Details about Luca Vincenzo Ballestra

Access statistics for papers by Luca Vincenzo Ballestra.

Last updated 2025-02-19. Update your information in the RePEc Author Service.

Short-id: pba2099

Working Papers

2025

1. A multi-factor model for improved commodity pricing: Calibration and an application to the oil market
   Papers, arXiv.org

2024

2. A GARCH model with two volatility components and two driving factors
   Papers, arXiv.org
3. GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance
   Papers, arXiv.org

2021

4. Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
   Papers, arXiv.org

Journal Articles

2025

1. Multivariate GARCH models with spherical parameterizations: an oil price application
   Financial Innovation, 2025, 11, (1), 1-20

2024

2. A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options
   European Journal of Operational Research, 2024, 314, (3), 1185-1194 View citations (2)
3. Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods
   Applied Mathematics and Computation, 2024, 470, (C)
4. Integrating narrow and wide framing disposition effect: A novel approach incorporating perceived risk and realized asset performance
   Journal of Economic Behavior & Organization, 2024, 220, (C), 422-432
5. Reverse engineering the last-minute on-line pricing practices: an application to hotels
   Statistical Methods & Applications, 2024, 33, (3), 943-971
6. Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options
   Journal of Financial Econometrics, 2024, 22, (2), 375-406 View citations (2)

2023

7. The impact of education on the Energy Trilemma Index: A sustainable innovativeness perspective for resilient energy systems
   Applied Energy, 2023, 330, (PB) View citations (6)

2022

8. Hotel dynamic pricing, stochastic demand and covid-19
   Annals of Tourism Research, 2022, 97, (C) View citations (1)

2021

9. Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
   Computational Management Science, 2021, 18, (2), 239-263 View citations (1)

2020

10. Modeling CDS spreads: A comparison of some hybrid approaches
    Journal of Empirical Finance, 2020, 57, (C), 107-124 View citations (4)

2019

11. Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators
    International Journal of Forecasting, 2019, 35, (4), 1250-1262 View citations (9)

2018

12. Fast and accurate calculation of American option prices
    Decisions in Economics and Finance, 2018, 41, (2), 399-426 View citations (4)
13. Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach
    Computational Economics, 2018, 51, (3), 379-406

2017

14. Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market
    Quantitative Finance, 2017, 17, (2), 299-313 View citations (4)
15. Investor reaction to IFRS for financial instruments in Europe: The role of firm-specific factors
    Finance Research Letters, 2017, 21, (C), 72-77 View citations (5)
16. Valuing investment projects under interest rate risk: empirical evidence from European firms
    Applied Economics, 2017, 49, (56), 5662-5672

2016

17. A NOTE ON FERGUSSON AND PLATEN: “APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS”
    Annals of Financial Economics (AFE), 2016, 11, (04), 1-7 View citations (3)
18. A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE
    Chaos, Solitons & Fractals, 2016, 88, (C), 100-106 View citations (5)
19. A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
    Chaos, Solitons & Fractals, 2016, 87, (C), 240-248 View citations (9)
20. A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance
    Physica A: Statistical Mechanics and its Applications, 2016, 463, (C), 330-344 View citations (1)
21. From insurance risk to credit portfolio management: a new approach to pricing CDOs
    Quantitative Finance, 2016, 16, (10), 1495-1510 View citations (1)
22. The spatial AK model and the Pontryagin maximum principle
    Journal of Mathematical Economics, 2016, 67, (C), 87-94 View citations (9)

2015

23. Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley
    Finance Research Letters, 2015, 14, (C), 45-55 View citations (6)
24. Pricing European and American options by radial basis point interpolation
    Applied Mathematics and Computation, 2015, 251, (C), 363-377 View citations (11)

2014

25. Valuing risky debt: A new model combining structural information with the reduced-form approach
    Insurance: Mathematics and Economics, 2014, 55, (C), 261-271 View citations (9)

2013

26. Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach
    Journal of Economic Dynamics and Control, 2013, 37, (6), 1142-1167 View citations (19)
27. Stability Switches and Hopf Bifurcation in a Kaleckian Model of Business Cycle
    Abstract and Applied Analysis, 2013, 2013, 1-8 View citations (1)

2012

28. An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk
    Insurance: Mathematics and Economics, 2012, 51, (2), 442-448 View citations (1)

2011

29. The constant elasticity of variance model: calibration, test and evidence from the Italian equity market
    Applied Financial Economics, 2011, 21, (20), 1479-1487 View citations (2)

2010

30. On a variational formulation used in credit risk modeling
    Finance Research Letters, 2010, 7, (2), 110-118

2009

31. A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
    Applied Mathematical Finance, 2009, 16, (1), 17-36 View citations (2)

2007

32. A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
    Journal of Banking & Finance, 2007, 31, (11), 3420-3437 View citations (6)
33. THE HESTON STOCHASTIC VOLATILITY MODEL FOR SINGLE ASSETS AND FOR ASSET PORTFOLIOS: PARAMETER ESTIMATION AND AN APPLICATION TO THE ITALIAN FINANCIAL MARKET
    The International Journal of Business and Finance Research, 2007, 1, (2), 11-23