Laura Ballotta

Bayes Business School (formerly Cass) - City, University of London

Professor in Mathematical Finance

Faculty of Finance

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

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

  • Bayes Business School (formerly Cass) - City, University of London

SCHOLARLY PAPERS

24

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66

Scholarly Papers (24)

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1.

Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction

Number of pages: 319 Posted: 10 Jun 2018
Laura Ballotta and Gianluca Fusai
Bayes Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 4,389 (4,635)

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

2.

A Gentle Introduction to Value at Risk

Number of pages: 86 Posted: 28 Mar 2017
Laura Ballotta and Gianluca Fusai
Bayes Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 2,533 (11,290)
Citation 2

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

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
Bayes Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Downloads 2,392 (12,368)
Citation 1

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

4.

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
Bayes Business School (formerly Cass) - City, University of London and Bayes Business School (formerly Cass), City, University of London
Downloads 708 (73,640)
Citation 2

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

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
Bayes Business School (formerly Cass) - City, University of London and Bayes Business School (formerly Cass), City, University of London
Downloads 672 (78,643)
Citation 2

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

6.

Investment Strategies and Risk Management for Participating Life Insurance Contracts

Number of pages: 24 Posted: 16 Apr 2009
Laura Ballotta and Steven Haberman
Bayes Business School (formerly Cass) - City, University of London and City University London - Faculty of Actuarial Science
Downloads 595 (91,808)

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

7.

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
Bayes Business School (formerly Cass) - City, University of London and City University London - The Business School
Downloads 578 (95,217)
Citation 3

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

8.

A Note on Multivariate Asset Models Using Levy Processes

Number of pages: 5 Posted: 06 Jul 2008 Last Revised: 17 Jan 2010
Laura Ballotta
Bayes Business School (formerly Cass) - City, University of London
Downloads 566 (97,878)
Citation 6

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

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
Bayes Business School (formerly Cass) - City, University of London, University of Rome I - Department of Actuarial and Financial Sciences and City University London - Faculty of Actuarial Science
Downloads 517 (109,435)
Citation 1

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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, Bayes Business School (formerly Cass) - City, University of London and City University London - Faculty of Actuarial Science
Downloads 449 (129,494)
Citation 18

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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
Bayes Business School (formerly Cass) - 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 368 (162,588)
Citation 5

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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
Bayes Business School (formerly Cass) - City, University of London, Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 285 (213,729)
Citation 4

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

13.

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 M. Fabricio Perez
affiliation not provided to SSRN, Bayes Business School (formerly Cass) - 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 277 (220,140)
Citation 4

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

14.

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
Bayes Business School (formerly Cass) - City, University of London, Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 276 (220,961)
Citation 1

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

15.

Smiles & Smirks: A Tale of Factors

Number of pages: 43 Posted: 06 Jun 2017 Last Revised: 08 Nov 2018
Laura Ballotta and Grégory Rayée
Bayes Business School (formerly Cass) - City, University of London and Université Libre de Bruxelles (ULB)
Downloads 274 (222,504)
Citation 3

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

16.

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
Bayes Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 257 (237,268)
Citation 4

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

17.

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
Bayes Business School (formerly Cass) - City, University of London
Downloads 236 (258,041)
Citation 3

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

18.

Pricing and Capital Requirements for With Profit Contracts: Modelling Considerations

Number of pages: 27 Posted: 03 May 2007
Laura Ballotta
Bayes Business School (formerly Cass) - City, University of London
Downloads 204 (296,022)
Citation 2

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

19.

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
Bayes Business School (formerly Cass) - City, University of London, City University London - The Business School and Bayes Business School (formerly Cass), City, University of London
Downloads 131 (431,618)
Citation 1

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

20.

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

Number of pages: 33 Posted: 27 Sep 2018
Laura Ballotta and Alessandro Morico
Bayes Business School (formerly Cass) - City, University of London and City University London - The Business School
Downloads 129 (439,411)

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Volatility Skew, Time-Changed Lévy Processes, Affine

21.

Variable Annuities in a Lévy-Based Hybrid Model With Surrender Risk

Number of pages: 41 Posted: 10 Jun 2019
Laura Ballotta, Ernst Eberlein, Thorsten Schmidt and Raghid Zeineddine
Bayes Business School (formerly Cass) - City, University of London, University of Freiburg, University of Freiburg and affiliation not provided to SSRN
Downloads 93 (552,733)
Citation 4

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Finance, Variable Annuities, Hybrid models, Lévy processes, Surrender Risk

22.

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
Bayes Business School (formerly Cass) - 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

23.

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
Bayes Business School (formerly Cass) - 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

24.

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
Bayes Business School (formerly Cass) - City, University of London

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