50 YEARS OF EXTRAORDINARY BUSINESS EDUCATION DISCOVER CASS AT 50

Faculties and Research

Portrait of Dr Laura Ballotta

Dr Laura Ballotta

Senior Lecturer in Financial Mathematics

Faculty of Finance

Contact

Visit Laura Ballotta

Room BR5092, Bunhill Row

null

Postal Address

Cass Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

Overview

Laura's research interests are in the areas of Mathematical Finance, Risk Management, and Financial Engineering, with particular focus on problems of practical relevance in current financial markets conditions, such as Counterparty Credit Risk (CCR) valuation and collateral design, and development of realistic models for the dynamics of the relevant risk drivers which also recognize the interdependence in place between them.

Laura Ballotta obtained her PhD in Mathematical and Computational Methods for Economics and Finance from the Università degli Studi di Bergamo (Italy). She has previously held positions at Università Cattolica del Sacro Cuore, Piacenza (Italy), and Department of Actuarial Science and Statistics, City University London (UK). Laura graduated with a BSc in Economics from Università Cattolica del Sacro Cuore, Piacenza (Italy), and a MSc in Financial Mathematics from the University of Edinburgh - jointly awarded with Heriot-Watt University (UK).

Qualifications

  1. BSc in Economics, Universita' Cattolica Sacro Cuore, Italy
  2. MSc in Financial Mathematics, University of Edinburgh, United Kingdom
  3. PhD in Computational Methods in Economics and Finance, Universita'degli Studi di Bergamo, Italy

Memberships of Professional Organisations

  1. Member, Bachelier Finance Society, Nov 2016 – present
  2. Fellow, The Association for Mathematics Applied to Economics and Social Sciences (AMASES), Oct 2014 – present
  3. Fellow, Istituto Italiano degli Attuari, Jan 2005 – present

Awards

  1. Cass Business School, City, University of London (2011) Teaching and Learning Prize
    for excellence in teaching at postgraduate level
  2. City University (2005) Excellence in Research
    Commendation for Excellence in Research

Languages

French, German and Italian (can read, write, speak, understand spoken and peer review).

Expertise

Primary Topics

  • Derivatives
  • Financial Engineering
  • Mathematical Finance
  • Quantitative Finance
  • Risk Management
  • Risk Modelling
  • Simulation Methods

Additional Topics

  • Futures & Options
  • Life Insurance
  • Multivariate statistics
  • Probability Theory
  • Stochastic Processes

Research

Research summary

Over the last few years, my research has contributed on problems of practical relevance in current financial markets conditions following the move of the financial industry towards the analysis and implementation of sophisticated tools for risk management. Specifically the themes I have been working on are Counterparty Credit Risk valuation, and development of realistic models for the dynamics of the relevant risk drivers which also recognize the interdependence in place between them.

Research Topics

Counterparty credit risk in a structural default model using multivariate Levy processes
This is joint work with Gianluca Fusai (Cass Business School) and Daniele Marazzina (Politecnico, Milan). We aim at providing a mathematically and computationally tractable setting for the computation counterparty risk at single trade level. The proposed model allows for the analysis of the impact of skewness, kurtosis and correlation on counterparty risk and wrong way risk, as to assess current Supervisory Authority recommendations on the multipliers to be applied for the calculation of the banks’ capital requirements. We also consider the treatment of the first to default problem, mitigating clauses and gap risk in the setting of a multivariate structural model. Finally, extensions to multiple trades and portfolio level are being investigated.
Multivariate Lévy Models by Linear Combination: Estimation
This is joint work with Angela Loregian and Gianluca Fusai. In this paper we propose a simple and effective two-step procedure to estimate the multivariate Lévy model introduced by Ballotta and Bonfiglioli (2014). We assess our estimation approach via simulations, comparing the results with those obtained through a standard but more computationally intensive one-step maximum likelihood estimation. The proposed method is then applied to the computation of the intra-horizon Value at Risk for a portfolio of assets following the model under consideration.
Multivariate Time Changed Lévy processes
In this work, we aim at extending the framework proposed by Ballotta and Bonfiglioli (2014) to incorporate volatility and leverage effects originated by both diffusion and pure jump components. Several applications in pricing, hedging and risk management are considered.
Smiles & Smirks
We propose a general setting for modelling equity prices with stochastic volatility and leverage effects based on time changed Lévy processes in order to answer some long standing modelling design questions: which risk factor offers sufficient flexibility for a robust calibration performance; which feature of the log-return process, such as volatility of volatility, leverage expressed as either covariance or correlation, enables the model to fit the data better; relevance of the classic diffusion component built on the Brownian motion in presence of leverage generated via jumps. The latter point assumes relevance in the case of extensions to multivariate asset modelling in order to maintain the parsimony of the dimensional complexity of the parameter space. The proposed model also allows the analysis of existing stochastic volatility models in terms of their distributional features, and to propose alternative robust constructions. Preliminary results point to the attractiveness of jumps.
Name
Federico Maglione
Attendance
Sep 2015 – present, full-time
Role
2nd Supervisor
Name
Anna Maria Gambaro
Attendance
Jan 2015 – Apr 2017, full-time
Role
2nd Supervisor
Name
Angela Loregian
Attendance
Jan 2010 – Dec 2013, full-time
Thesis Title
Multivariate Levy models: estimation and asset allocation
Role
2nd Supervisor
Name
Efrem Bonfiglioli
Attendance
Dec 2006 – Jul 2009, full-time
Thesis Title
Financial applications of asymmetric double exponentially distributed jump processes
Role
2nd Supervisor
Name
Ioannis Kyriakou
Attendance
Sep 2006 – Nov 2010, full-time
Thesis Title
Efficient valuation of exotic derivatives with path-dependence and early-exercise features
Role
1st Supervisor
  1. Ballotta, L., Deelstra, G. and Rayee, G. (2017). Multivariate FX models with jumps: triangles, Quantos and implied correlation. European Journal of Operational Research, 260(3), pp. 1181–1199. doi:10.1016/j.ejor.2017.02.018.
  2. Ballotta, L. and Bonfiglioli, E. (2016). Multivariate Asset Models Using Levy Processes and Applications. The European Journal of Finance, 22(13), pp. 1320–1350. doi:10.1080/1351847X.2013.870917.
  3. Ballotta, L. (2005). A Lévy process-based framework for the fair valuation of participating life insurance contracts. Insurance: Mathematics and Economics, 37(2 SPEC. ISS.), pp. 173–196. doi:10.1016/j.insmatheco.2004.10.001.
  4. Ballotta, L. and Haberman, S. (2003). Valuation of guaranteed annuity conversion options. Insurance: Mathematics and Economics, 33(1), pp. 87–108. doi:10.1016/S0167-6687(03)00146-X.

Chapters (7)

  1. Ballotta, L., Fusai, G. and Marena, M. (2016). Introduction to Default Risk and Counterparty Credit Modelling. In Kaminski, V. (Ed.), Managing Energy Price Risk (pp. 683–754). Riskbook ISBN 978-1-78272-209-0.
  2. Fusai, G. and Ballotta, L. (2016). VAR, Stress Testing and Supplementary Methodologies: Part 1. In Kaminski, V. (Ed.), Managing Energy Price Risk Riskbook ISBN 978-1-78272-209-0.
  3. Ballotta, L. and Fusai, G. (2016). VAR, Stress Testing and Supplementary Methodologies: Part 2. Managing Energy Price Risk Riskbooks. ISBN 978-1-78272-209-0.
  4. Ballotta, L. and Fusai, G. (2015). An introduction to stochastic calculus with Matlab examples. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management (pp. 557–557). John Wiley & Sons. ISBN 978-0-470-74524-3.
  5. Ballotta, L. and Fusai, G. (2015). A Quick Review of Distributions Relevant in Finance with Matlab Examples. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management (pp. 967–967). John Wiley & Sons. ISBN 978-0-470-74524-3.
  6. Ballotta, L. and Haberman, S. (2008). Options and guarantees in life insurance. In Melnick, E. and Everitt, B. (Eds.), Encyclopedia of Quantitative Risk Assessment (pp. 1244–1250). John Wiley & Sons Ltd, Chichester, UK.
  7. Ballotta, L. (2002). Alpha-quantile option in a jump-diffusion economy. In Pardalos, P. and Tsitsiringos, V. (Eds.), Financial Engineering, e-Commerce and Supply Chain (pp. 75–87). Springer. ISBN 978-1-4020-0640-1.

Journal Articles (16)

  1. Ballotta, L., Deelstra, G. and Rayee, G. (2017). Multivariate FX models with jumps: triangles, Quantos and implied correlation. European Journal of Operational Research, 260(3), pp. 1181–1199. doi:10.1016/j.ejor.2017.02.018.
  2. Ballotta, L., Gerrard, R. and Kyriakou, I. (2017). Hedging of Asian options under exponential Lévy models: computation and performance. The European Journal of Finance, 23(4), pp. 297–323. doi:10.1080/1351847X.2015.1066694.
  3. Ballotta, L. and Bonfiglioli, E. (2016). Multivariate Asset Models Using Levy Processes and Applications. The European Journal of Finance, 22(13), pp. 1320–1350. doi:10.1080/1351847X.2013.870917.
  4. Ballotta, L. and Kyriakou, I. (2015). Convertible bond valuation in a jump diffusion setting with stochastic interest rates. Quantitative Finance, 15(1), pp. 115–129.
  5. Ballotta, L. and Fusai, G. (2015). Counterparty credit risk in a multivariate structural model with jumps. Finance, Revue de l'Association Française de Finance, 36(1), pp. 39–74.
  6. Ballotta, L. and Kyriakou, I. (2014). Monte Carlo Simulation of the CGMY Process and Option Pricing. Journal of Futures Markets, 34(12), pp. 1095–1121. doi:10.1002/fut.21647.
  7. Ballotta, L. (2010). Efficient pricing of ratchet equity-indexed annuities in a variance-gamma economy. North American Actuarial Journal, 14(3), pp. 355–368. doi:10.1080/10920277.2010.10597639.
  8. Ballotta, L. (2009). Pricing and capital requirements for with profit contracts: modelling considerations. QUANTITATIVE FINANCE, 9(7), pp. 803–817. doi:10.1080/14697680802452068.
  9. Ballotta, L., Esposito, G. and Haberman, S. (2006). The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements. Insurance: Mathematics and Economics, 39(3), pp. 356–375. doi:10.1016/j.insmatheco.2006.04.004.
  10. Ballotta, L., Haberman, S. and Wang, N. (2006). Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option. Journal of Risk and Insurance, 73(1), pp. 97–121. doi:10.1111/j.1539-6975.2006.00167.x.
  11. Ballotta, L. and Haberman, S. (2006). The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case. Insurance: Mathematics and Economics, 38(1), pp. 195–214. doi:10.1016/j.insmatheco.2005.10.002.
  12. Ballotta, L. (2005). A Lévy process-based framework for the fair valuation of participating life insurance contracts. Insurance: Mathematics and Economics, 37(2 SPEC. ISS.), pp. 173–196. doi:10.1016/j.insmatheco.2004.10.001.
  13. Ballotta, L. and Haberman, S. (2003). Valuation of guaranteed annuity conversion options. Insurance: Mathematics and Economics, 33(1), pp. 87–108. doi:10.1016/S0167-6687(03)00146-X.
  14. Ballotta, L. and Haberman, S. (2003). Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options. Abstract of the Discussion held by the Faculty of Actuaries. British Actuarial Journal, 9(2), pp. 409–412. doi:10.1017/S1357321700004220.
  15. Ballotta, L. (2002). α-Quantile Option in a Jump-Diffusion Economy. Financial Engineering, E-commerce and Supply Chain, 70, pp. 75–87. doi:10.1007/978-1-4757-5226-7_5.
  16. Ballotta, L. and Kyprianou, A.E. (2001). A note on the alpha-quantile option. Applied Mathematical Finance, 8(3), pp. 137–144.

Thesis/Dissertation

  1. Ballotta, L. Levy processes, option valuation and pricing of the alpha-quantile option. (PhD Thesis)

Working Papers (9)

  1. Ballotta, L. and Rayée, G. (2017). Smiles & Smirks: A Tale of Factors. SSRN-WP.
  2. Ballotta, L., Fusai, G. and Marazzina, D. (2015). Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps..
  3. Ballotta, L. and Haberman, S. (2009). Investment Strategies and Risk Management for Participating Life Insurance Contracts. London: Cass Business School.
  4. Ballotta, L., Esposito, G. and Haberman, S. (2006). Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk..
  5. Ballotta, L., Esposito, G. and Haberman, S. (2006). Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk. London, UK: Faculty of Actuarial Science & Insurance, City University London.
  6. Ballotta, L. (2004). Alternative framework for the fair valuation of participating life insurance contracts. London, UK: Faculty of Actuarial Science and Insurance, City University London.
  7. Haberman, S., Ballotta, L. and Wang, N. (2003). Modelling and valuation of guarantees in with-profit and unitised with-profit life insurance contracts. London: Cass Business School.
  8. Ballotta, L. and Kyprianou, A.E. (2000). A note on α-quantile option. London, UK: Faculty of Actuarial Science & Insurance, City University London.
  9. Loregian, A., Ballotta, L., Fusai, G. and Perez, F.M. Multivariate Lévy Models by Linear Combination: Estimation..

Course Directorship

- 2005 - present, MSc Financial Mathematics, Admissions Tutor
- 2006 - present, MSc Quantitative Finance, Admissions Tutor
- 2003 - 2006, MSc Financial Mathematics, Director

Editorial Activities (2)

  1. Finance Research Letters, Associate Editor, 2015 – present.
  2. Business Research, Associate Editor, 2007 – present.

Events/Conferences (58)

  1. Quant Insights: Volatility modeling in financial markets. (Conference) Fitch Ratings Auditorium, London (2017). Invited speaker.
    Paper: Smiles & Smirks: a tale of factors
    Author: Ballotta, L.
    Co-authors: Rayee, L.
  2. International Conference on Computational Finance 2017 - ICCF2017. (Conference) Lisbon, Portugal (2017).
    Paper: Smiles & Smirks: a tale of factors
    Author: Ballotta, L
    Co-authors: Rayee, G.
    Description: Organizer Mini-Symposium "Jumps in finance: modelling, computing and open issues"
  3. Global Derivatives. Trading and Risk Management. (Conference) Barcelona, Spain (2017). Invited speaker.
    Paper: Smiles and Smirks: a tale of factors
    Author: Ballotta, L.
    Co-authors: Rayee, G.
  4. Actuarial and Financial Mathematics Conference. (Conference) Brussels, Belgium (2017). Invited speaker.
    Paper: Smiles & Smirks: a tale of factors
    Author: Ballotta, L.
    Co-authors: Rayee, G.
  5. MAF 2016. (Conference) Paris, France (2016).
    Paper: Quanto implied correlation in a multi-­Lévy framework
    Author: Ballotta L
    Co-authors: Deelstra, G. and Rayee, G.
  6. Global Derivatives: Trading & Risk Management. (Conference) Budapest, Hungary (2016). Invited speaker.
    Paper: Integrated structural approach to Counterparty Credit Risk with dependent jumps
    Author: Ballotta L
    Co-authors: Fusai, G. and Marazzina, D.
  7. Bachelier Finance Society, 9th World Congress. (Conference) New York, USA (2016).
    Paper: Quanto implied correlation in a multi-­Lévy framework
    Author: Ballotta L
    Co-authors: Deelstra, G. and Rayee, G.
  8. Bachelier Finance Society, 9th World Congress. (Conference) New York, USA (2016).
    Paper: Smiles & Smirks: a tale of factors
    Author: Ballotta L
    Co-authors: Rayee, G.
  9. Séminaire en Sciences Actuarielles ULB - VUB. (Seminar) Brussels, Belgium (2015). Invited speaker.
    Paper: Counterparty credit risk measurement: dependence effects, mitigating clauses and gap risk
    Author: Ballotta L.
    Co-authors: Fusai, G., Marazzina, D.
  10. Finance and Stochastics seminar, Department of Mathematics, Imperial College. (Seminar) London, UK (2015). Invited speaker.
    Paper: Counterparty credit risk measurement: dependence effects, mitigating clauses and gap risk
    Author: Ballotta L
    Co-authors: Fusai, G., Marazzina, D.
  11. London-Paris Bachelier Workshop on Mathematical Finance 2015. (Workshop) King's College, London, UK (2015). Invited speaker.
    Paper: Integrated structural approach to Counterparty Credit Risk with dependent jumps
    Author: Ballotta L. (invited)
    Co-authors: Fusai, G., Marazzina, D.
  12. Challenges in Derivatives Markets: Fixed income modeling, valuation adjustments, risk management, and regulation. (Conference) Munich (2015).
    Paper: Counterparty credit risk measurement: dependence effects, mitigating clauses and gap risk
    Author: Ballotta L.
    Co-authors: Fusai, G., Marazzina, D.
  13. 39th AMASES Conference. (Conference) Padova, Italy (2015).
    Paper: Quanto implied correlation in a multi-­Lévy framework
    Author: Ballotta L.
    Co-authors: Deelstra, G. and Rayee, G.
  14. Bachelier Finance Society, 8th World Congress. (Conference) Brussels, Belgium (2014).
    Paper: Pricing derivatives written on more than one underlying asset in a multivariate Lévy framework
    Author: Ballotta L
    Co-authors: G. Deelstra, G. Rayee
  15. Bachelier Finance Society, 8th World Congress. (Conference) Brussels, Belgium (2014).
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L
    Co-authors: G. Fusai and D. Marazzina
  16. Financial Engineering and Banking Society (FEBS) Conference. (Conference) University of Surrey, UK (2014).
    Paper: Multivariate L evy models by linear combination: estimation
    Author: Loregian A.
    Co-authors: G. Fusai, L. Ballotta
  17. (Seminar) ULB, Brussels, Belgium (2013). Invited speaker.
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L
    Co-authors: G. Fusai
  18. Counterparty credit risk and credit valuation adjustment. Quantitative and regulatory framework: New trends in theory and practice in a changing regulatory environment. (Conference) Cass Business School, London, UK (2013).
    Paper: CVA in a multivariate structural model with jumps
    Author: Ballotta L
    Co-authors: Fusai, G
  19. 3rd International Conference of the Financial Engineering and Banking Society (FEBS). (Conference) Paris, France (2013).
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L
    Co-authors: Fusai, G
  20. 30th International Conference of the French Finance Association (AFFI). (Conference) Lyon, France (2013).
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L
    Co-authors: Fusai, G
  21. Counterparty credit risk and credit valuation adjustment. Quantitative and regulatory framework: New trends in theory and practice in a changing regulatory environment. (Conference) Cass Business School, London, UK (2013). Organising Committee.
  22. Financial Engineering Workshop Series. (Conference) Cass Business School (2012). Organising Committee.
  23. 5th International Conference MAF2012. (Conference) Venice, Italy (2012).
    Paper: Multivariate asset models using Levy processes and applications
    Author: Ballotta L
    Co-authors: E. Bonfiglioli
  24. 2nd International Conference Financial Engineering and Banking Society. (Conference) London (2012).
    Paper: Multivariate asset models with Levy processes and applications
    Author: Ballotta L
    Co-authors: E. Bonfiglioli
  25. 2011 Risk and Stochastics Day. (Conference) London School of Economics (2011). Invited speaker.
    Paper: Multivariate asset models using Levy processes and applications
    Author: Ballotta L
    Co-authors: Bonfiglioli, E.
  26. Journée de contact FNRS. (Workshop) Brussels, Belgium (2010). Invited speaker.
    Paper: Investment strategies and risk management for participating life insurance contracts
    Author: Ballotta L.
    Co-authors: Haberman, S.
  27. IRMC 2010, International Risk Management Conference. (Conference) Firenze, Italy (2010).
    Paper: Multivariate asset models using Levy processes and applications
    Author: Ballotta L.
    Co-authors: Bonfiglioli, E
  28. EUROFIDAI/AFFI 8th International Paris Finance Meeting. (Conference) Paris, France (2010).
    Paper: Multivariate asset models using Levy processes and applications
    Author: Ballotta L
    Co-authors: Bonfiglioli, E.
  29. European Financial Management Association Annual Meeting (scientific committee). (Conference) Aarhus, Denmark (2009). Organising Committee.
  30. Financial and Actuarial Mathematics seminar. (Seminar) Vienna University of Technology, Austria (2009). Invited speaker.
    Paper: Investment strategies and risk management for participating life insurance contracts
    Author: Ballotta L
    Co-authors: S Haberman
  31. Algorithmics Insurance Seminar. (Seminar) Milan, Italy (2009). Invited speaker.
    Paper: Investment strategies and risk management for participating life insurance contracts
    Author: Ballotta L
    Co-authors: S Haberman
  32. AFIR Colloquium 2009. (Conference) Munich, Germany (2009).
    Paper: Investment strategies and risk management for participating life insurance contracts
    Author: Ballotta L
    Co-authors: S Haberman
  33. Research Seminar Series. (Seminar) Amsterdam Center for Finance and Insurance (2008). Invited speaker.
    Paper: On Exotic contracts with payoff defined by a weighted sum of dependent asset prices
    Author: Ballotta Laura
  34. Finance Seminar Series. (Seminar) Faculty of Economics and Business Administration, Johann Wolfgang Goethe Universit¨at Frankfurt, Germany (2008). Invited speaker.
    Paper: Market consistent valuation of with profit contracts: modelling considerations
    Author: Ballotta Laura
  35. Actuarial and Financial Mathematics Conference. (Conference) Brussel, Belgium (2008). Invited speaker.
    Paper: Market consistent valuation of with profit contracts: modelling considerations (Invited Speaker)
    Author: Ballotta Laura
  36. 15th Annual Conference of the Multinational Finance Society. (Conference) Orlando, Florida, USA (2008).
    Paper: Market consistent valuation of with profit contracts: modelling considerations
    Author: Ballotta Laura
  37. 14th International Conference on Computing in Economics and Finance. (Conference) Sorbonne, Paris, France (2008).
    Paper: Numerical Approximations for the Pricing of Asian Options in a Lévy Process Model
    Author: Ballotta Laura
  38. AFIR 2007. (Conference) Stockholm, Sweden (2007).
    Paper: Pricing and capital requirements for with profits contracts: the importance of market modelling
    Author: Ballotta Laura
  39. 2007 Life Convention. (Conference) Manchester, United Kingdom (2007). Invited speaker.
    Paper: Risk assessment and management in a life insurance company: Modelling considerations
    Author: Ballotta Laura
  40. MBA - FSI. (Workshop) London (2006). Invited speaker.
    Paper: Current Accounting Issues Facing the Insurance Industry
    Author: Ballotta Laura
  41. EURO XXI. (Conference) Reykjavik, Iceland (2006).
    Paper: Valuation of participating contracts and risk capital assessment: the importance of market modelling, Invited Paper
    Author: Ballotta Laura
  42. 12th International Conference on Computing in Economics and Finance. (Conference) Limassol, Cyprus (2006).
    Paper: Valuation of participating contracts and risk capital assessment: the importance of market modelling
    Author: Ballotta Laura
  43. 10th International Congress on Insurance: Mathematics and Economics. (Conference) Leuven, Belgium (2006).
    Paper: Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk
    Author: Ballotta Laura
    Co-authors: G. Esposito, S. Haberman
  44. 10th International Congress on Insurance: Mathematics and Economics. (Conference) Leuven, Belgium (2006).
    Paper: Valuation of participating contracts and risk capital assessment: the importance of market modelling
    Author: Ballotta Laura
  45. Workshop in New Trends in Finance and Risk Management - Life Insurance Fair Value. (Workshop) E. M. Lyon - ISFA, Lyon, France (2005). Invited speaker.
    Paper: The International Accounting Standards Project for Life Insurance Contracts: Impact on Reserving Methods and Solvency Requirements. Invited paper
    Author: Ballotta Laura
    Co-authors: G Esposito, S Haberman
  46. 9th International Congress on Insurance: Mathematics and Economics. (Conference) Université Laval, Quebec, Canada (2005).
    Paper: The IASB Insurance Project for life insurance contracts: implications on reserving methods and solvency requirements
    Author: Ballotta Laura
    Co-authors: G. Esposito and S. Haberman
  47. 9th International Congress on Insurance: Mathematics and Economics. (Conference) Université Laval, Quebec, Canada (2005).
    Paper: Investment strategies and risk management of participating contracts
    Author: Ballotta Laura
    Co-authors: S. Haberman, N. Wang
  48. 15th International AFIR Colloquium. (Conference) Zurich, Switzerland (2005).
    Paper: The IASB Insurance Project for life insurance contracts: implications on reserving methods and solvency requirements
    Author: Ballotta Laura
    Co-authors: G Esposito, S Haberman
  49. 36th International ASTIN Colloquium. (Conference) Zurich, Switzerland (2005).
    Paper: Risk-based capital modelling for P&C insurers and financial sensitivity
    Co-authors: Nino Savelli
  50. 8th International Congress on Insurance: Mathematics and Economics. (Conference) Rome, Italy (2004).
    Paper: Alternative framework for the fair valuation of participating life insurance contracts: a Levy process based model
    Author: Ballotta Laura
  51. 3rd Conference in Actuarial Science and Finance. (Conference) Samos, Greece (2004).
    Paper: Alternative fair valuation models for options embedded in life insurance contracts
    Author: Ballotta Laura
  52. 14th Annual International AFIR Colloquium. (Conference) Boston, USA (2004).
    Paper: Alternative Framework for the Fair Value of Participating Life Insurance Contracts
    Author: Ballotta Laura
  53. Applied Mathematics and Applications of Mathematics, session in New issues in life insurance mathematics. (Conference) Nice, France (2003).
    Paper: Modelling and Valuation of With Profit and Unitised With Profit Life Insurance Policies. Invited Paper
    Author: Ballotta Laura
    Co-authors: S Haberman, N Wang
  54. 6th International Congress on Insurance Mathematics and Economics. (Conference) Lisbon, Portugal (2002).
    Paper: Pricing of Guaranteed Annuity Conversion Options
    Author: Ballotta Laura
    Co-authors: S Haberman
  55. 37th Actuarial Research Conference. (Conference) Waterloo, Ontario, Canada (2002).
    Paper: Pricing of Guaranteed Annuity Conversion Options
    Author: Ballotta Laura
    Co-authors: S Haberman
  56. 2nd Conference in Actuarial Science & Finance. (Conference) Samos, Greece (2002).
    Paper: Valuation of Guaranteed Annuity Options
    Author: Ballotta Laura
    Co-authors: S Haberman
  57. 1st International Conference in Financial Engineering, E-commerce, and Supply Chain. (Conference) Athens (2001).
    Paper: alpha-quantile option in a jump-diffusion economy
    Author: Ballotta Laura
  58. 16-th IMACS World Congress 2000, Session in Computational Methods in Financial Engineering. (Conference) Lausanne (2000).
    Paper: Simulation of Lévy processes and the option valuation problem: the case of the alpha-quantile option
    Author: Ballotta Laura

Media Appearances (2)

  1. Diffusive & jump behaviours: Factoring in the stochastic evolution of stock prices. (2017) Global Derivatives TV (website).
  2. Top 5 tips to understand counterparty credit risk. (2016) Global Derivatives TV (website).