The following pages link to Giacomo Bormetti (Q2292058):
Displayed 23 items.
- Item:Q2292058 (redirect page) (← links)
- Accounting for risk of non linear portfolios. A novel Fourier approach (Q614629) (← links)
- A realized volatility approach to option pricing with continuous and jump variance components (Q2292059) (← links)
- Smile from the past: a general option pricing framework with multiple volatility and leverage components (Q2347728) (← links)
- Bayesian Value-at-Risk with product partition models (Q2869966) (← links)
- Multiplicative noise, fast convolution and pricing (Q2879044) (← links)
- OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL (Q3067763) (← links)
- A generalized Fourier transform approach to risk measures (Q3301115) (← links)
- Erratum: A generalized Fourier transform approach to risk measures (Q3301359) (← links)
- Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4554408) (← links)
- Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
- Multi-curve HJM modelling for risk management (Q4554439) (← links)
- Linear models for the impact of order flow on prices. I. History dependent impact models (Q4554471) (← links)
- Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model (Q4554472) (← links)
- A Stylized Model for Long-Run Index Return Dynamics (Q4555250) (← links)
- A backward Monte Carlo approach to exotic option pricing (Q4575277) (← links)
- Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
- Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments (Q4689911) (← links)
- The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
- The probability distribution of returns in the exponential Ornstein–Uhlenbeck model (Q5239449) (← links)
- Pricing exotic options in a path integral approach (Q5475311) (← links)
- Stable Lévy Processes via Lamperti-Type Representations <b>Stable Lévy Processes via Lamperti-Type Representations</b> , Andreas E. Kyprianou and Juan Carlos Pardo, New York, NY: Cambridge University Press, 2022, xx+463 pp., $69. (Q6154035) (← links)
- A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics (Q6158388) (← links)