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Laura Ballotta
Laura Ballotta
Professor of Mathematical Finance, Bayes Business School (formerly Cass)
E-mail confirmado em city.ac.uk
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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
1682006
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
125*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
1212006
Valuation of guaranteed annuity conversion options
L Ballotta, S Haberman
Insurance: Mathematics and Economics 33 (1), 87-108, 2003
1162003
Multivariate asset models using Lévy processes and applications
L Ballotta, E Bonfiglioli
European Journal of Finance, 2014
1102014
Monte Carlo simulation of the CGMY process and option pricing
L Ballotta, I Kyriakou
Journal of Futures Markets 34 (12), 1095-1121, 2014
482014
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
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
332020
Integrated structural approach to credit value adjustment
L Ballotta, G Fusai, D Marazzina
European Journal of Operational Research 272 (3), 1143-1157, 2019
32*2019
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
312006
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
30*2017
Counterparty credit risk in a multivariate structural model with jumps
L Ballotta 1, G Fusai 2
Finance 36 (1), 39-74, 2015
302015
Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates
L Ballotta, I Kyriakou
Quantitative Finance, 2014
26*2014
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
18*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
142009
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
132020
A gentle introduction to value at risk
L Ballotta, G Fusai
Available at SSRN 2942138, 2017
132017
A note on the α-quantile option
L Ballotta, AE Kyprianou
Applied Mathematical Finance 8 (3), 137-144, 2001
12*2001
Dynamic financial analysis and risk-based capital for a general insurer
L Ballotta, N Savelli
Transactions XXVIII International Congress of Actuaries, Paris, 2006
11*2006
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Artigos 1–20