Details about Laura Ballotta

Access statistics for papers by Laura Ballotta.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pba282

Working Papers

2019

1. Variable annuities in a L\'evy-based hybrid model with surrender risk
   Papers, arXiv.org View citations (1)
   See also Journal Article Variable annuities in a Lévy-based hybrid model with surrender risk, Quantitative Finance, Taylor & Francis Journals (2020) View citations (7) (2020)

2006

2. Valuation of participating contracts and risk capital assessment: the importance of market modelling
   Computing in Economics and Finance 2006, Society for Computational Economics

Journal Articles

2025

1. Multivariate additive subordination with applications in finance
   European Journal of Operational Research, 2025, 321, (3), 1004-1020

2024

2. Counting jumps: does the counting process count?
   Quantitative Finance, 2024, 24, (11), 1621-1640

2022

3. Smiles & smirks: Volatility and leverage by jumps
   European Journal of Operational Research, 2022, 298, (3), 1145-1161 View citations (2)

2021

4. Fourier based methods for the management of complex life insurance products
   Insurance: Mathematics and Economics, 2021, 101, (PB), 320-341 View citations (1)

2020

5. Variable annuities in a Lévy-based hybrid model with surrender risk
   Quantitative Finance, 2020, 20, (5), 867-886 View citations (7)
   See also Working Paper Variable annuities in a L\'evy-based hybrid model with surrender risk, Papers (2019) View citations (1) (2019)

2019

6. Estimation of Multivariate Asset Models with Jumps
   Journal of Financial and Quantitative Analysis, 2019, 54, (5), 2053-2083 View citations (9)
7. Integrated structural approach to Credit Value Adjustment
   European Journal of Operational Research, 2019, 272, (3), 1143-1157 View citations (8)

2017

8. Hedging of Asian options under exponential Lévy models: computation and performance
   The European Journal of Finance, 2017, 23, (4), 297-323 View citations (1)
9. Multivariate FX models with jumps: Triangles, Quantos and implied correlation
   European Journal of Operational Research, 2017, 260, (3), 1181-1199 View citations (10)

2016

10. Multivariate asset models using Lévy processes and applications
    The European Journal of Finance, 2016, 22, (13), 1320-1350 View citations (32)

2015

11. Convertible bond valuation in a jump diffusion setting with stochastic interest rates
    Quantitative Finance, 2015, 15, (1), 115-129 View citations (5)
12. Counterparty credit risk in a multivariate structural model with jumps
    Finance, 2015, 36, (1), 39-74 View citations (11)

2014

13. Monte Carlo Simulation of the CGMY Process and Option Pricing
    Journal of Futures Markets, 2014, 34, (12), 1095-1121 View citations (19)

2010

14. Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy
    North American Actuarial Journal, 2010, 14, (3), 355-368 View citations (5)

2009

15. Pricing and capital requirements for with profit contracts: modelling considerations
    Quantitative Finance, 2009, 9, (7), 803-817 View citations (1)

2006

16. Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option
    Journal of Risk & Insurance, 2006, 73, (1), 97-121 View citations (26)
17. The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements
    Insurance: Mathematics and Economics, 2006, 39, (3), 356-375 View citations (5)
18. The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case
    Insurance: Mathematics and Economics, 2006, 38, (1), 195-214 View citations (41)

2005

19. A Lévy process-based framework for the fair valuation of participating life insurance contracts
    Insurance: Mathematics and Economics, 2005, 37, (2), 173-196 View citations (30)

2003

20. Valuation of guaranteed annuity conversion options
    Insurance: Mathematics and Economics, 2003, 33, (1), 87-108 View citations (30)

2001

21. A note on the α-quantile option
    Applied Mathematical Finance, 2001, 8, (3), 137-144 View citations (2)

Chapters

2004

1. Guaranteed annuity conversion options and their valuation
   Chapter 7 in Developing an Annuity Market in Europe, 2004, pp 168-199