← All authors Luca Vincenzo Ballestra University of Bologna (from arXiv:2410.14513, 2024) · ORCID · OpenAlex
57 papers in scope · 56 published · 2 on the econ.EM arXiv · 787 citations · h-index 16 (over the papers listed here)
Papers (2 of 57)
Modeling the impact of climate variables on agriculture through the F-transform
published 2026 · Scientific Reports
with Benedetta Amicizia, Maria Letizia Guerra, Laerte Sorini, Luciano Stefanini
Forecasting Volatility Using Hybrid Machine Learning Method: Sequencing Block, Multi-layer Perceptron, and Bayesian Optimization
published 2025 · Computational Economics · 1 citations
with Davood Ahmadian, Mohammad Reza Chalak Qazani, Navid Parvini, Vahid Norouzi, Siamak Pedrammehr
published 2025 · Journal of Empirical Finance · 1 citations · first circulated 2024
Multivariate GARCH models with spherical parameterizations: an oil price application
published 2025 · Financial Innovation · 2 citations
with Riccardo De Blasis, Graziella Pacelli
Forecasting Cryptocurrency Prices Using Support Vector Regression Enhanced by Particle Swarm Optimization
published 2024 · Computational Economics · 7 citations
with Navid Parvini, Davood Ahmadian
working paper 2024 · arXiv
Pricing Cyber Insurance: A Geospatial Statistical Approach
published 2024 · Applied Stochastic Models in Business and Industry · 2 citations
with Valeria D’Amato, Paola Fersini, Salvatore Forte, Fedele Greco
Increasing lower incomes and reducing material deprivation: The beneficial role of social robots
published 2024 · Technological Forecasting and Social Change
with Veronica Scuotto, M.T. Cuomo, Manlio Del Giudice
Pricing Asian options under the mixed fractional Brownian motion with jumps
published 2024 · Mathematics and Computers in Simulation · 22 citations · first circulated 2021
with Foad Shokrollahi, Davood Ahmadian
Reverse engineering the last-minute on-line pricing practices: an application to hotels
published 2024 · Statistical Methods & Applications · 1 citations
Integrating narrow and wide framing disposition effect: A novel approach incorporating perceived risk and realized asset performance
published 2024 · 2 citations
with Andrea Guizzardi, Lorenzo Mazzucchelli
A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options
published 2023 · European Journal of Operational Research · 9 citations
Modeling economic growth with spatial migration: A stability analysis of the long-run equilibrium based on semigroup theory
published 2023 · Journal of Mathematical Analysis and Applications · 6 citations
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options
published 2023 · Journal of Financial Econometrics · 4 citations
Investigating long and short memory in cryptocurrency time series by stochastic fractional Brownian models
published 2022 · Communications in Statistics - Simulation and Computation · 2 citations
with Andrea Molent, Graziella Pacelli
The impact of education on the Energy Trilemma Index: A sustainable innovativeness perspective for resilient energy systems
published 2022 · Applied Energy · 48 citations
with Simone Gibellato, Fabio Fiano, Domenico Graziano, Gian Luca Gregori
A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion
published 2022 · Chaos Solitons & Fractals · 23 citations
with Davood Ahmadian, Foad Shokrollahi
Editorial: New insights on environmental management accounting, innovative companies, tax measures and foreign direct investments
published 2022 · Risk Governance and Control Financial Markets & Institutions · 1 citations
Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
published 2021 · Computational Management Science · 4 citations
An extremely efficient numerical method for pricing options in the Black–Scholes model with jumps
published 2020 · Mathematical Methods in the Applied Sciences · 6 citations
with Davood Ahmadian, Nader Karimi
Open innovation and patenting activity in health care
published 2020 · Journal of Intellectual Capital · 44 citations
with Beatrice Orlando, Domitilla Magni, Francesco Ciampi
Modeling CDS spreads: A comparison of some hybrid approaches
published 2020 · Journal of Empirical Finance · 11 citations
with Graziella Pacelli, Davide Radi
Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
published 2020 · Physica A Statistical Mechanics and its Applications · 25 citations
with Davood Ahmadian
Forecasting and trading on the VIX futures market: A neural network approach based on open to close returns and coincident indicators
published 2019 · International Journal of Forecasting · 29 citations
with Andrea Guizzardi, Fabio Palladini
Valuing strategic investments under stochastic interest rates: A real option approach
published 2019 · Corporate Ownership and Control · 1 citations
with Graziella Pacelli, Davide Radi
Stability analysis of split-step θ-Milstein method for a class of n-dimensional stochastic differential equations
published 2018 · Applied Mathematics and Computation · 5 citations
with Davood Ahmadian, Omid Farkhondeh Rouz
Fast and accurate calculation of American option prices
published 2018 · Decisions in Economics and Finance · 7 citations
Valuing investment projects under interest rate risk: empirical evidence from European firms
published 2017 · Applied Economics · 6 citations
with Graziella Pacelli, Davide Radi
Investor reaction to IFRS for financial instruments in Europe: The role of firm-specific factors
published 2017 · Finance research letters · 34 citations
with Enrico Onali, Gianluca Ginesti
A NOTE ON FERGUSSON AND PLATEN: “APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS”
published 2016 · Annals of Financial Economics · 4 citations
with Graziella Pacelli, Davide Radi
The spatial AK model and the Pontryagin maximum principle
published 2016 · Journal of Mathematical Economics · 25 citations
Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach
published 2016 · Computational Economics · 5 citations
with Alessandro Andreoli, Graziella Pacelli
A fast numerical method to price American options under the Bates model
published 2016 · Computers & Mathematics with Applications · 28 citations
with Liliana Cecere
A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance
published 2016 · Physica A Statistical Mechanics and its Applications · 6 citations
with Graziella Pacelli, Davide Radi
Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market
published 2016 · Quantitative Finance · 6 citations
with Graziella Pacelli, Davide Radi
From insurance risk to credit portfolio management: a new approach to pricing CDOs
published 2016 · Quantitative Finance · 5 citations
with Alessandro Andreoli, Graziella Pacelli
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
published 2016 · Chaos Solitons & Fractals · 41 citations
with Graziella Pacelli, Davide Radi
A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE
published 2015 · Chaos Solitons & Fractals · 16 citations
with Liliana Cecere
Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley
published 2015 · Finance research letters · 11 citations
with Liliana Cecere
A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion
published 2014 · International Journal of Computer Mathematics · 10 citations
with Davood Ahmadian
Computing survival probabilities based on stochastic differential models
published 2014 · Journal of Computational and Applied Mathematics · 4 citations
with Alessandro Andreoli, Graziella Pacelli
Valuing risky debt: A new model combining structural information with the reduced-form approach
published 2014 · Insurance Mathematics and Economics · 14 citations
with Graziella Pacelli
A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
published 2013 · Applied Numerical Mathematics · 11 citations · first circulated 2009
with Graziella Pacelli
Repeated spatial extrapolation: An extraordinarily efficient approach for option pricing
published 2013 · Journal of Computational and Applied Mathematics · 19 citations · first circulated 2012
A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options
published 2013 · Computational Economics · 36 citations
with A. Golbabai, Davood Ahmadian
A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
published 2013 · International Journal of Apllied Mathematics · 13 citations
with Liliana Cecere, Corso Gran
Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach
published 2013 · Journal of Economic Dynamics and Control · 79 citations
with Graziella Pacelli
Stability Switches and Hopf Bifurcation in a Kaleckian Model of Business Cycle
published 2013 · Abstract and Applied Analysis · 9 citations
with Luca Guerrini, Graziella Pacelli
Superconvergence of the finite element solutions of the Black–Scholes equation
published 2012 · Finance research letters · 26 citations
with A. Golbabai, Davood Ahmadian
An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk
published 2012 · Insurance Mathematics and Economics · 3 citations
with Massimiliano Ottaviani, Graziella Pacelli
A boundary element method to price time-dependent double barrier options
published 2011 · Applied Mathematics and Computation · 19 citations
with Graziella Pacelli
The constant elasticity of variance model: calibration, test and evidence from the Italian equity market
published 2011 · Applied Financial Economics · 8 citations
with Graziella Pacelli
The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach
published 2010 · Computers & Mathematics with Applications · 67 citations
with Carlo Sgarra
On a variational formulation used in credit risk modeling
published 2010 · Finance research letters · 2 citations
with Graziella Pacelli
A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
published 2008 · Applied Mathematical Finance · 5 citations
with Graziella Pacelli
A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
published 2007 · Journal of Banking & Finance · 11 citations
with Graziella Pacelli, Francesco Zirilli
A numerical method to price European derivatives based on the one factor LIBOR Market Model of interest rates
published 2007 · Nonlinear Analysis Hybrid Systems · 1 citations
with Graziella Pacelli, Francesco Zirilli
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