Sfoglia per Autore
Linear models for the impact of order flow on prices. I. History dependent impact models
2018 Damian Eduardo, Taranto; Giacomo, Bormetti; Jean-Philippe, Bouchaud; Fabrizio, Lillo; Bence, Toth
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model
2018 Damian Eduardo Taranto; Giacomo Bormetti; Jean-Philippe Bouchaud; Fabrizio Lillo; Bence Toth
Value Matters: The Long-run Behavior of Stock Index Returns
2018 Natascia Angelini, Giacomo Bormetti, Stefano Marmi, Franco Nardini
Impact of multiple curve dynamics in Credit Valuation Adjustments under collateralization
2018 Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea
Collective synchronization and high frequency systemic instabilities in financial markets
2018 Lucio Maria Calcagnile, ; Bormetti, Giacomo; Michele, Treccani; Stefano, Marmi; Lillo, Fabrizio
Multi-curve HJM modelling for risk management
2018 Sabelli, Chiara; Pioppi, Michele; Sitzia, Luca; Bormetti, Giacomo
A backward Monte Carlo approach to exotic option pricing
2018 Giacomo Bormetti; Giorgia Callegaro; Giulia Livieri; Andrea Pallavicini
A realized volatility approach to option pricing with continuous and jump variance components
2019 Alitab, Dario; Bormetti, Giacomo*; Corsi, Fulvio; Majewski, Adam A.
A Stochastic Volatility Model With Realized Measures for Option Pricing
2020 Bormetti G.; Casarin R.; Corsi F.; Livieri G.
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing
2020 Dario Alitab, Giacomo Bormetti, Fulvio Corsi, Adam A. Majewski
Deep learning profit and loss
2021 Giacomo Bormetti; Flavio Cocco; Pietro Rossi
Comment on: Price Discovery in High Resolution
2021 Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
2021 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
The SINC way: a fast and accurate approach to Fourier pricing
2022 Baschetti Fabio; Bormetti Giacomo; Romagnoli Silvia; Rossi Pietro
Score-driven generalized fitness model for sparse and weighted temporal networks
2022 Gangi D.D.; Bormetti G.; Lillo F.
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
2022 Danilo Vassallo; Giacomo Bormetti; Fabrizio Lillo
Deep calibration with random grids
2024 Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
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 Bormetti, Giacomo
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