Scientific Research

An Academic Publisher

Biography |

Department of Statistical Sciences The University of Bologna, Italy
Email: luca.ballestra@unibo.it
2002 Ph.D, Applied Mathematics, Politecnico University of Milan, Italy 1998-2001 M.D., Aerospace Engineering, Politecnico of Milan, Italy
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ballestra, Luca Vincenzo, The spatial AK model and the Pontryagin maximum principle, JOURNAL OF MATHEMATICAL ECONOMICS, 2016, 67, pp. 87–94.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ballestra, Luca Vincenzo, Repeated spatial extrapolation: An extraordinarily efficient approach for option pricing, JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2014, 256, pp. 8–91.
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