BALLESTRA, LUCA VINCENZO
BALLESTRA, LUCA VINCENZO
DIPARTIMENTO DI SCIENZE STATISTICHE "PAOLO FORTUNATI"
Docenti di ruolo di IIa fascia
A boundary element method to price time-dependent double barrier options
2011 Ballestra, Luca Vincenzo; Pacelli, Graziella
A fast numerical method to price American options under the Bates model
2016 Ballestra, L.V.; Cecere, L.
A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options
2014 Golbabai, A; Ballestra, L.V.; Ahmadian, D.
A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion
2022 Ahmadian D., Ballestra L. V., Shokrollahi F.
A Multi-factor Model for Commodity Prices
2023 Ballestra, Luca Vincenzo; Tezza, Christian
A multidisciplinary approach for assessing open innovation model impact on stock return dynamics: The case of Fujifilm company
2018 Luca Vincenzo Ballestra, Stefano Fontana, Veronica Scuotto, Silvia Solimene
A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options
2024 Ballestra, Luca Vincenzo; D’Innocenzo, Enzo; Guizzardi, Andrea
A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options
2024 Luca Vincenzo Ballestra; Enzo DINNOCENZO; Andrea Guizzardi
A note on Fergusson and Platen: "Application of maximum likelihood estimation to stochastic short rate models"
2016 Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide
A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
2013 Ballestra, L.V.; Cecere, L.
A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE
2016 Ballestra, Luca Vincenzo; Cecere, Liliana
A numerical method to price defaultable bonds based on the Madan and Unal credit risk model
2009 Ballestra, Luca Vincenzo; Pacelli, Graziella
A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion
2015 Ahmadian, D; Ballestra, L.V.
A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates
2008 Ballestra, Luca Vincenzo; Pacelli, Graziella; Zirilli, Francesco
A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
2007 Ballestra, Luca Vincenzo; Pacelli, Graziella; Zirilli, Francesco
A quantitative assessment of interest rate uncertainty in real option analysis
2019 Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide
A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
2012 Ballestra, Luca Vincenzo; Pacelli, Graziella
A statistical approach to evaluate last minute pricing decisions in the online hotel market
2022 Luca Vincenzo Ballestra, Enzo DInnocenzo, Andrea Guizzardi
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
2016 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
2016 Ballestra, L.V; Pacelli, G.; Radi, D.