Dr. Luca Vincenzo Ballestra
Department of Statistical Sciences
The University of Bologna, Italy
Email: luca.ballestra@unibo.it
Qualifications
2002 Ph.D, Applied Mathematics, Politecnico
University of Milan, Italy
1998-2001 M.D., Aerospace Engineering,
Politecnico of Milan, Italy
Publications (Selected)
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Ballestra,
Luca Vincenzo; Pacelli, Graziella; Radi, Davide, A note on Fergusson and
Platen, Application of maximum likelihood estimation to stochastic short rate
models, ANNALS OF FINANCIAL ECONOMICS, accepted for publication, in press.
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Andreoli,
Alessandro; Ballestra, Luca Vincenzo; Pacelli, Graziella, Pricing Credit
Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature
Approach, COMPUTATIONAL ECONOMICS, online first, DOI:
10.1007/s10614-016-9608-x.
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Ballestra,
Luca Vincenzo; Pacelli, Graziella; Radi, Davide, Computing the survival
probability in the Madan–Unal credit risk model: application to the CDS market,
QUANTITATIVE FINANCE, 2016, online first, pp. 1–15.
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Ballestra,
Luca Vincenzo; Cecere, Liliana, A fast numerical method to price American
options under the Bates model, COMPUTERS & MATHEMATICS WITH APPLICATIONS,
2016, 72, pp. 1305–1319.
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Ballestra,
Luca Vincenzo; Cecere, Liliana, A numerical method to estimate the parameters
of the CEV model implied by American option prices: Evidence from NYSE, CHAOS,
SOLITONS AND FRACTALS, 2016, 88, pp. 100–106.
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Ballestra,
Luca Vincenzo; Pacelli, Graziella; Radi, Davide, A very efficient approach for
pricing barrier options on an underlying described by the mixed fractional
Brownian motion, CHAOS, SOLITONS AND FRACTALS, 2016, 87, pp. 240–248.
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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, PHYSICA. A, 2016, 463, pp. 330–344.
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Andreoli,
Alessandro; Ballestra, Luca Vincenzo; Pacelli, Graziella, From insurance risk
to credit portfolio management: a new approach to pricing CDOs, QUANTITATIVE
FINANCE, 2016, 16, pp. 1495–1510.
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Ballestra,
Luca Vincenzo, The spatial AK model and the Pontryagin maximum principle,
JOURNAL OF MATHEMATICAL ECONOMICS, 2016, 67, pp. 87–94.
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Ahmadian,
Davod; Ballestra, Luca Vincenzo, A numerical method to price discrete double
Barrier options under a constant elasticity of variance model with jump
diffusion, INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2015, 92, pp.
2310–2328.
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Andreoli,
Alessandro; Ballestra, Luca Vincenzo; Pacelli, Graziella, Computing survival
probabilities based on stochastic differential models, JOURNAL OF COMPUTATIONAL
AND APPLIED MATHEMATICS, 2015, 277, pp. 127–137.
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Ballestra,
Luca Vincenzo; Cecere, Liliana, Pricing American options under the constant
elasticity of variance model: An extension of the method by Barone-Adesi and
Whaley, FINANCE RESEARCH LETTERS, 2015, 14, pp. 45–55.
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Rad,
Jamal Amani; Parand, Kourosh; Ballestra, Luca Vincenzo, Pricing European and
American options by radial basis point interpolation, APPLIED MATHEMATICS AND
COMPUTATION, 2015, 251, pp. 363–377.
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Ballestra,
Luca Vincenzo; Pacelli, Graziella; Radi, Davide, The impact of the interest
rate volatility on the valuation of investment strategies, INTERNATIONAL
JOURNAL OF MANAGEMENT CASES, 2015, 17, pp. 35–44.
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Golbabai,
Ahmad; Ballestra, Luca Vincenzo; Ahmadian, Davod, A Highly Accurate Finite
Element Method to Price Discrete Double Barrier Options, COMPUTATIONAL
ECONOMICS, 2014, 44, pp. 153–173.
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Ballestra,
Luca Vincenzo; Pacelli, Graziella, A very fast and accurate boundary element
method for options with moving barrier and time-dependent rebate, APPLIED
NUMERICAL MATHEMATICS, 2014, 77, pp. 1–15.
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Ballestra,
Luca Vincenzo; Del Giudice, Manlio; Della Peruta, Maria Rosaria, An analysis of
a model for the diffusion of engineering innovations under multi-firm
competition, INTERNATIONAL JOURNAL OF TECHNOLOGY MANAGEMENT, 2014, 66, pp.
346–357.
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Ballestra,
Luca Vincenzo, Repeated spatial extrapolation: An extraordinarily efficient
approach for option pricing, JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,
2014, 256, pp. 8–91.
Personal
Website:
https://www.unibo.it/sitoweb/luca.ballestra/en