Luca Vincenzo Ballestra

Available identifiers

zbMath Open ballestra.luca-vincenzoMaRDI QIDQ343127

List of research outcomes

Publication	Date of Publication	Type
Construction and mean-square stability analysis of a new family of stochastic Runge-Kutta methods	2024-04-18	Paper
Pricing geometric Asian rainbow options under the mixed fractional Brownian motion	2022-05-19	Paper
The finite element method: A high‐performing approach for computing the probability of ruin and solving other ruin‐related problems	2021-12-09	Paper
Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation	2021-11-24	Paper
An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps	2021-07-30	Paper
On a generalized Gaussian radial basis function: analysis and applications	2020-02-11	Paper
Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations	2019-11-26	Paper
Stability switches and Hopf bifurcation in a Kaleckian model of business cycle	2019-08-16	Paper
Fast and accurate calculation of American option prices	2019-01-29	Paper
Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market	2018-11-19	Paper
A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance	2018-11-13	Paper
From insurance risk to credit portfolio management: a new approach to pricing CDOs	2018-11-13	Paper
Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach	2018-11-01	Paper
A fast numerical method to price American options under the Bates model	2017-03-15	Paper
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion	2017-02-10	Paper
A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE	2017-02-10	Paper
A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications	2016-12-13	Paper
The spatial AK model and the Pontryagin maximum principle	2016-11-25	Paper
A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion	2016-04-27	Paper
Pricing European and American options by radial basis point interpolation	2016-01-04	Paper
Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing	2015-06-16	Paper
Stability Switches and Bifurcation Analysis of a Time Delay Model for the Diffusion of a New Technology	2014-12-03	Paper
Computing survival probabilities based on stochastic differential models	2014-10-28	Paper
Valuing risky debt: a new model combining structural information with the reduced-form approach	2014-09-22	Paper
A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate	2014-04-30	Paper
An operator splitting harmonic differential quadrature approach to solve Young's model for life insurance risk	2014-04-14	Paper
A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS	2014-03-25	Paper
Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions	2013-03-25	Paper
A boundary element method to price time-dependent double barrier options	2012-06-13	Paper
The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach	2010-12-27	Paper
A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model	2009-09-13	Paper
A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates	2009-03-04	Paper
Numerical problems in semiconductor simulation using the hydrodynamic model: a second-order finite difference scheme.	2004-03-29	Paper
Numerical solutions of a viscous‐hydrodynamic model for semiconductors: the supersonic case	2003-06-26	Paper
Semiconductor device simulation using a viscous hydrodynamic model.	2003-05-06	Paper
On a viscous-hydrodynamic model for semiconductors: Numerical simulation and stability analysis	2001-01-01	Paper

Research outcomes over time

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This page was built for person: Luca Vincenzo Ballestra