Sfoglia per Autore
Pricing exotic options in a path integral approach
2006 Bormetti, G.; Montagna, G.; Moreni, N.; Nicrosini, O.
A non-Gaussian approach to risk measures
2007 Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; Nicrosini, Oreste
The probability distribution of returns in the exponential Ornstein-Uhlenbeck model
2008 Bormetti, G.; Cazzola, V.; Montagna, G.; Nicrosini, O.
Accounting for risk of non linear portfolios : A novel Fourier approach
2010 Bormetti, G.; Cazzola, V.; Delpini, D.; Livan, G.
Option pricing under ornstein-uhlenbeck stochastic volatility: A linear model
2010 Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo
A generalized Fourier transform approach to risk measures
2010 Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste
Exact moment scaling from multiplicative noise
2010 Bormetti, Giacomo; Delpini, Danilo
The low volatility fluctuations regime of the exponential Ornstein-Uhlenbeck model
2010 Bormetti Giacomo; Cazzola Valentina; Delpini Danilo; Montagna Guido; Nicrosini Oreste
Minimal model of financial stylized facts
2011 Delpini, Danilo; Bormetti, Giacomo
Bayesian Value-at-Risk with product partition models
2012 Bormetti, Giacomo; De Giuli, Maria Elena; Delpini, Danilo; Tarantola, Claudia
Erratum: A generalized Fourier transform approach to risk measures (Journal of Statistical Mechanics: Theory and Experiment)
2012 Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste
The adaptive nature of liquidity taking in limit order books
2014 Taranto, D.E.; Bormetti, G.; Lillo, F.
Multiplicative noise, fast convolution and pricing
2014 Bormetti, Giacomo; Cazzaniga, Sofia
Modelling systemic price cojumps with Hawkes factor models
2015 Bormetti, Giacomo; Calcagnile, Lucio Maria; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
Smile from the past: A general option pricing framework with multiple volatility and leverage components
2015 Majewski, Adam A; Bormetti, Giacomo; Corsi, Fulvio
Stochastic volatility with heterogeneous time scales
2015 Delpini, D.; Bormetti, G.
A Stylized Model for Long-Run Index Return Dynamics
2016 Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; Nardini, Franco
Impact of multiple curve dynamics in credit valuation adjustments
2016 Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea
Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics
2016 Ranco, Gabriele; Bordino, Ilaria; Bormetti, Giacomo; Caldarelli, Guido; Lillo, Fabrizio; Treccani, Michele
A stochastic volatility framework with analytical filtering
2017 Giacomo Bormetti; Roberto Casarin; Fulvio Corsi; Giulia Livieri
| Titolo | Autore(i) | Anno | Periodico | Editore | Tipo | File |
|---|---|---|---|---|---|---|
| Pricing exotic options in a path integral approach | Bormetti, G.; Montagna, G.; Moreni, N.; Nicrosini, O. | 2006-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| A non-Gaussian approach to risk measures | Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; Nicrosini, Oreste | 2007-01-01 | PHYSICA. A | - | 1.01 Articolo in rivista | - |
| The probability distribution of returns in the exponential Ornstein-Uhlenbeck model | Bormetti, G.; Cazzola, V.; Montagna, G.; Nicrosini, O. | 2008-01-01 | JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT | - | 1.01 Articolo in rivista | - |
| Accounting for risk of non linear portfolios : A novel Fourier approach | Bormetti, G.; Cazzola, V.; Delpini, D.; Livan, G. | 2010-01-01 | THE EUROPEAN PHYSICAL JOURNAL. B, CONDENSED MATTER PHYSICS | - | 1.01 Articolo in rivista | - |
| Option pricing under ornstein-uhlenbeck stochastic volatility: A linear model | Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo | 2010-01-01 | INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | - | 1.01 Articolo in rivista | - |
| A generalized Fourier transform approach to risk measures | Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste | 2010-01-01 | JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT | - | 1.01 Articolo in rivista | - |
| Exact moment scaling from multiplicative noise | Bormetti, Giacomo; Delpini, Danilo | 2010-01-01 | PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS | - | 1.01 Articolo in rivista | - |
| The low volatility fluctuations regime of the exponential Ornstein-Uhlenbeck model | Bormetti Giacomo; Cazzola Valentina; Delpini Danilo; Montagna Guido; Nicrosini Oreste | 2010-01-01 | JOURNAL OF PHYSICS. CONFERENCE SERIES | IOP | 4.01 Contributo in Atti di convegno | - |
| Minimal model of financial stylized facts | Delpini, Danilo; Bormetti, Giacomo | 2011-01-01 | PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS | - | 1.01 Articolo in rivista | - |
| Bayesian Value-at-Risk with product partition models | Bormetti, Giacomo; De Giuli, Maria Elena; Delpini, Danilo; Tarantola, Claudia | 2012-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| Erratum: A generalized Fourier transform approach to risk measures (Journal of Statistical Mechanics: Theory and Experiment) | Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste | 2012-01-01 | JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT | - | 1.01 Articolo in rivista | - |
| The adaptive nature of liquidity taking in limit order books | Taranto, D.E.; Bormetti, G.; Lillo, F. | 2014-01-01 | JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT | - | 1.01 Articolo in rivista | - |
| Multiplicative noise, fast convolution and pricing | Bormetti, Giacomo; Cazzaniga, Sofia | 2014-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| Modelling systemic price cojumps with Hawkes factor models | Bormetti, Giacomo; Calcagnile, Lucio Maria; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lil...lo, Fabrizio | 2015-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| Smile from the past: A general option pricing framework with multiple volatility and leverage components | Majewski, Adam A; Bormetti, Giacomo; Corsi, Fulvio | 2015-01-01 | JOURNAL OF ECONOMETRICS | - | 1.01 Articolo in rivista | JE187-2015.pdf |
| Stochastic volatility with heterogeneous time scales | Delpini, D.; Bormetti, G. | 2015-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| A Stylized Model for Long-Run Index Return Dynamics | Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; Nardini, Franco | 2016-01-01 | - | Springer | 2.01 Capitolo / saggio in libro | - |
| Impact of multiple curve dynamics in credit valuation adjustments | Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea | 2016-01-01 | - | Springer Open | 4.01 Contributo in Atti di convegno | - |
| Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics | Ranco, Gabriele; Bordino, Ilaria; Bormetti, Giacomo; Caldarelli, Guido; Lillo, Fabrizio; Treccani..., Michele | 2016-01-01 | PLOS ONE | - | 1.01 Articolo in rivista | Ranco_etal-journal.pone.0146576.pdf |
| A stochastic volatility framework with analytical filtering | Giacomo Bormetti; Roberto Casarin; Fulvio Corsi; Giulia Livieri | 2017-01-01 | - | Firenze University Press | 4.01 Contributo in Atti di convegno | - |
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