BORMETTI, GIACOMO

BORMETTI, GIACOMO  

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Risultati 1 - 20 di 38 (tempo di esecuzione: 0.035 secondi).
Titolo Autore(i) Anno Periodico Editore Tipo File
Deep calibration with random grids Fabio Baschetti, Giacomo Bormetti, Pietro Rossi 2024-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista -
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 Bormetti, Giacomo 2024-01-01 JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION - 1.03 Recensione in rivista -
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics Danilo Vassallo; Giacomo Bormetti; Fabrizio Lillo 2022-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista QF_Vassallo.pdf
Score-driven generalized fitness model for sparse and weighted temporal networks Gangi D.D.; Bormetti G.; Lillo F. 2022-01-01 INFORMATION SCIENCES - 1.01 Articolo in rivista Score_Driven_Generalized_Fitness_Model_for_Sparse_Weighted_Temporal_Networks.pdf
The SINC way: a fast and accurate approach to Fourier pricing Baschetti Fabio; Bormetti Giacomo; Romagnoli Silvia; Rossi Pietro 2022-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista The_SINC_way_post_print.pdf
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio 2021-01-01 JOURNAL OF BUSINESS & ECONOMIC STATISTICS - 1.01 Articolo in rivista SSRN-id2912438.pdf
Comment on: Price Discovery in High Resolution Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo 2021-01-01 JOURNAL OF FINANCIAL ECONOMETRICS - 1.01 Articolo in rivista SSRN-id3334860_IS_JFEC.pdf
Deep learning profit and loss Giacomo Bormetti; Flavio Cocco; Pietro Rossi 2021-01-01 RISK - 1.01 Articolo in rivista rtp_rossi_1021_web_final[441].pdf
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing Dario Alitab, Giacomo Bormetti, Fulvio Corsi, Adam A. Majewski 2020-01-01 JOURNAL OF FINANCIAL ECONOMETRICS - 1.01 Articolo in rivista SSRN-id2631155_OP_JFEC.pdf
A Stochastic Volatility Model With Realized Measures for Option Pricing Bormetti G.; Casarin R.; Corsi F.; Livieri G. 2020-01-01 JOURNAL OF BUSINESS & ECONOMIC STATISTICS - 1.01 Articolo in rivista Stochastic Volatility Model With Realized Measures JBES_accepted.pdf
A realized volatility approach to option pricing with continuous and jump variance components Alitab, Dario; Bormetti, Giacomo*; Corsi, Fulvio; Majewski, Adam A. 2019-01-01 DECISIONS IN ECONOMICS AND FINANCE - 1.01 Articolo in rivista DEAF-42-2019.pdf
A backward Monte Carlo approach to exotic option pricing Giacomo Bormetti; Giorgia Callegaro; Giulia Livieri; Andrea Pallavicini 2018-01-01 EUROPEAN JOURNAL OF APPLIED MATHEMATICS - 1.01 Articolo in rivista -
Collective synchronization and high frequency systemic instabilities in financial markets Lucio Maria Calcagnile, ; Bormetti, Giacomo; Michele, Treccani; Stefano, Marmi; Lillo, Fabrizio 2018-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista Calcagnile_etal_2017.pdf
Impact of multiple curve dynamics in Credit Valuation Adjustments under collateralization Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea 2018-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista -
Linear models for the impact of order flow on prices. I. History dependent impact models Damian Eduardo, Taranto; Giacomo, Bormetti; Jean-Philippe, Bouchaud; Fabrizio, Lillo; Bence, Toth 2018-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista -
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model Damian Eduardo Taranto; Giacomo Bormetti; Jean-Philippe Bouchaud; Fabrizio Lillo; Bence Toth 2018-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista -
Multi-curve HJM modelling for risk management Sabelli, Chiara; Pioppi, Michele; Sitzia, Luca; Bormetti, Giacomo 2018-01-01 QUANTITATIVE FINANCE - 1.01 Articolo in rivista HJM_for_Risk_Management_postacceptance.pdf
Value Matters: The Long-run Behavior of Stock Index Returns Natascia Angelini, Giacomo Bormetti, Stefano Marmi, Franco Nardini 2018-01-01 REVIEW OF ECONOMICS & FINANCE - 1.01 Articolo in rivista Angelini_etal_REF_2018.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 -
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 -