Access Statistics for Luca Vincenzo Ballestra

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A GARCH model with two volatility components and two driving factors 0 0 27 27 2 3 22 22
A multi-factor model for improved commodity pricing: Calibration and an application to the oil market 0 0 5 5 0 3 11 11
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps 0 0 0 3 0 0 1 10
GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance 0 0 6 6 0 0 12 12
Total Working Papers 0 0 38 41 2 6 46 55

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NOTE ON FERGUSSON AND PLATEN: “APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS” 1 1 5 26 1 1 8 71
A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model 0 0 1 32 0 1 3 137
A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options 0 0 1 1 1 1 4 4
A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE 0 0 3 7 0 0 5 25
A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model 0 0 1 75 0 0 4 183
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion 1 1 1 2 2 2 3 6
A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance 0 0 0 2 0 0 0 30
An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk 0 0 0 8 0 0 1 41
Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market 0 0 1 3 0 0 2 12
Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods 0 0 2 4 0 0 5 9
Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation 1 1 1 2 1 2 3 14
Fast and accurate calculation of American option prices 1 1 3 23 1 3 8 48
Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators 2 2 3 35 4 5 7 86
From insurance risk to credit portfolio management: a new approach to pricing CDOs 0 0 1 6 0 0 3 15
Hotel dynamic pricing, stochastic demand and covid-19 0 0 0 0 0 2 4 12
Integrating narrow and wide framing disposition effect: A novel approach incorporating perceived risk and realized asset performance 0 0 1 1 1 3 13 15
Investor reaction to IFRS for financial instruments in Europe: The role of firm-specific factors 0 0 1 42 0 1 5 118
Modeling CDS spreads: A comparison of some hybrid approaches 0 1 3 12 0 2 9 40
Multivariate GARCH models with spherical parameterizations: an oil price application 0 0 0 0 1 1 1 1
On a variational formulation used in credit risk modeling 0 0 1 21 0 0 2 86
Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley 0 0 1 10 0 0 1 51
Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach 0 0 0 14 0 1 1 63
Pricing European and American options by radial basis point interpolation 0 0 0 1 0 0 1 14
Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach 0 0 0 53 0 0 6 198
Reverse engineering the last-minute on-line pricing practices: an application to hotels 1 1 1 1 1 1 2 2
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options 0 0 0 0 0 1 1 1
Stability Switches and Hopf Bifurcation in a Kaleckian Model of Business Cycle 0 0 0 1 0 0 0 5
THE HESTON STOCHASTIC VOLATILITY MODEL FOR SINGLE ASSETS AND FOR ASSET PORTFOLIOS: PARAMETER ESTIMATION AND AN APPLICATION TO THE ITALIAN FINANCIAL MARKET 0 0 2 10 0 0 2 14
The constant elasticity of variance model: calibration, test and evidence from the Italian equity market 0 0 0 151 0 0 1 379
The impact of education on the Energy Trilemma Index: A sustainable innovativeness perspective for resilient energy systems 0 0 1 5 1 1 6 26
The spatial AK model and the Pontryagin maximum principle 0 0 1 14 1 2 4 82
Valuing investment projects under interest rate risk: empirical evidence from European firms 0 0 0 6 1 1 1 24
Valuing risky debt: A new model combining structural information with the reduced-form approach 0 0 0 18 0 0 0 65
Total Journal Articles 7 8 35 586 16 31 116 1,877

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Statistics updated 2025-08-05