Laura Ballotta

Sir John Cass Business School - City, University of London

Reader in Financial Mathematics

Faculty of Finance

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

http://www.city.ac.uk/people/academics/laura-ballotta

  • Sir John Cass Business School - City, University of London

SCHOLARLY PAPERS

25

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CITATIONS
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20

Scholarly Papers (25)

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1.

A Gentle Introduction to Value at Risk

Number of pages: 86 Posted: 28 Mar 2017
Laura Ballotta and Gianluca Fusai
Sir John Cass Business School - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 1,550 (10,691)

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Value at Risk, Parametric, Non Parametric, Delta-Gamma, Portfolio Modelling, Backtesting

2.

Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction

Number of pages: 319 Posted: 10 Jun 2018
Laura Ballotta and Gianluca Fusai
Sir John Cass Business School - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 1,469 (11,636)

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Stochastic Calculus, Heston model, Jump models, Brownian motion, mathematical finance

3.

A Gentle Introduction to Default Risk and Counterparty Credit Modelling

Number of pages: 57 Posted: 01 Aug 2016
Laura Ballotta, Gianluca Fusai and Marina Marena
Sir John Cass Business School - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Downloads 1,373 (12,992)

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Credit Value Adjustment, Debt Value Adjustment, Netting Collateral, Default Risk, Probability of Default

4.

A Note on Multivariate Asset Models Using Levy Processes

Number of pages: 5 Posted: 06 Jul 2008 Last Revised: 17 Jan 2010
Laura Ballotta
Sir John Cass Business School - City, University of London
Downloads 523 (51,086)
Citation 3

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Jump Diffusion process, Levy processes, multinames contingent claims, time changed Brownian motions

5.

Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates

Quantitative Finance, 2015, 15(1), 115-129
Number of pages: 23 Posted: 04 Jul 2009 Last Revised: 09 Feb 2019
Laura Ballotta and Ioannis Kyriakou
Sir John Cass Business School - City, University of London and City University London - Sir John Cass Business School
Downloads 513 (52,316)
Citation 1

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Convertible bonds pricing, Stochastic interest rates, Affine jump diffusion model, Optimal call strategy

6.

Monte Carlo Simulation of the CGMY Process and Option Pricing

Journal of Futures Markets, 2014, 34(12), 1095-1121
Number of pages: 44 Posted: 31 Oct 2011 Last Revised: 14 Jul 2015
Laura Ballotta and Ioannis Kyriakou
Sir John Cass Business School - City, University of London and City University London - Sir John Cass Business School
Downloads 493 (54,981)

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CGMY process, Fourier transform, Monte Carlo simulation, Multivariate asset model, Option pricing

7.

Investment Strategies and Risk Management for Participating Life Insurance Contracts

Number of pages: 24 Posted: 16 Apr 2009
Laura Ballotta and Steven Haberman
Sir John Cass Business School - City, University of London and City University London - Faculty of Actuarial Science
Downloads 478 (57,231)

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asset allocation, fair valuation, Monte Carlo methods, participating contracts, solvency requirements, TVaR

8.

Multivariate Asset Models Using Levy Processes and Applications

Forthcoming in The European Journal of Finance (2014), Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 39 Posted: 22 Oct 2010 Last Revised: 21 Apr 2015
Laura Ballotta and Efrem Bonfiglioli
Sir John Cass Business School - City, University of London and City University London - Sir John Cass Business School
Downloads 476 (57,547)

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Jump Diffusion process, Levy processes, model calibration, multinames derivative contracts, subordinated Brownian motions, time changed Levy processes

9.

Modelling the Fair Value of Annuities Contracts: The Impact of Interest Rate Risk and Mortality Risk

Number of pages: 22 Posted: 11 Jun 2007
Laura Ballotta, Giorgia Esposito and Steven Haberman
Sir John Cass Business School - City, University of London, University of Rome I - Department of Actuarial and Financial Sciences and City University London - Faculty of Actuarial Science
Downloads 455 (60,816)

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annuity contracts, fair value, market value margin, stochastic mortality

10.

Modelling and Valuation of Guarantees in With-Profit and Unitised with Profit Life Insurance Contracts

Cass Business School Research Paper
Number of pages: 27 Posted: 28 Nov 2005
Steven Haberman, Laura Ballotta and Nan Wang
City University London - Faculty of Actuarial Science, Sir John Cass Business School - City, University of London and City University London - Faculty of Actuarial Science
Downloads 341 (85,522)
Citation 2

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Contingent Claim theory, Fair valuation, Participating contracts

11.

Integrated Structural Approach to Credit Value Adjustment

Number of pages: 36 Posted: 21 Dec 2015 Last Revised: 05 May 2018
Laura Ballotta, Gianluca Fusai and Daniele Marazzina
Sir John Cass Business School - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Polytechnic University of Milan - Department of Mathematics
Downloads 278 (106,905)

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Counterparty Credit Risk, Collateral, Dependence, Gap Risk, Initial Margin, Lévy Processes, Netting

12.

Multivariate FX Models with Jumps: Triangles, Quantos and Implied Correlation

Forthcoming, European Journal of Operational Research
Number of pages: 40 Posted: 14 Feb 2017
Laura Ballotta, Griselda Deelstra and Grégory Rayée
Sir John Cass Business School - City, University of London, Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 220 (135,670)

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Option pricing, Calibration procedure, Implied correlation, Multivariate L´evy processes, Quanto products

13.

Quanto Implied Correlation in a Multi-Lévy Framework

Number of pages: 25 Posted: 24 Feb 2015 Last Revised: 22 Oct 2015
Laura Ballotta, Griselda Deelstra and Grégory Rayée
Sir John Cass Business School - City, University of London, Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 207 (143,741)

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FX risk, implied correlation, multivariate Lévy processes, Quanto products, triangular relation, Variance Gamma process

14.

Counterparty Credit Risk in a Multivariate Structural Model with Jumps

Number of pages: 39 Posted: 09 Feb 2013 Last Revised: 11 Oct 2014
Laura Ballotta and Gianluca Fusai
Sir John Cass Business School - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 205 (145,014)

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Counterparty Risk, Credit Value Adjustment, Debt Value Adjustment, Levy Processes, Normal Inverse Gaussian, Wrong Way Risk

15.

Efficient Pricing of Ratchet Equity Indexed Annuities in a VG Economy

Number of pages: 12 Posted: 21 May 2008 Last Revised: 31 Aug 2009
Laura Ballotta
Sir John Cass Business School - City, University of London
Downloads 197 (150,488)

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Asian options, Edgeworth expansion, Equity Indexed Annuities, risk neutral valuation, Randomized Quasi-Monte Carlo, variance reduction techniques

16.

Smiles & Smirks: A Tale of Factors

Number of pages: 43 Posted: 06 Jun 2017 Last Revised: 08 Nov 2018
Laura Ballotta and Grégory Rayée
Sir John Cass Business School - City, University of London and Université Libre de Bruxelles (ULB)
Downloads 177 (165,847)

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Stochastic Leverage, Stochastic Volatility, Time Changed Lévy Process, Affine, Out-Of-Sample

17.

Pricing and Capital Requirements for With Profit Contracts: Modelling Considerations

Number of pages: 27 Posted: 03 May 2007
Laura Ballotta
Sir John Cass Business School - City, University of London
Downloads 173 (169,337)
Citation 2

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fair value, incomplete markets, Levy processes, Monte Carlo simulation, participating contracts, solvency requirements

18.

Estimation of Multivariate Asset Models with Jumps

Number of pages: 33 Posted: 21 Apr 2015 Last Revised: 21 Sep 2018
Angela Loregian, Laura Ballotta, Gianluca Fusai and Marcos Fabricio Perez
ARPM, Sir John Cass Business School - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Wilfrid Laurier University - School of Business & Economics
Downloads 163 (178,271)

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Multivariate Lévy models, Jump models, Factor models, Principal Components, Maximum Likelihood, EM algorithm, Intra-horizon Value at Risk

19.

Hidden Correlations: A Self-Exciting Tale from the FX World

Number of pages: 33 Posted: 27 Sep 2018
Laura Ballotta and Alessandro Morico
Sir John Cass Business School - City, University of London and City University London - Sir John Cass Business School
Downloads 56 (360,840)

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Volatility Skew, Time-Changed Lévy Processes, Affine

20.

Hedging of Asian Options under Exponential Lévy Models: Computation and Performance

The European Journal of Finance, 2017, 23(4), 297-323
Number of pages: 42 Posted: 12 Jun 2012 Last Revised: 11 Feb 2019
Laura Ballotta, Russell J. Gerrard and Ioannis Kyriakou
Sir John Cass Business School - City, University of London, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 53 (370,185)

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Arithmetic Asian options, Discrete monitoring, Price sensitivities, Lévy processes, Hedging error, Model misspecification

21.

Guarantees in With-Profit and Unitized With-Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option

Journal of Risk and Insurance, Vol. 73, No. 1, pp. 97-121, March 2006
Number of pages: 25 Posted: 08 May 2006
Laura Ballotta, Steven Haberman and Nan Wang
Sir John Cass Business School - City, University of London, City University London - Faculty of Actuarial Science and City University London - Faculty of Actuarial Science
Downloads 18 (521,334)
Citation 12
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22.

Variable Annuities in a Lévy-based hybrid model with Surrender risk

Number of pages: 41
Laura Ballotta, Ernst Eberlein, Thorsten Schmidt and Raghid Zeineddine
Sir John Cass Business School - City, University of London, University of Freiburg, University of Freiburg and affiliation not provided to SSRN
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Finance, Variable Annuities, Hybrid models, Lévy processes, Surrender Risk

23.

Valuation of Guaranteed Annuity Conversion Options

Insurance: Mathematics and Economics, Vol. 33, pp. 87-108, 2003, Cass Business School Research Paper
Posted: 08 Nov 2005
Laura Ballotta and Steven Haberman
Sir John Cass Business School - City, University of London and City University London - Faculty of Actuarial Science

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Guaranteed annuity option, Heath-Jarrow-Morton model, Risk-neutral valuation

24.

The IASB Insurance Project for Life Insurance Contracts: Impact on Reserving Methods and Solvency Requirements

Insurance: Mathematics and Economics, Vol. 39, No. 3, 2006
Posted: 03 Nov 2005 Last Revised: 24 Aug 2014
Laura Ballotta, Giorgia Esposito and Steven Haberman
Sir John Cass Business School - City, University of London, University of Rome I - Department of Actuarial and Financial Sciences and City University London - Faculty of Actuarial Science

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Black-Scholes option pricing formula, fair value, L'evy processes, mathematical reserves, participating contracts, shortfall probability, solvency requirements

25.

A Levy Process-Based Framework for the Fair Valuation of Participating Life Insurance Contracts

Insurance: Mathematics and Economics, Vol. 37, No. 2, pp. 173-196, 2005, Cass Business School Research Paper
Posted: 01 Nov 2005
Laura Ballotta
Sir John Cass Business School - City, University of London

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Esscher transform; Fair value, Incomplete markets, Levy processes, Participating contracts