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Ballotta, Laura's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,525 |
Total
Citations
19 |
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1.
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Ballotta, Laura
City University London - Sir John Cass Business School
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06 Jul 08
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Last Revised:
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17 Jan 10
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474
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3
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Jump Diffusion process, Levy processes, multinames contingent claims, time changed Brownian motions
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2.
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Ballotta, Laura
City University London - Sir John Cass Business School Esposito, Giorgia
University of Rome I - Department of Actuarial and Financial Sciences Haberman, Steven
City University London - Faculty of Actuarial Science
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390
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annuity contracts, fair value, market value margin, stochastic mortality
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3.
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Ballotta, Laura
City University London - Sir John Cass Business School Haberman, Steven
City University London - Faculty of Actuarial Science
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356
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asset allocation, fair valuation, Monte Carlo methods, participating contracts, solvency requirements, TVaR
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4.
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Ballotta, Laura
City University London - Sir John Cass Business School Kyriakou, Ioannis
City University London - Sir John Cass Business School
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04 Jul 09
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Last Revised:
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31 Oct 11
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331
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1
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Convertible bonds pricing, jump diffusion model, stochastic interest rates, optimal call strategy
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5.
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Haberman, Steven
City University London - Faculty of Actuarial Science Ballotta, Laura
City University London - Sir John Cass Business School Wang, Nan
City University London - Faculty of Actuarial Science
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254
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2
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Contingent Claim theory, Fair valuation, Participating contracts
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6.
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Ballotta, Laura
City University London - Sir John Cass Business School Bonfiglioli, Efrem
City University London - Sir John Cass Business School
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22 Oct 10
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Last Revised:
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12 Feb 13
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208
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1
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Jump Diffusion process, Levy processes, model calibration, multinames derivative contracts, subordinated Brownian motions, time changed Levy processes
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7.
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Ballotta, Laura
City University London - Sir John Cass Business School
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21 May 08
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Last Revised:
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31 Aug 09
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171
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Asian options, Edgeworth expansion, Equity Indexed Annuities, risk neutral valuation, Randomized Quasi-Monte Carlo, variance reduction techniques
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8.
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Ballotta, Laura
City University London - Sir John Cass Business School
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163
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2
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fair value, incomplete markets, Levy processes, Monte Carlo simulation, participating contracts, solvency requirements
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9.
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Ballotta, Laura
City University London - Sir John Cass Business School Haberman, Steven
City University London - Faculty of Actuarial Science Wang, Nan
City University London - Faculty of Actuarial Science
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17
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10
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10.
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Ballotta, Laura
City University London - Sir John Cass Business School Haberman, Steven
City University London - Faculty of Actuarial Science
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Guaranteed annuity option, Heath-Jarrow-Morton model, Risk-neutral valuation
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11.
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Ballotta, Laura
City University London - Sir John Cass Business School
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Esscher transform; Fair value, Incomplete markets, Levy processes, Participating contracts
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12.
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Ballotta, Laura
City University London - Sir John Cass Business School Kyriakou, Ioannis
City University London - Sir John Cass Business School
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CGMY process, Fourier transform, Monte Carlo simulation, Multivariate asset model, Option pricing
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