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 0 27 0 0 5 27
A multi-factor model for improved commodity pricing: Calibration and an application to the oil market 0 0 5 10 0 2 30 41
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps 0 0 0 3 0 1 27 37
GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance 0 1 2 8 0 3 13 25
Total Working Papers 0 1 7 48 0 6 75 130

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 0 26 0 1 8 79
A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model 0 0 0 32 0 1 7 144
A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options 0 0 0 1 0 1 6 10
A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE 0 0 1 8 0 0 13 39
A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model 0 0 0 75 0 0 7 190
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion 0 0 0 2 0 1 7 13
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 1 10 40
An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk 0 0 0 8 0 1 10 51
Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market 0 0 1 4 0 2 9 21
Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods 0 1 1 5 0 2 7 16
Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation 0 0 0 2 2 5 12 28
Fast and accurate calculation of American option prices 0 1 5 29 0 1 19 68
Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators 0 0 0 35 0 0 16 103
From insurance risk to credit portfolio management: a new approach to pricing CDOs 0 0 0 6 0 1 8 24
Hotel dynamic pricing, stochastic demand and covid-19 0 0 0 0 1 3 29 43
Integrating narrow and wide framing disposition effect: A novel approach incorporating perceived risk and realized asset performance 0 1 3 4 3 5 26 42
Investor reaction to IFRS for financial instruments in Europe: The role of firm-specific factors 0 0 0 42 3 3 16 136
Modeling CDS spreads: A comparison of some hybrid approaches 0 0 3 15 0 0 18 59
Multivariate GARCH models with spherical parameterizations: an oil price application 0 0 2 2 0 3 15 16
On a variational formulation used in credit risk modeling 0 0 0 21 0 0 6 92
Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley 0 0 0 10 0 0 8 59
Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach 0 0 0 14 0 0 11 75
Pricing European and American options by radial basis point interpolation 0 0 0 1 0 2 12 28
Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach 1 1 2 55 2 2 14 215
Reverse engineering the last-minute on-line pricing practices: an application to hotels 0 0 0 1 0 2 13 15
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options 0 1 1 1 0 4 17 20
Stability Switches and Hopf Bifurcation in a Kaleckian Model of Business Cycle 0 0 0 1 0 2 4 9
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 5 19
The constant elasticity of variance model: calibration, test and evidence from the Italian equity market 0 1 4 155 1 5 16 395
The impact of education on the Energy Trilemma Index: A sustainable innovativeness perspective for resilient energy systems 0 0 0 6 1 3 18 45
The spatial AK model and the Pontryagin maximum principle 2 2 3 17 2 2 12 95
Valuing investment projects under interest rate risk: empirical evidence from European firms 0 0 1 7 0 1 4 28
Valuing risky debt: A new model combining structural information with the reduced-form approach 0 0 0 18 0 0 17 82
Total Journal Articles 3 8 27 615 15 54 400 2,299

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Statistics updated 2026-10-11