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Laura Ballotta

Personal Details

First Name:Laura
Middle Name:
Last Name:Ballotta
Suffix:
RePEc Short-ID:pba282
[This author has chosen not to make the email address public]
https://www.bayes.city.ac.uk/faculties-and-research/experts/laura-ballotta

Affiliation

Bayes Business School
City University

London, United Kingdom
http://www.bayes.city.ac.uk/
RePEc:edi:bscituk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Laura Ballotta & Ernst Eberlein & Thorsten Schmidt & Raghid Zeineddine, 2019. "Variable annuities in a L\'evy-based hybrid model with surrender risk," Papers 1905.09596, arXiv.org.
  2. Laura Ballotta, 2006. "Valuation of participating contracts and risk capital assessment: the importance of market modelling," Computing in Economics and Finance 2006 506, Society for Computational Economics.

Articles

  1. Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
  2. Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
  3. Laura Ballotta & Ernst Eberlein & Thorsten Schmidt & Raghid Zeineddine, 2020. "Variable annuities in a Lévy-based hybrid model with surrender risk," Quantitative Finance, Taylor & Francis Journals, vol. 20(5), pages 867-886, May.
  4. Ballotta, Laura & Fusai, Gianluca & Loregian, Angela & Perez, M. Fabricio, 2019. "Estimation of Multivariate Asset Models with Jumps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(5), pages 2053-2083, October.
  5. Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
  6. Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
  7. Laura Ballotta & Russell Gerrard & Ioannis Kyriakou, 2017. "Hedging of Asian options under exponential Lévy models: computation and performance," The European Journal of Finance, Taylor & Francis Journals, vol. 23(4), pages 297-323, March.
  8. Laura Ballotta & Efrem Bonfiglioli, 2016. "Multivariate asset models using Lévy processes and applications," The European Journal of Finance, Taylor & Francis Journals, vol. 22(13), pages 1320-1350, October.
  9. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
  10. Laura Ballotta & Gianluca Fusai, 2015. "Counterparty credit risk in a multivariate structural model with jumps," Finance, Presses universitaires de Grenoble, vol. 36(1), pages 39-74.
  11. Laura Ballotta & Ioannis Kyriakou, 2014. "Monte Carlo Simulation of the CGMY Process and Option Pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(12), pages 1095-1121, December.
  12. Laura Ballotta, 2010. "Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy," North American Actuarial Journal, Taylor & Francis Journals, vol. 14(3), pages 355-368.
  13. Laura Ballotta, 2009. "Pricing and capital requirements for with profit contracts: modelling considerations," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 803-817.
  14. Ballotta, Laura & Haberman, Steven, 2006. "The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 195-214, February.
  15. Ballotta, Laura & Esposito, Giorgia & Haberman, Steven, 2006. "The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 356-375, December.
  16. Laura Ballotta & Steven Haberman & Nan Wang, 2006. "Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(1), pages 97-121, March.
  17. Ballotta, Laura, 2005. "A Lévy process-based framework for the fair valuation of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 173-196, October.
  18. Ballotta, Laura & Haberman, Steven, 2003. "Valuation of guaranteed annuity conversion options," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 87-108, August.
  19. Laura Ballotta & Andreas Kyprianou, 2001. "A note on the α-quantile option," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(3), pages 137-144.

Chapters

  1. Laura Ballotta & Steven Haberman, 2004. "Guaranteed annuity conversion options and their valuation," Chapters, in: Elsa Fornero & Elisa Luciano (ed.), Developing an Annuity Market in Europe, chapter 7, pages 168-199, Edward Elgar Publishing.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (1) 2019-05-27

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