Giacomo Bormetti

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Person:2292058

Available identifiers

zbMath Open bormetti.giacomoWikidataQ83992752 ScholiaQ83992752MaRDI QIDQ2292058

List of research outcomes





PublicationDate of PublicationType
Deep calibration with random grids2025-01-06Paper
A Stochastic Volatility Model With Realized Measures for Option Pricing2024-10-28Paper
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics2024-10-11Paper
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 978-1-108-48029-1.2024-03-19Paper
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics2023-06-20Paper
The SINC way: a fast and accurate approach to Fourier pricing2022-05-05Paper
Impact of multiple curve dynamics in credit valuation adjustments under collateralization2021-09-03Paper
A generalized Fourier transform approach to risk measures2020-08-11Paper
Erratum: A generalized Fourier transform approach to risk measures2020-08-11Paper
A realized volatility approach to option pricing with continuous and jump variance components2020-01-31Paper
The probability distribution of returns in the exponential Ornstein–Uhlenbeck model2019-10-22Paper
A Stylized Model for Long-Run Index Return Dynamics2018-11-19Paper
Impact of multiple curve dynamics in credit valuation adjustments under collateralization2018-11-14Paper
Multi-curve HJM modelling for risk management2018-11-14Paper
Linear models for the impact of order flow on prices. I. History dependent impact models2018-11-14Paper
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model2018-11-14Paper
Collective synchronization and high frequency systemic instabilities in financial markets2018-11-14Paper
Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments2018-10-22Paper
Modelling systemic price cojumps with Hawkes factor models2018-09-19Paper
A backward Monte Carlo approach to exotic option pricing2018-07-13Paper
Smile from the past: a general option pricing framework with multiple volatility and leverage components2015-06-08Paper
Multiplicative noise, fast convolution and pricing2014-09-05Paper
Bayesian Value-at-Risk with product partition models2014-01-17Paper
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model2011-01-13Paper
Accounting for risk of non linear portfolios. A novel Fourier approach2011-01-04Paper
Pricing exotic options in a path integral approach2006-06-16Paper

Research outcomes over time

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