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You are here: FRIAS People Fellows Dr. Laura Ballotta

Dr. Laura Ballotta

Cass Business School, University of London, UK
Financial Mathematics
External Senior Fellow
Marie S. Curie FCFP Fellow
February 2020 - May 2020

Phone +44 7786268312

CV

Dr 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.

Laura Ballotta obtained her PhD in Mathematical and Computational Methods for Economics and Finance from the Università degli Studi di Bergamo (Italy), following her BSc in Economics from Università Cattolica del Sacro Cuore, Piacenza (Italy), and MSc in Financial Mathematics from the University of Edinburgh - jointly awarded with Heriot-Watt University (UK). Laura has previously held positions at Università Cattolica del Sacro Cuore, Piacenza (Italy), and Department of Actuarial Science and Statistics, City University London (UK).

Selected Publication

  • 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. doi:10.1016/j.tourman.2019.104011.
  • Ballotta, L., Eberlein, E., Schmidt, T. and Zeineddine, R. (2020). Variable annuities in a Lévy-based hybrid model with surrender risk. Quantitative Finance. doi:10.1080/14697688.2019.1687929.
  • 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.
  • 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.
  • 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.

FRIAS-Project

Variable annuities, benefit designs and the empirical analysis of surrender risk

In this project, we focus on popular retirement provisions, such as Variable Annuities, and their sustainability, which is a prominent issue in a time of longevity and contextual low interest rates. The main goal is the identification of realistic models for more adequate pricing, reserving and risk management of these long-term contracts. In some details, these models need to cater for the primary sources of risk affecting the contracts, i.e. financial risk, mortality and longevity risks, and surrender risk. Key features however for the model to be of interest and use in the industry are its tractability, which can lead to valuation schemes which can be deployed to obtain numbers in real time, and its interpretability, i.e. the ability to identify which parameter accounts for which change in the dynamics of the quantities of interest. Consequently, the development of efficient numerical procedures is explored as well.