Foto del docente

Luca Vincenzo Ballestra

Associate Professor

Department of Statistical Sciences "Paolo Fortunati"

Academic discipline: SECS-S/06 Mathematical Methods of Economics, Finance and Actuarial Sciences

Publications

Ruolo editoriale nella rivista «Engineering Analysis with Boundary Elements»

Ballestra L.V.; Guizzardi A.; Palladini F., Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators, «INTERNATIONAL JOURNAL OF FORECASTING», 2019, 35, pp. 1250 - 1262 [Scientific article]

Ahmadian, D.; Farkhondeh Rouz, O.; Ballestra, L.V., Stability analysis of split-step θ-Milstein method for a class of n-dimensional stochastic differential equations, «APPLIED MATHEMATICS AND COMPUTATION», 2019, 348, pp. 413 - 424 [Scientific article]

Luca Vincenzo Ballestra, Stefano Fontana, Veronica Scuotto, Silvia Solimene, A multidisciplinary approach for assessing open innovation model impact on stock return dynamics: The case of Fujifilm company, «MANAGEMENT DECISION», 2018, 56, pp. 1430 - 1444 [Scientific article]

Ballestra, Luca Vincenzo, Fast and accurate calculation of American option prices, «DECISIONS IN ECONOMICS AND FINANCE», 2018, 41, pp. 399 - 426 [Scientific article]

Andreoli, A.; Ballestra, L. V.; Pacelli, G., Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach, «COMPUTATIONAL ECONOMICS», 2018, 51, pp. 379 - 406 [Scientific article]

Luca Vincenzo Ballestra; Graziella Pacelli; Davide Radi, Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market, «QUANTITATIVE FINANCE», 2017, 17, pp. 299 - 313 [Scientific article]

Onali, Enrico; Ginesti, Gianluca; Ballestra, Luca Vincenzo, Investor reaction to IFRS for financial instruments in Europe: The role of firm-specific factors, «FINANCE RESEARCH LETTERS», 2017, 21, pp. 72 - 77 [Scientific article]

Ballestra, L. V.; Cardinali, S.; Pacelli, G.; Palanga, P., The Changing Role of Salespeople and the Unchanging Feeling Toward Selling: Implications for the HEI Programs, «JOURNAL OF MARKETING EDUCATION», 2017, 39, pp. 176 - 189 [Scientific article]

Ballestra, L. V.; Pacelli, G.; Radi, D., Valuing investment projects under interest rate risk: empirical evidence from European firms, «APPLIED ECONOMICS», 2017, 49, pp. 5662 - 5672 [Scientific article]

Ballestra, L.V.; Cecere, L., A fast numerical method to price American options under the Bates model, «COMPUTERS & MATHEMATICS WITH APPLICATIONS», 2016, 72, pp. 1305 - 1319 [Scientific article]

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», 2016, 11, pp. 1650018-1 - 1650018-7 [Scientific article]

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 [Scientific article]

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 [Scientific article]

Ballestra, L.V; Pacelli, G.; Radi, D., 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 [Scientific article]

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