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Biography

Associate Professor Luca Vincenzo Ballestra

Department of Statistical Sciences

The University of Bologna, Italy


Email: luca.ballestra@unibo.it


Qualifications

2002 Ph.D, Applied Mathematics, Politecnico University of Milan, Italy

1998-2001 M.D., Aerospace Engineering, Politecnico of Milan, Italy


Publications (Selected)

  1. Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide, A note on Fergusson and Platen, Application of maximum likelihood estimation to stochastic short rate models, ANNALS OF FINANCIAL ECONOMICS, accepted for publication, in press.
  2. Andreoli, Alessandro; Ballestra, Luca Vincenzo; Pacelli, Graziella, Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach, COMPUTATIONAL ECONOMICS, online first, DOI: 10.1007/s10614-016-9608-x.
  3. Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide, Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market, QUANTITATIVE FINANCE, 2016, online first, pp. 1–15.
  4. Ballestra, Luca Vincenzo; Cecere, Liliana, A fast numerical method to price American options under the Bates model, COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2016, 72, pp. 1305–1319.
  5. Ballestra, Luca Vincenzo; Cecere, Liliana, A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE, CHAOS, SOLITONS AND FRACTALS, 2016, 88, pp. 100–106.
  6. Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide, A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion, CHAOS, SOLITONS AND FRACTALS, 2016, 87, pp. 240–248.
  7. Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide, A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance, PHYSICA. A, 2016, 463, pp. 330–344.
  8. Andreoli, Alessandro; Ballestra, Luca Vincenzo; Pacelli, Graziella, From insurance risk to credit portfolio management: a new approach to pricing CDOs, QUANTITATIVE FINANCE, 2016, 16, pp. 1495–1510.
  9. Ballestra, Luca Vincenzo, The spatial AK model and the Pontryagin maximum principle, JOURNAL OF MATHEMATICAL ECONOMICS, 2016, 67, pp. 87–94.
  10. Ahmadian, Davod; Ballestra, Luca Vincenzo, A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion, INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2015, 92, pp. 2310–2328.
  11. Andreoli, Alessandro; Ballestra, Luca Vincenzo; Pacelli, Graziella, Computing survival probabilities based on stochastic differential models, JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2015, 277, pp. 127–137.
  12. Ballestra, Luca Vincenzo; Cecere, Liliana, Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley, FINANCE RESEARCH LETTERS, 2015, 14, pp. 45–55.
  13. Rad, Jamal Amani; Parand, Kourosh; Ballestra, Luca Vincenzo, Pricing European and American options by radial basis point interpolation, APPLIED MATHEMATICS AND COMPUTATION, 2015, 251, pp. 363–377.
  14. Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide, The impact of the interest rate volatility on the valuation of investment strategies, INTERNATIONAL JOURNAL OF MANAGEMENT CASES, 2015, 17, pp. 35–44.
  15. Golbabai, Ahmad; Ballestra, Luca Vincenzo; Ahmadian, Davod, A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options, COMPUTATIONAL ECONOMICS, 2014, 44, pp. 153–173.
  16. Ballestra, Luca Vincenzo; Pacelli, Graziella, A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate, APPLIED NUMERICAL MATHEMATICS, 2014, 77, pp. 1–15.
  17. Ballestra, Luca Vincenzo; Del Giudice, Manlio; Della Peruta, Maria Rosaria, An analysis of a model for the diffusion of engineering innovations under multi-firm competition, INTERNATIONAL JOURNAL OF TECHNOLOGY MANAGEMENT, 2014, 66, pp. 346–357.
  18. Ballestra, Luca Vincenzo, Repeated spatial extrapolation: An extraordinarily efficient approach for option pricing, JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2014, 256, pp. 8–91.


Personal Website:

https://www.unibo.it/sitoweb/luca.ballestra/en