Giacomo Bormetti

Available identifiers

zbMath Open bormetti.giacomoWikidataQ83992752 ScholiaQ83992752MaRDI QIDQ2292058

List of research outcomes

Publication	Date of Publication	Type
Deep calibration with random grids	2025-01-06	Paper
A Stochastic Volatility Model With Realized Measures for Option Pricing	2024-10-28	Paper
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics	2024-10-11	Paper
Stable Lévy Processes via Lamperti-Type Representations Stable Lévy Processes via Lamperti-Type Representations , Andreas E. Kyprianou and Juan Carlos Pardo, New York, NY: Cambridge University Press, 2022, xx+463 pp., $69.99(H), ISBN 978-1-108-48029-1.	2024-03-19	Paper
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	2023-06-20	Paper
The SINC way: a fast and accurate approach to Fourier pricing	2022-05-05	Paper
Impact of multiple curve dynamics in credit valuation adjustments under collateralization	2021-09-03	Paper
A generalized Fourier transform approach to risk measures	2020-08-11	Paper
Erratum: A generalized Fourier transform approach to risk measures	2020-08-11	Paper
A realized volatility approach to option pricing with continuous and jump variance components	2020-01-31	Paper
The probability distribution of returns in the exponential Ornstein–Uhlenbeck model	2019-10-22	Paper
A Stylized Model for Long-Run Index Return Dynamics	2018-11-19	Paper
Impact of multiple curve dynamics in credit valuation adjustments under collateralization	2018-11-14	Paper
Multi-curve HJM modelling for risk management	2018-11-14	Paper
Linear models for the impact of order flow on prices. I. History dependent impact models	2018-11-14	Paper
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model	2018-11-14	Paper
Collective synchronization and high frequency systemic instabilities in financial markets	2018-11-14	Paper
Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments	2018-10-22	Paper
Modelling systemic price cojumps with Hawkes factor models	2018-09-19	Paper
A backward Monte Carlo approach to exotic option pricing	2018-07-13	Paper
Smile from the past: a general option pricing framework with multiple volatility and leverage components	2015-06-08	Paper
Multiplicative noise, fast convolution and pricing	2014-09-05	Paper
Bayesian Value-at-Risk with product partition models	2014-01-17	Paper
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model	2011-01-13	Paper
Accounting for risk of non linear portfolios. A novel Fourier approach	2011-01-04	Paper
Pricing exotic options in a path integral approach	2006-06-16	Paper

Research outcomes over time

This page was built for person: Giacomo Bormetti