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 2 27 0 2 9 24
A multi-factor model for improved commodity pricing: Calibration and an application to the oil market 1 2 7 7 3 6 17 17
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps 0 0 0 3 4 23 23 33
GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance 0 0 0 6 4 5 5 17
Total Working Papers 1 2 9 43 11 36 54 91

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” 0 0 2 26 1 2 6 73
A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model 0 0 1 32 0 2 4 139
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 0 0 3 4
A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE 0 0 2 7 2 3 7 29
A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model 0 0 1 75 1 3 6 186
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion 0 0 1 2 2 3 5 9
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 2 2 32
An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk 0 0 0 8 2 3 3 44
Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market 0 0 1 3 2 2 4 14
Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods 0 0 2 4 0 1 5 10
Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation 0 0 1 2 2 5 9 21
Fast and accurate calculation of American option prices 0 0 3 24 2 3 9 52
Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators 0 0 2 35 3 4 10 91
From insurance risk to credit portfolio management: a new approach to pricing CDOs 0 0 0 6 1 3 6 19
Hotel dynamic pricing, stochastic demand and covid-19 0 0 0 0 10 11 16 25
Integrating narrow and wide framing disposition effect: A novel approach incorporating perceived risk and realized asset performance 0 1 2 2 0 7 12 23
Investor reaction to IFRS for financial instruments in Europe: The role of firm-specific factors 0 0 0 42 3 4 7 124
Modeling CDS spreads: A comparison of some hybrid approaches 0 1 3 13 1 4 11 45
Multivariate GARCH models with spherical parameterizations: an oil price application 0 1 1 1 2 3 4 4
On a variational formulation used in credit risk modeling 0 0 1 21 1 1 3 87
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 5 6 56
Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach 0 0 0 14 1 3 5 67
Pricing European and American options by radial basis point interpolation 0 0 0 1 2 3 6 19
Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach 0 0 0 53 3 6 9 207
Reverse engineering the last-minute on-line pricing practices: an application to hotels 0 0 1 1 3 4 5 6
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options 0 0 0 0 0 2 5 5
Stability Switches and Hopf Bifurcation in a Kaleckian Model of Business Cycle 0 0 0 1 1 1 1 6
THE HESTON STOCHASTIC VOLATILITY MODEL FOR SINGLE ASSETS AND FOR ASSET PORTFOLIOS: PARAMETER ESTIMATION AND AN APPLICATION TO THE ITALIAN FINANCIAL MARKET 0 0 0 10 0 0 0 14
The constant elasticity of variance model: calibration, test and evidence from the Italian equity market 1 1 1 152 1 1 2 380
The impact of education on the Energy Trilemma Index: A sustainable innovativeness perspective for resilient energy systems 0 0 2 6 1 1 6 28
The spatial AK model and the Pontryagin maximum principle 0 1 2 15 0 3 8 86
Valuing investment projects under interest rate risk: empirical evidence from European firms 0 1 1 7 0 3 4 27
Valuing risky debt: A new model combining structural information with the reduced-form approach 0 0 0 18 1 11 11 76
Total Journal Articles 1 6 32 594 48 109 200 2,008

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Statistics updated 2026-01-09