Portrait of Professor Laura Ballotta

Professor Laura Ballotta

Professor in Mathematical Finance

Bayes Business School, Finance

Contact

Visit Laura Ballotta

Room BR5092, Bunhill Row

Postal address

City St George's, University of London
Northampton Square
London
EC1V 0HB
United Kingdom

About

Overview

Prof. Ballotta works in the areas of quantitative finance and risk management. She has written on topics including stochastic modelling for financial valuation and risk management, numerical methods aimed at supporting financial applications, and the interplay between finance and insurance.

Recent major contributions have appeared in Journal of Financial and Quantitative Analysis, European Journal of Operational Research and Quantitative Finance among others.
She serves as associate editor and referee for a number of international journals in the field.

Qualifications

  • PhD in Mathematical and Computational Methods for Economics and Finance, Universita' degli Studi di Bergamo, Italy
  • MSc in Financial Mathematics, University of Edinburgh, United Kingdom
  • BSc in Economics, Universita' Cattolica Sacro Cuore, Italy

Administrative roles

  • Director Quants MSc cluster (MScs Financial Mathematics, Mathematical Trading and Finance, and Quantitative Finance), Bayes Business School, Aug 2024 – present
  • MSc Mathematical Trading and Finance, Admissions Tutor, Bayes Business School, 2016 – present
  • Financial Engineering Workshop, Co-organizer, Bayes Business School, 2012 – present
  • MSc Quantitative Finance, Admissions Tutor, Bayes Business School, 2006 – present
  • MSc Financial Mathematics, Admissions Tutor, Bayes Business School, 2005 – present
  • MSc Financial Mathematics, Course Director, Bayes Business School, 2003 – 2006

Fellowships

  • Marie S. Curie FCFP Fellow (External Senior Fellow), FRIAS - Freiburg Institute for Advanced Studies, Albert-Ludwigs-Universität Freiburg, Feb – May 2020

Memberships of committees

  • Scientific Committee of the Stochastics & Computational Finance Conference 2025, Mar 2025 – present
  • Communications Committee of the Bachelier Finance Society, Jan 2025 – present
  • 2022 Advisory Board - QuantMinds International, Sep – Nov 2022
  • London-Paris Bachelier Workshop on Mathematical Finance: Scientific Committee, Apr – Sep 2022

Memberships of professional organisations

  • Member, SIAM - Society for Industrial and Applied Mathematics, Feb 2023 – present
  • Fellow, Higher Education Academy, Jul 2021 – present
  • Member, Bachelier Finance Society, Nov 2016 – present
  • Fellow, The Association for Mathematics Applied to Economics and Social Sciences (AMASES), Oct 2014 – present
  • Fellow, Istituto Italiano degli Attuari, Jan 2005 – present

Awards

  • EJOR Editor’s Choice Article (2017) EJOR Editor’s Choice Article
    The article
    L. Ballotta, G. Deelstra, G. Rayée (2017) Multivariate FX models with jumps: Triangles, Quantos and implied correlation, European Journal of Operational Research, Volume 260, Issue 3, Pages 1181-1199, was designated as Editor’s Choice Article for the period November 2017.
  • Bayes Business School (2011) Teaching and Learning Prize
    for excellence in teaching at postgraduate level
  • City University (2005) Excellence in Research
    Commendation for Excellence in Research

Languages

French, German and Italian.

Expertise

Primary topics

  • Financial Engineering
  • Mathematical Finance
  • Quantitative Finance

Research

Research summary

Laura Ballotta research interests focus on the improvement of the quality of financial valuation models, the enhancement of the performance of risk management practice, and advancing the insights into the intersection between finance and insurance.

Research interests: Quantitative Finance, Mathematical Finance, robust modelling on option pricing, Derivatives.

Research students

Luca Luigi Alberici

Attendance: Sep 2024 – present, full-time

Role: 2nd Supervisor

Paolo Nova Jonica

Attendance: Sep 2020 – present, full-time

Role: 1st Supervisor

Federico Maglione

Attendance: 2015 – 2020, full-time

Thesis title: The Use of Compound Options for Credit Risk Modelling

Role: 2nd Supervisor

Angela Loregian

Attendance: Jan 2010 – Dec 2013, full-time

Thesis title: Multivariate Levy models: estimation and asset allocation

Role: External Supervisor

Efrem Bonfiglioli

Attendance: Dec 2006 – Jul 2009, full-time

Thesis title: Financial applications of asymmetric double exponentially distributed jump processes

Role: External Supervisor

Ioannis Kyriakou

Attendance: Sep 2006 – Nov 2010, full-time

Thesis title: Efficient valuation of exotic derivatives with path-dependence and early-exercise features

Role: 1st Supervisor

Publications

Chapters (7)

  1. Ballotta, L., Fusai, G. and Marena, M. (2016). Introduction to Default Risk and Counterparty Credit Modelling. In Kaminski, V. (Ed.), Managing Energy Price Risk (pp. 683–754). Riskbook. ISBN 978-1-78272-209-0.
  2. Fusai, G. and Ballotta, L. (2016). Introduction to Value-at-Risk. In Kaminski, V. (Ed.), Managing Energy Price Risk Riskbook. ISBN 978-1-78272-209-0.
  3. Ballotta, L. and Fusai, G. (2016). Introduction to Portfolio Value-at-Risk. Managing Energy Price Risk Riskbooks. ISBN 978-1-78272-209-0.
  4. Ballotta, L. and Fusai, G. (2015). A Quick Review of Distributions Relevant in Finance with Matlab Examples. In Roncoroni, A., Fusai, G. and Cummins, M. (Eds.), Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management (pp. 967–967). John Wiley & Sons. ISBN 978-0-470-74524-3.
  5. Ballotta, L. and Fusai, G. (2014). An Introduction to Stochastic Calculus with Matlab® Examples. (pp. 555–634). Wiley. ISBN 978-0-470-74524-3.
  6. Ballotta, L. and Haberman, S. (2008). Options and guarantees in life insurance. In Melnick, E. and Everitt, B. (Eds.), Encyclopedia of Quantitative Risk Assessment (pp. 1244–1250). John Wiley & Sons Ltd, Chichester, UK.
  7. Ballotta, L. (2002). Alpha-quantile option in a jump-diffusion economy. In Pardalos, P. and Tsitsiringos, V. (Eds.), Financial Engineering, e-Commerce and Supply Chain (pp. 75–87). Springer. ISBN 978-1-4020-0640-1.

Journal articles (30)

  1. Amici, G., Ballotta, L. and Semeraro, P. (2025). Multivariate additive subordination with applications in finance. European Journal of Operational Research, 321(3), pp. 1004–1020. doi:10.1016/j.ejor.2024.10.010.

    [publisher’s website]

  2. Ballotta, L., Eberlein, E. and Rayée, G. (2025). The term structure of implied correlations between S&P and VIX markets. Frontiers of Mathematical Finance, 5, pp. 73–93. doi:10.3934/fmf.2025005.

    [publisher’s website]

  3. Ballotta, L., Fusai, G. and Marazzina, D. (2024). Counting jumps: does the counting process count? Quantitative Finance, 24(11), pp. 1621–1640. doi:10.1080/14697688.2024.2357731.

    [publisher’s website]

  4. Ballotta, L. (2024). The Calibration Conundrum. Wilmott, 2024(134). doi:10.54946/wilm.12087.

    [publisher’s website]

  5. Ballotta, L. (2024). Is the VIX Just Volatility? The Devil is in the (De)tails. Wilmott, 2024(130). doi:10.54946/wilm.12022.

    [publisher’s website]

  6. Ballotta, L. (2023). Once upon a time there was a magic formula �. Wilmott, 2023(126). doi:10.54946/wilm.11151.

    [publisher’s website]

  7. Ballotta, L. (2023). Demystifying generic beliefs on jump models. Wilmott, 2023(124). doi:10.54946/wilm.11110.

    [publisher’s website]

  8. Ballotta, L. (2022). Powering up Fourier valuation to any dimension. Wilmott, 2022(121). doi:10.54946/wilm.11051.

    [publisher’s website]

  9. Ballotta, L. and Rayée, G. (2022). Smiles & Smirks: Volatility and leverage by jumps. European Journal of Operational Research, 298(3), pp. 1145–1161. doi:10.1016/j.ejor.2021.08.023.
  10. Ballotta, L., Eberlein, E., Schmidt, T. and Zeineddine, R. (2021). Fourier based methods for the management of complex life insurance products. Insurance: Mathematics and Economics, 101(B), pp. 320–341. doi:10.1016/j.insmatheco.2021.08.009.
  11. Ballotta, L., Fusai, G., Kyriakou, I., Papapostolou, N.C. and Pouliasis, P.K. (2020). Risk management of climate impact for tourism operators: An empirical analysis on ski resorts. Tourism Management, 77, pp. 104011–104011. doi:10.1016/j.tourman.2019.104011.

    [publisher’s website]

  12. Ballotta, L., Eberlein, E., Schmidt, T. and Zeineddine, R. (2020). Variable annuities in a Lévy-based hybrid model with surrender risk. Quantitative Finance, 20(5), pp. 867–886. doi:10.1080/14697688.2019.1687929.
  13. Ballotta, L., Fusai, G., Loregian, A. and Perez, M.F. (2019). Estimation of Multivariate Asset Models with Jumps. Journal of Financial and Quantitative Analysis, 54(5), pp. 2053–2083. doi:10.1017/S0022109018001321.
  14. Ballotta, L., Fusai, G. and Marazzina, D. (2019). Integrated Structural Approach to Credit Value Adjustment. European Journal of Operational Research, 272(3), pp. 1143–1157. doi:10.1016/j.ejor.2018.07.026.
  15. Ballotta, L., Deelstra, G. and Rayée, G. (2017). Multivariate FX models with jumps: Triangles, Quantos and implied correlation. European Journal of Operational Research, 260(3), pp. 1181–1199. doi:10.1016/j.ejor.2017.02.018.

    [publisher’s website]

  16. Ballotta, L., Gerrard, R. and Kyriakou, I. (2017). Hedging of Asian options under exponential Lévy models: computation and performance. The European Journal of Finance, 23(4), pp. 297–323. doi:10.1080/1351847X.2015.1066694.
  17. Ballotta, L. and Bonfiglioli, E. (2016). Multivariate Asset Models Using Levy Processes and Applications. The European Journal of Finance, 22(13), pp. 1320–1350. doi:10.1080/1351847X.2013.870917.
  18. Ballotta, L. and Fusai, G. (2015). Counterparty credit risk in a multivariate structural model with jumps. Finance, Vol. 36(1), pp. 39–74. doi:10.3917/fina.361.0039.

    [publisher’s website]

  19. Ballotta, L. and Kyriakou, I. (2015). Convertible bond valuation in a jump diffusion setting with stochastic interest rates. Quantitative Finance, 15(1), pp. 115–129. doi:10.1080/14697688.2014.935464.
  20. Ballotta, L. and Kyriakou, I. (2014). Monte Carlo Simulation of the CGMY Process and Option Pricing. Journal of Futures Markets, 34(12), pp. 1095–1121. doi:10.1002/fut.21647.

    [publisher’s website]

  21. Ballotta, L. (2010). Efficient pricing of ratchet equity-indexed annuities in a variance-gamma economy. North American Actuarial Journal, 14(3), pp. 355–368. doi:10.1080/10920277.2010.10597639.
  22. Ballotta, L. (2009). Pricing and capital requirements for with profit contracts: modelling considerations. Quantitative Finance, 9(7), pp. 803–817. doi:10.1080/14697680802452068.

    [publisher’s website]

  23. Ballotta, L., Esposito, G. and Haberman, S. (2006). The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements. Insurance: Mathematics and Economics, 39(3), pp. 356–375. doi:10.1016/j.insmatheco.2006.04.004.

    [publisher’s website]

  24. Ballotta, L., Haberman, S. and Wang, N. (2006). Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option. JOURNAL OF RISK AND INSURANCE, 73(1), pp. 97–121. doi:10.1111/j.1539-6975.2006.00167.x.
  25. Ballotta, L. and Haberman, S. (2006). The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case. Insurance: Mathematics and Economics, 38(1), pp. 195–214. doi:10.1016/j.insmatheco.2005.10.002.

    [publisher’s website]

  26. Ballotta, L. (2005). A Lévy process-based framework for the fair valuation of participating life insurance contracts. Insurance Mathematics and Economics, 37(2 SPEC. ISS.), pp. 173–196. doi:10.1016/j.insmatheco.2004.10.001.
  27. Ballotta, L. and Haberman, S. (2003). Valuation of guaranteed annuity conversion options. Insurance Mathematics and Economics, 33(1), pp. 87–108. doi:10.1016/S0167-6687(03)00146-X.
  28. Ballotta, L. and Haberman, S. (2003). Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options. Abstract of the Discussion held by the Faculty of Actuaries. British Actuarial Journal, 9(2), pp. 409–412. doi:10.1017/S1357321700004220.
  29. Ballotta, L. (2002). α-Quantile Option in a Jump-Diffusion Economy. Financial Engineering, E-commerce and Supply Chain, 70, pp. 75–87. doi:10.1007/978-1-4757-5226-7_5.
  30. Ballotta, L. and Kyprianou, A.E. (2001). A note on the alpha-quantile option. Applied Mathematical Finance, 8(3), pp. 137–144.

Thesis/dissertation

  1. Ballotta, L. Levy processes, option valuation and pricing of the alpha-quantile option. (PhD)

Working papers (10)

  1. Ballotta, L. and Fusai, G. (2018). Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction. SSRN Working Paper Series
  2. Ballotta, L. and Morico, A. (2018). Hidden Correlations: A Self-Exciting Tale from the FX World. SSRN WP.
  3. Ballotta, L. and Fusai, G. (2017). A Gentle Introduction to Value at Risk. SSRN Working Paper Series
  4. Ballotta, L. and Rayée, G. (2017). Smiles & Smirks: A Tale of Factors. SSRN-WP
  5. Ballotta, L., Fusai, G. and Marena, M. (2016). A Gentle Introduction to Default Risk and Counterparty Credit Modelling. SSRN Working Paper Series
  6. Ballotta, L. (2010). A Note on Multivariate Asset Models Using Levy Processes.
  7. Ballotta, L. and Haberman, S. (2009). Investment Strategies and Risk Management for Participating Life Insurance Contracts. London: Cass Business School.
  8. Ballotta, L. (2004). Alternative framework for the fair valuation of participating life insurance contracts. London, UK: Faculty of Actuarial Science and Insurance, City University London.
  9. Ballotta, L. and Kyprianou, A.E. (2000). A note on α-quantile option. London, UK: Faculty of Actuarial Science & Insurance, City University London.
  10. Ballotta, L., Deelstra, G. and Rayée, G. Quanto Implied Correlation in a Multi-Lévy Framework. London: SSRN

Professional activities

Editorial activity (5)

  1. International Journal of Theoretical and Applied Finance, Managing Editor, Jan 2023 – present.
  2. Decisions in Economics and Finance, Associate Editor, Oct 2022 – present.
  3. Review of Derivatives Research, Associate Editor, Jul 2018 – present.
  4. Finance Research Letters, Associate Editor, 2015 – 2020.
  5. Business Research, Associate Editor, 2007 – present.

Events/conferences (99)

  1. The Volatility and Risk in Quant Finance Conference. (Conference) Online (2025).
    Paper: Multivariate Additive Subordination with Applications in Finance
    Author: Amici, G.
    Co-authors: Ballotta, L.; Semeraro, P.
  2. CQF Institute Industry Talk. (Seminar) Online (2025). Invited speaker.
    Paper: The Term Structure of Implied Correlations Between S&P and VIX Markets
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Rayee, G.
  3. The 8th Women in Quantitative Finance. (Conference) London, United Kingdom (2025). Invited speaker.
    Paper: Multivariate Additive Subordination with Applications in Finance
    Author: Amici, G.
    Co-authors: Ballotta, L.; Semeraro, P.
  4. LOW Mathematical Finance Workshop. (Workshop) University of Oxford, UK (2025). Invited speaker.
    Paper: The term structure of implied correlations between S&P and VIX
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Rayee, G.
  5. Managing meteorological risk: crossroads between insurance, statistics, and finance. (Workshop) Piacenza, Italy (2024). Invited speaker.
    Paper: Risk management of climate impact for tourism operators: An empirical analysis on ski resorts
    Author: Ballotta, L.
    Co-authors: Fusai, G; Kyriakou, I; Papapostolou, N. C.; Pouliasis, P. K.
  6. Benoît Mandelbrot: Mandelbrot’s propositions in economics and finance, and their legacy. (Workshop) Paris, France (2024). Invited speaker.
    Paper: New challenges in financial modelling: beyond classical Lévy models
    Author: Ballotta, L.
  7. FAMiLLY Workshop. (Workshop) University of York, UK (2024). Invited speaker.
    Paper: The term structure of implied correlations between S&P and VIX
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Rayee, G.
  8. QuantMinds International. (Conference) London, UK (2024). Invited speaker.
    Paper: The term structure of implied correlations between S&P and VIX
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Rayee, G.
  9. Annual Quant Insights Conference. (Conference) Globally Live-Online (2024). Invited speaker.
    Paper: Time changes, Fourier transforms and the joint calibration to the S&P500/VIX smiles
    Author: Ballotta, L.
    Co-authors: Eberlein E.; Rayee, G.
  10. London-Paris Bachelier Workshop. (Workshop) Institute Henri Poincaré, Paris, France (2024). Invited speaker.
    Paper: Multivariate Additive Subordination with Applications in Finance
    Author: Amici, G.
    Co-authors: Ballotta, L.; Semeraro, P.
  11. 12th World Congress of the Bachelier Finance Society. (Conference) Rio de Janeiro, Brazil (2024).
    Paper: Time changes, Fourier transforms and the joint calibration to the S&P500/VIX smiles
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Rayee, G.
  12. The 7th Women in Quantitative Finance Conference (WQF). (Conference) London, United Kingdom (2024). Invited speaker.
    Paper: Time changes, Fourier transforms and the joint calibration to the S&P500/VIX smiles
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Rayee, G.
  13. International Conference on Computational Finance — ICCF24. Amsterdam, The Netherlands (2024).
    Paper: Time changes, Fourier transforms and the joint calibration to the S&P500/VIX smiles
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Rayee, G.
  14. Quant Summit Europe. (Conference) London (2023). Invited speaker.
    Paper: Time changes, Fourier transforms and the joint calibration to the S&P500/VIX smiles
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Rayee, G.
  15. QuantMinds International. (Conference) London, United Kingdom (2023). Invited speaker.
    Paper: Renewing Black-Scholes: volatility and waiting times
    Author: Ballotta, L.
    Co-authors: Fusai, G.; Marazzina, D.
  16. New methods, perspectives and approaches, Research Seminar at the Bank of England. (Seminar) London, United Kingdom (2023). Invited speaker.
    Paper: Time changes, Fourier transforms and the joint calibration to the S&P500/VIX smiles
    Author: Ballotta, L.
    Co-authors: Eberlein, E., Rayee, G.
  17. Bank of England PRA development day. (Workshop) London, United Kingdom (2023). Invited speaker.
    Paper: Introduction to jumps models
    Author: Ballotta, L.
  18. Quant Insights Conference: Black-Scholes 50th Anniversary. (Conference) Globally Online (2023). Invited speaker.
    Paper: Renewing Black-Scholes: interpreting renewal waiting times
    Author: Ballotta, L.
    Co-authors: Fusai, G; Marazzina, D.
  19. Quant Insights Conference: Black-Scholes 50th Anniversary. (2023). Chair.
    Paper: Panel Discussion: From Theory to Practice: The Evolution of Quantitative Finance through Fischer Black’s Contributions
  20. SIAM Conference on Financial Mathematics and Engineering. (Conference) Philadelphia, United States of America (2023).
    Paper: Considerations on Fourier valuation in high dimensions
    Author: Ballotta, L.
  21. The 2nd Quantitative Finance Conference (Spring Edition). (Conference) London, United Kingdom (2023). Invited speaker.
    Paper: Counting jumps: an analysis of different waiting time distributions. Applications in Finance
    Author: Ballotta, L.
    Co-authors: Fusai, G.; Marazzina, D.
  22. The 6th Women in Quantitative Finance Conference (WQF). (Conference) London, United Kingdom (2023). Invited speaker.
    Paper: Considerations on Fourier valuation in high dimensions
    Author: Ballotta, L.
  23. The 5th Women in Quantitative Finance Hybrid Conference (WQF). (Conference) London & online (2022). Invited speaker.
    Paper: Time Changing Volatility
    Author: Ballotta, L.
  24. Institute for Financial and Actuarial Mathematics (IFAM) Seminars. (Seminar) University of Liverpool (online) (2022). Invited speaker.
    Paper: Volatility by jumps
    Author: Ballotta, L.
    Co-authors: Rayee, G.
  25. CQF Institute Events. (Seminar) London (Online) (2021). Invited speaker.
    Paper: Fourier-based methods for the management of complex insurance products
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Schmidt, T.; Zeineddin, R.
  26. Quantitative Finance Research Group at Scuola Normale seminar. (Seminar) Pisa (online) (2021). Invited speaker.
    Paper: Fourier-based methods for the management of complex insurance products
    Author: Ballotta, L.
    Co-authors: Eberlein, E; Schmidt, T.; Zeineddine, R.
  27. The Quantitative Finance Conference Spring Edition. (Conference) London - Online (2021). Invited speaker.
    Paper: Fourier-based methods for the management of complex insurance products
    Author: Ballotta, L.
    Co-authors: Eberlein, E; Schmidt, T.; Zeineddine, R.
  28. Brooklyn Quant Experience Lecture Series at NYU Tandon School of Engineering. (Seminar) New York, USA (virtual) (2021). Invited speaker.
    Paper: Fourier-based methods for the management of complex insurance products
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Schmidt, T.; Zeineddine, R.
  29. The 3rd Women in Quantitative Finance Conference (WQF). London (Globally Online) (2020). Invited speaker.
    Paper: Risk management of climate impact for tourism operators: An empirical analysis on ski resorts
    Author: Ballotta, L.
    Co-authors: Fusai, G.; Kyriakou, I.; Papapostolou.; Pouliasis, P.
  30. QuantMinds International 2020. (Conference) Hamburg - Online (2020). Invited speaker.
    Paper: Fourier-based methods for the management of complex insurance products
    Author: Ballotta, L.
    Co-authors: Eberlein, E.; Schmidt, T.; Zeineddine, R.
  31. 6th Workshop in Finance and Insurance. (Workshop) Freiburg im Breisgau, Germany (2019). Invited speaker.
    Paper: Risk management of climate impact for tourism operators: an empirical analysis on ski resorts
    Author: Ballotta, L.
    Co-authors: Fusai, G.; Kyriakou, I.; Papapostolou, N.; Pouliasis, P.
  32. The 2nd Women in Quantitative Finance Conference. London, United Kingdom (2019). Invited speaker.
    Paper: Learning hidden correlations: a self-exciting tale
    Author: Ballotta, L.
  33. Recent Developments in Dependence Modelling with Applications in Finance and Insurance - Sixth Edition -. (Workshop) Agkistri, Greece (2019). Invited speaker.
    Paper: Risk management of climate impact for tourism operators: an empirical analysis on ski resorts
    Author: Ballotta, L.
    Co-authors: Fusai, G.; Kyriakou, I.; Papapostolou, N. C.; Pouliasis, P. K.
  34. 23rd International Congress on Insurance: Mathematics and Economics (IME 2019). (Conference) Munich, Germany (2019).
    Paper: Risk management of climate impact for tourism operators: An empirical analysis on ski resorts
    Author: Ballotta, L.
    Co-authors: Fusai, G; Kyriakou, I; Papapostolou, N; Pouliasis, P
  35. QuantMinds 2019. (Conference) Vienna, Austria (2019). Invited speaker.
    Paper: Supporting hedging against climate change - a case for ski resorts
    Author: Ballotta, L.
    Co-authors: Fusai, G; Kyriakou, I; Papapostolou, N; Pouliasis, P.
  36. 10th World Congress of the Bachelier Finance Society. (Conference) Dublin, Ireland (2018).
    Paper: Smiles & Smirks: a tale of factors
    Author: Ballotta, L.
    Co-authors: Rayee, G.
  37. Department Seminar Universita Milano Bicocca. (Seminar) Milan, Italy (2018). Invited speaker.
    Paper: Smiles & Smirks: a tale of factors
    Author: Ballotta, L,
    Co-authors: Rayee, G.
  38. QuantMinds International. (Conference) Lisbon, Portugal (2018). Session/Day Chair. Invited speaker.
    Paper: Volatility by Jumps
    Author: Ballotta, L.
    Description: Chair Session in Volatility Modelling and Trading
  39. The Freiburg-Strasbourg research group on Financial and Actuarial Mathematics - 2nd Workshop. (Workshop) Freiburg Institute for Advanced Studies (FRIAS), Freiburg, Germany (2018). Invited speaker.
    Paper: Fair valuation of life insurance contracts with minimum guarantee
    Author: Ballotta, L.
  40. UCLouvain Finance Seminars. (Seminar) Université catholique de Louvain, Belgium (2017). Invited speaker.
    Paper: Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps
    Author: Ballotta, L.
    Co-authors: Fusai, G.; Marazzina, D.
  41. Quant Insights: Volatility modeling in financial markets. (Conference) Fitch Ratings Auditorium, London (2017). Invited speaker.
    Paper: Smiles & Smirks: a tale of factors
    Author: Ballotta, L.
    Co-authors: Rayee, L.
  42. Finance and Stochastics (FAST) seminars. (Seminar) School of Business, Management and Economics, University of Sussex, UK (2017). Invited speaker.
    Paper: Smiles and Smirks. A tale of factors
    Author: Ballotta, L.
    Co-authors: Rayee, G.
  43. International Conference on Computational Finance 2017 - ICCF2017. (Conference) Lisbon, Portugal (2017).
    Paper: Smiles & Smirks: a tale of factors
    Author: Ballotta, L
    Co-authors: Rayee, G.
    Description: Organizer Mini-Symposium "Jumps in finance: modelling, computing and open issues"
  44. Global Derivatives. Trading and Risk Management. (Conference) Barcelona, Spain (2017). Invited speaker.
    Paper: Smiles and Smirks: a tale of factors
    Author: Ballotta, L.
    Co-authors: Rayee, G.
  45. Actuarial and Financial Mathematics Conference. (Conference) Brussels, Belgium (2017). Invited speaker.
    Paper: Smiles & Smirks: a tale of factors
    Author: Ballotta, L.
    Co-authors: Rayee, G.
  46. MAF 2016. (Conference) Paris, France (2016).
    Paper: Quanto implied correlation in a multi-­Lévy framework
    Author: Ballotta L
    Co-authors: Deelstra, G. and Rayee, G.
  47. Global Derivatives: Trading & Risk Management. (Conference) Budapest, Hungary (2016). Invited speaker.
    Paper: Integrated structural approach to Counterparty Credit Risk with dependent jumps
    Author: Ballotta L
    Co-authors: Fusai, G. and Marazzina, D.
  48. Bachelier Finance Society, 9th World Congress. (Conference) New York, USA (2016).
    Paper: Quanto implied correlation in a multi-­Lévy framework
    Author: Ballotta L
    Co-authors: Deelstra, G. and Rayee, G.
  49. Bachelier Finance Society, 9th World Congress. (Conference) New York, USA (2016).
    Paper: Smiles & Smirks: a tale of factors
    Author: Ballotta L
    Co-authors: Rayee, G.
  50. Séminaire en Sciences Actuarielles ULB - VUB. (Seminar) Brussels, Belgium (2015). Invited speaker.
    Paper: Counterparty credit risk measurement: dependence effects, mitigating clauses and gap risk
    Author: Ballotta L.
    Co-authors: Fusai, G., Marazzina, D.
  51. Finance and Stochastics seminar, Department of Mathematics, Imperial College. (Seminar) London, UK (2015). Invited speaker.
    Paper: Counterparty credit risk measurement: dependence effects, mitigating clauses and gap risk
    Author: Ballotta L
    Co-authors: Fusai, G., Marazzina, D.
  52. London-Paris Bachelier Workshop on Mathematical Finance 2015. (Workshop) King's College, London, UK (2015). Invited speaker.
    Paper: Integrated structural approach to Counterparty Credit Risk with dependent jumps
    Author: Ballotta L. (invited)
    Co-authors: Fusai, G., Marazzina, D.
  53. Challenges in Derivatives Markets: Fixed income modeling, valuation adjustments, risk management, and regulation. (Conference) Munich (2015).
    Paper: Counterparty credit risk measurement: dependence effects, mitigating clauses and gap risk
    Author: Ballotta L.
    Co-authors: Fusai, G., Marazzina, D.
  54. 39th AMASES Conference. (Conference) Padova, Italy (2015).
    Paper: Quanto implied correlation in a multi-­Lévy framework
    Author: Ballotta L.
    Co-authors: Deelstra, G. and Rayee, G.
  55. Bachelier Finance Society, 8th World Congress. (Conference) Brussels, Belgium (2014).
    Paper: Pricing derivatives written on more than one underlying asset in a multivariate Lévy framework
    Author: Ballotta L
    Co-authors: G. Deelstra, G. Rayee
  56. Bachelier Finance Society, 8th World Congress. (Conference) Brussels, Belgium (2014).
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L
    Co-authors: G. Fusai and D. Marazzina
  57. Financial Engineering and Banking Society (FEBS) Conference. (Conference) University of Surrey, UK (2014).
    Paper: Multivariate L evy models by linear combination: estimation
    Author: Loregian A.
    Co-authors: G. Fusai, L. Ballotta
  58. (Seminar) ULB, Brussels, Belgium (2013). Invited speaker.
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L
    Co-authors: G. Fusai
  59. Counterparty credit risk and credit valuation adjustment. Quantitative and regulatory framework: New trends in theory and practice in a changing regulatory environment. (Conference) Bayes Business School (formerly Cass), London, UK (2013).
    Paper: CVA in a multivariate structural model with jumps
    Author: Ballotta L
    Co-authors: Fusai, G
  60. 3rd International Conference of the Financial Engineering and Banking Society (FEBS). (Conference) Paris, France (2013).
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L
    Co-authors: Fusai, G
  61. 30th International Conference of the French Finance Association (AFFI). (Conference) Lyon, France (2013).
    Paper: Counterparty credit risk in a multivariate structural model with jumps
    Author: Ballotta L
    Co-authors: Fusai, G
  62. Counterparty credit risk and credit valuation adjustment. Quantitative and regulatory framework: New trends in theory and practice in a changing regulatory environment. (Conference) Bayes Business School (formerly Cass), London, UK (2013). Organising Committee.
  63. Financial Engineering Workshop Series. (Conference) Bayes Business School (formerly Cass) (2012). Organising Committee.
  64. 5th International Conference MAF2012. (Conference) Venice, Italy (2012).
    Paper: Multivariate asset models using Levy processes and applications
    Author: Ballotta L
    Co-authors: E. Bonfiglioli
  65. 2nd International Conference Financial Engineering and Banking Society. (Conference) London (2012).
    Paper: Multivariate asset models with Levy processes and applications
    Author: Ballotta L
    Co-authors: E. Bonfiglioli
  66. 2011 Risk and Stochastics Day. (Conference) London School of Economics (2011). Invited speaker.
    Paper: Multivariate asset models using Levy processes and applications
    Author: Ballotta L
    Co-authors: Bonfiglioli, E.
  67. Journée de contact FNRS. (Workshop) Brussels, Belgium (2010). Invited speaker.
    Paper: Investment strategies and risk management for participating life insurance contracts
    Author: Ballotta L.
    Co-authors: Haberman, S.
  68. IRMC 2010, International Risk Management Conference. (Conference) Firenze, Italy (2010).
    Paper: Multivariate asset models using Levy processes and applications
    Author: Ballotta L.
    Co-authors: Bonfiglioli, E
  69. EUROFIDAI/AFFI 8th International Paris Finance Meeting. (Conference) Paris, France (2010).
    Paper: Multivariate asset models using Levy processes and applications
    Author: Ballotta L
    Co-authors: Bonfiglioli, E.
  70. European Financial Management Association Annual Meeting (scientific committee). (Conference) Aarhus, Denmark (2009). Organising Committee.
  71. Financial and Actuarial Mathematics seminar. (Seminar) Vienna University of Technology, Austria (2009). Invited speaker.
    Paper: Investment strategies and risk management for participating life insurance contracts
    Author: Ballotta L
    Co-authors: S Haberman
  72. Algorithmics Insurance Seminar. (Seminar) Milan, Italy (2009). Invited speaker.
    Paper: Investment strategies and risk management for participating life insurance contracts
    Author: Ballotta L
    Co-authors: S Haberman
  73. AFIR Colloquium 2009. (Conference) Munich, Germany (2009).
    Paper: Investment strategies and risk management for participating life insurance contracts
    Author: Ballotta L
    Co-authors: S Haberman
  74. Research Seminar Series. (Seminar) Amsterdam Center for Finance and Insurance (2008). Invited speaker.
    Paper: On Exotic contracts with payoff defined by a weighted sum of dependent asset prices
    Author: Ballotta Laura
  75. Finance Seminar Series. (Seminar) Faculty of Economics and Business Administration, Johann Wolfgang Goethe Universit¨at Frankfurt, Germany (2008). Invited speaker.
    Paper: Market consistent valuation of with profit contracts: modelling considerations
    Author: Ballotta Laura
  76. Actuarial and Financial Mathematics Conference. (Conference) Brussel, Belgium (2008). Invited speaker.
    Paper: Market consistent valuation of with profit contracts: modelling considerations (Invited Speaker)
    Author: Ballotta Laura
  77. 15th Annual Conference of the Multinational Finance Society. (Conference) Orlando, Florida, USA (2008).
    Paper: Market consistent valuation of with profit contracts: modelling considerations
    Author: Ballotta Laura
  78. 14th International Conference on Computing in Economics and Finance. (Conference) Sorbonne, Paris, France (2008).
    Paper: Numerical Approximations for the Pricing of Asian Options in a Lévy Process Model
    Author: Ballotta Laura
  79. AFIR 2007. (Conference) Stockholm, Sweden (2007).
    Paper: Pricing and capital requirements for with profits contracts: the importance of market modelling
    Author: Ballotta Laura
  80. 2007 Life Convention. (Conference) Manchester, United Kingdom (2007). Invited speaker.
    Paper: Risk assessment and management in a life insurance company: Modelling considerations
    Author: Ballotta Laura
  81. MBA - FSI. (Workshop) London (2006). Invited speaker.
    Paper: Current Accounting Issues Facing the Insurance Industry
    Author: Ballotta Laura
  82. EURO XXI. (Conference) Reykjavik, Iceland (2006).
    Paper: Valuation of participating contracts and risk capital assessment: the importance of market modelling, Invited Paper
    Author: Ballotta Laura
  83. 12th International Conference on Computing in Economics and Finance. (Conference) Limassol, Cyprus (2006).
    Paper: Valuation of participating contracts and risk capital assessment: the importance of market modelling
    Author: Ballotta Laura
  84. 10th International Congress on Insurance: Mathematics and Economics. (Conference) Leuven, Belgium (2006).
    Paper: Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk
    Author: Ballotta Laura
    Co-authors: G. Esposito, S. Haberman
  85. 10th International Congress on Insurance: Mathematics and Economics. (Conference) Leuven, Belgium (2006).
    Paper: Valuation of participating contracts and risk capital assessment: the importance of market modelling
    Author: Ballotta Laura
  86. Workshop in New Trends in Finance and Risk Management - Life Insurance Fair Value. (Workshop) E. M. Lyon - ISFA, Lyon, France (2005). Invited speaker.
    Paper: The International Accounting Standards Project for Life Insurance Contracts: Impact on Reserving Methods and Solvency Requirements. Invited paper
    Author: Ballotta Laura
    Co-authors: G Esposito, S Haberman
  87. 9th International Congress on Insurance: Mathematics and Economics. (Conference) Université Laval, Quebec, Canada (2005).
    Paper: The IASB Insurance Project for life insurance contracts: implications on reserving methods and solvency requirements
    Author: Ballotta Laura
    Co-authors: G. Esposito and S. Haberman
  88. 9th International Congress on Insurance: Mathematics and Economics. (Conference) Université Laval, Quebec, Canada (2005).
    Paper: Investment strategies and risk management of participating contracts
    Author: Ballotta Laura
    Co-authors: S. Haberman, N. Wang
  89. 15th International AFIR Colloquium. (Conference) Zurich, Switzerland (2005).
    Paper: The IASB Insurance Project for life insurance contracts: implications on reserving methods and solvency requirements
    Author: Ballotta Laura
    Co-authors: G Esposito, S Haberman
  90. 36th International ASTIN Colloquium. (Conference) Zurich, Switzerland (2005).
    Paper: Risk-based capital modelling for P&C insurers and financial sensitivity
    Co-authors: Nino Savelli
  91. 8th International Congress on Insurance: Mathematics and Economics. (Conference) Rome, Italy (2004).
    Paper: Alternative framework for the fair valuation of participating life insurance contracts: a Levy process based model
    Author: Ballotta Laura
  92. 3rd Conference in Actuarial Science and Finance. (Conference) Samos, Greece (2004).
    Paper: Alternative fair valuation models for options embedded in life insurance contracts
    Author: Ballotta Laura
  93. 14th Annual International AFIR Colloquium. (Conference) Boston, USA (2004).
    Paper: Alternative Framework for the Fair Value of Participating Life Insurance Contracts
    Author: Ballotta Laura
  94. Applied Mathematics and Applications of Mathematics, session in New issues in life insurance mathematics. (Conference) Nice, France (2003).
    Paper: Modelling and Valuation of With Profit and Unitised With Profit Life Insurance Policies. Invited Paper
    Author: Ballotta Laura
    Co-authors: S Haberman, N Wang
  95. 6th International Congress on Insurance Mathematics and Economics. (Conference) Lisbon, Portugal (2002).
    Paper: Pricing of Guaranteed Annuity Conversion Options
    Author: Ballotta Laura
    Co-authors: S Haberman
  96. 37th Actuarial Research Conference. (Conference) Waterloo, Ontario, Canada (2002).
    Paper: Pricing of Guaranteed Annuity Conversion Options
    Author: Ballotta Laura
    Co-authors: S Haberman
  97. 2nd Conference in Actuarial Science & Finance. (Conference) Samos, Greece (2002).
    Paper: Valuation of Guaranteed Annuity Options
    Author: Ballotta Laura
    Co-authors: S Haberman
  98. 1st International Conference in Financial Engineering, E-commerce, and Supply Chain. (Conference) Athens (2001).
    Paper: alpha-quantile option in a jump-diffusion economy
    Author: Ballotta Laura
  99. 16-th IMACS World Congress 2000, Session in Computational Methods in Financial Engineering. (Conference) Lausanne (2000).
    Paper: Simulation of Lévy processes and the option valuation problem: the case of the alpha-quantile option
    Author: Ballotta Laura

Media appearances (10)

  1. Discontinuities and Dualities in Quant Finance. (2021) QuantSpeak - CQF Institute (website).
  2. Fourier-based methods for the management of complex insurance products. (2020) QuantMinds Blog (website).
  3. Weather Derivatives and hedging the financial impact of climate change. (2019) QuantMinds TV.
  4. A new generation of quants: diverse and female? (2019) QuantMinds Blog (website).
  5. Weather derivatives: Supporting hedging against climate change – A case for ski resorts. (2019) QuantMinds Blog (website).
  6. Where are all the women in quant finance? (2018) QuantMinds TV.
  7. Question everything (stereotypes included). (2018) QuantMinds Blog (website).
  8. Volatility by jumps. (2018) QuantMinds Blog (website).
  9. Diffusive & jump behaviours: Factoring in the stochastic evolution of stock prices. (2017) Global Derivatives TV (website).
  10. Top 5 tips to understand counterparty credit risk. (2016) Global Derivatives TV (website).