014
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	39	2020
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	32	2006
Counterparty credit risk in a multivariate structural model with jumps L Ballotta, G Fusai Finance 36 (1), 39-74, 2015	29	2015
Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates L Ballotta, I Kyriakou Quantitative Finance, 2014	28*	2014
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	21	2020
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
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	14	2009
A gentle introduction to value at risk L Ballotta, G Fusai Available at SSRN 2942138, 2017	13	2017
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	13	2017
Smiles & smirks: Volatility and leverage by jumps L Ballotta, G Rayée European Journal of Operational Research 298 (3), 1145-1161, 2022	12*	2022

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