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

Research

Keywords: mathematical finance, computational finance, derivative pricing, numerical approximation of ODEs and PDEs, dynamical systems in economics, credit risk, actuarial mathematics, economic growth models

My research is mainly focused on mathematical finance. In particular, I have a strong expertise in quantitative models and methods used in option pricing, actuarial mathematics and credit risk analysis. In this respect, one of my major area of research concerns the numerical approximation of partial differential problems arising from derivative pricing, where I developed new and efficient discretization algorithms based on finite difference, finite element, spectral, or Monte Carlo approaches. 

In addition, I am also experienced with differential models for economics, focusing in particular on economic growh models and models for marketing and for innovation diffusion. 

Finally, in my Ph.D. resaerch, I worked on the numerical approximation of mathematical models that describe the flow of current in modern semiconductor devices (the so-called hydrodynamic models). 

 

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