BORMETTI, GIACOMO
BORMETTI, GIACOMO
DIPARTIMENTO DI SCIENZE ECONOMICHE E AZIENDALI
A generalized Fourier transform approach to risk measures
2010-01-01 Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing
2020-01-01 Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A.
A non-Gaussian approach to risk measures
2007-01-01 Bormetti, Giacomo; Cisana, ENRICA VERA; Montagna, Guido; Nicrosini, Oreste
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
2021-01-01 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
A Stochastic Volatility Model With Realized Measures for Option Pricing
2020-01-01 Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri, Giulia
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
2022-01-01 Vassallo, Danilo; Bormetti, Giacomo; Lillo, Fabrizio
Bayesian Value-at-Risk with Product Partition Models
2012-01-01 Bormetti, Giacomo; DE GIULI, MARIA ELENA; Delpini, Danilo; Tarantola, Claudia
Comment on: Price Discovery in High Resolution
2021-01-01 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
Deep calibration with random grids
2024-01-01 Baschetti, Fabio; Bormetti, Giacomo; Rossi, Pietro
Deep learning profit and loss
2021-01-01 Bormetti, Giacomo; Cocco, Flavio; Rossi, Pietro
Estimating value-at-risk with product partition models
2009-01-01 Delpini, Danilo; Bormetti, Giacomo; DE GIULI, MARIA ELENA; Tarantola, Claudia
Pricing exotic options in a path integral approach
2006-01-01 Bormetti, Giacomo; Montagna, Guido; Nicrosini, Oreste; Moreni, Nicola
Score-driven generalized fitness model for sparse and weighted temporal networks
2022-01-01 Di Gangi, Domenico; Bormetti, Giacomo; Lillo, Fabrizio
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
2024-01-01 Bormetti, Giacomo
The low volatility fluctuations regime of the exponential Ornstein-Uhlenbeck model
2010-01-01 Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo; Montagna, Guido; Nicrosini, Oreste
The SINC way: a fast and accurate approach to Fourier pricing
2022-01-01 Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; Rossi, Pietro
| Titolo | Data di pubblicazione | Autore(i) | File |
|---|---|---|---|
| A generalized Fourier transform approach to risk measures | 1-gen-2010 | Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste | |
| A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing | 1-gen-2020 | Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; Majewski, Adam A. | |
| A non-Gaussian approach to risk measures | 1-gen-2007 | Bormetti, Giacomo; Cisana, ENRICA VERA; Montagna, Guido; Nicrosini, Oreste | |
| A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics | 1-gen-2021 | Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio | |
| A Stochastic Volatility Model With Realized Measures for Option Pricing | 1-gen-2020 | Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri, Giulia | |
| A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics | 1-gen-2022 | Vassallo, Danilo; Bormetti, Giacomo; Lillo, Fabrizio | |
| Bayesian Value-at-Risk with Product Partition Models | 1-gen-2012 | Bormetti, Giacomo; DE GIULI, MARIA ELENA; Delpini, Danilo; Tarantola, Claudia | |
| Comment on: Price Discovery in High Resolution | 1-gen-2021 | Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio | |
| Deep calibration with random grids | 1-gen-2024 | Baschetti, Fabio; Bormetti, Giacomo; Rossi, Pietro | |
| Deep learning profit and loss | 1-gen-2021 | Bormetti, Giacomo; Cocco, Flavio; Rossi, Pietro | |
| Estimating value-at-risk with product partition models | 1-gen-2009 | Delpini, Danilo; Bormetti, Giacomo; DE GIULI, MARIA ELENA; Tarantola, Claudia | |
| Pricing exotic options in a path integral approach | 1-gen-2006 | Bormetti, Giacomo; Montagna, Guido; Nicrosini, Oreste; Moreni, Nicola | |
| Score-driven generalized fitness model for sparse and weighted temporal networks | 1-gen-2022 | Di Gangi, Domenico; Bormetti, Giacomo; Lillo, Fabrizio | |
| 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 | 1-gen-2024 | Bormetti, Giacomo | |
| The low volatility fluctuations regime of the exponential Ornstein-Uhlenbeck model | 1-gen-2010 | Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo; Montagna, Guido; Nicrosini, Oreste | |
| The SINC way: a fast and accurate approach to Fourier pricing | 1-gen-2022 | Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; Rossi, Pietro |