BORMETTI, GIACOMO
BORMETTI, GIACOMO
DIPARTIMENTO DI MATEMATICA
Docenti di ruolo di Ia fascia
A backward Monte Carlo approach to exotic option pricing
2018 Giacomo Bormetti; Giorgia Callegaro; Giulia Livieri; Andrea Pallavicini
A generalized Fourier transform approach to risk measures
2010 Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing
2020 Dario Alitab, Giacomo Bormetti, Fulvio Corsi, Adam A. Majewski
A non-Gaussian approach to risk measures
2007 Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; Nicrosini, Oreste
A realized volatility approach to option pricing with continuous and jump variance components
2019 Alitab, Dario; Bormetti, Giacomo*; Corsi, Fulvio; Majewski, Adam A.
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
A stochastic volatility framework with analytical filtering
2017 Giacomo Bormetti; Roberto Casarin; Fulvio Corsi; Giulia Livieri
A Stochastic Volatility Model With Realized Measures for Option Pricing
2020 Bormetti G.; Casarin R.; Corsi F.; Livieri G.
A Stylized Model for Long-Run Index Return Dynamics
2016 Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; Nardini, Franco
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
2022 Danilo Vassallo; Giacomo Bormetti; Fabrizio Lillo
Accounting for risk of non linear portfolios : A novel Fourier approach
2010 Bormetti, G.; Cazzola, V.; Delpini, D.; Livan, G.
Bayesian Value-at-Risk with product partition models
2012 Bormetti, Giacomo; De Giuli, Maria Elena; Delpini, Danilo; Tarantola, Claudia
Collective synchronization and high frequency systemic instabilities in financial markets
2018 Lucio Maria Calcagnile, ; Bormetti, Giacomo; Michele, Treccani; Stefano, Marmi; Lillo, Fabrizio
Comment on: Price Discovery in High Resolution
2021 Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo
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
Deep calibration with random grids
2024 Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
Deep learning profit and loss
2021 Giacomo Bormetti; Flavio Cocco; Pietro Rossi
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
Exact moment scaling from multiplicative noise
2010 Bormetti, Giacomo; Delpini, Danilo
Impact of multiple curve dynamics in credit valuation adjustments
2016 Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea
| Titolo | Autore(i) | Anno | Periodico | Editore | Tipo | File |
|---|---|---|---|---|---|---|
| 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 | - |
| 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 | - |
| 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 non-Gaussian approach to risk measures | Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; Nicrosini, Oreste | 2007-01-01 | PHYSICA. A | - | 1.01 Articolo in rivista | - |
| 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 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 |
| 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 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 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 | - |
| 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 |
| 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 | - |
| 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 | - |
| 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 |
| 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 |
| 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 |
| Deep calibration with random grids | Fabio Baschetti, Giacomo Bormetti, Pietro Rossi | 2024-01-01 | QUANTITATIVE FINANCE | - | 1.01 Articolo in rivista | - |
| 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 |
| 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 | - |
| 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 | - |
| 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 | - |