BORMETTI, GIACOMO
BORMETTI, GIACOMO
DIPARTIMENTO DI SCIENZE ECONOMICHE E AZIENDALI
A backward Monte Carlo approach to exotic option pricing
2018-01-01 Bormetti, G.; Callegaro, G.; Livieri, G.; Pallavicini, A.
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 realized volatility approach to option pricing with continuous and jump variance components
2019-01-01 Alitab, D.; Bormetti, G.; Corsi, F.; Majewski, A. A.
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 stylized model for long-run index return dynamics
2016-01-01 Angelini, N.; Bormetti, G.; Marmi, S.; Nardini, F.
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
Collective synchronization and high frequency systemic instabilities in financial markets
2018-01-01 Calcagnile, L. M.; Bormetti, G.; Treccani, M.; Marmi, S.; Lillo, F.
Comment on: Price Discovery in High Resolution
2021-01-01 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics
2016-01-01 Ranco, G.; Bordino, I.; Bormetti, G.; Caldarelli, G.; Lillo, F.; Treccani, M.
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
Erratum: A generalized Fourier transform approach to risk measures
2012-01-01 Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste
Estimating value-at-risk with product partition models
2009-01-01 Delpini, Danilo; Bormetti, Giacomo; DE GIULI, MARIA ELENA; Tarantola, Claudia
Exact moment scaling from multiplicative noise
2010-01-01 Bormetti, G.; Delpini, D.
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
2018-01-01 Bormetti, G.; Brigo, D.; Francischello, M.; Pallavicini, A.
Impact of multiple-curve dynamics in credit valuation adjustments
2016-01-01 Bormetti, G.; Brigo, D.; Francischello, M.; Pallavicini, A.
| Titolo | Data di pubblicazione | Autore(i) | File |
|---|---|---|---|
| A backward Monte Carlo approach to exotic option pricing | 1-gen-2018 | Bormetti, G.; Callegaro, G.; Livieri, G.; Pallavicini, A. | |
| 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 realized volatility approach to option pricing with continuous and jump variance components | 1-gen-2019 | Alitab, D.; Bormetti, G.; Corsi, F.; Majewski, A. A. | |
| 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 stylized model for long-run index return dynamics | 1-gen-2016 | Angelini, N.; Bormetti, G.; Marmi, S.; Nardini, F. | |
| 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 | |
| Collective synchronization and high frequency systemic instabilities in financial markets | 1-gen-2018 | Calcagnile, L. M.; Bormetti, G.; Treccani, M.; Marmi, S.; Lillo, F. | |
| Comment on: Price Discovery in High Resolution | 1-gen-2021 | Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio | |
| Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics | 1-gen-2016 | Ranco, G.; Bordino, I.; Bormetti, G.; Caldarelli, G.; Lillo, F.; Treccani, M. | |
| 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 | |
| Erratum: A generalized Fourier transform approach to risk measures | 1-gen-2012 | Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste | |
| Estimating value-at-risk with product partition models | 1-gen-2009 | Delpini, Danilo; Bormetti, Giacomo; DE GIULI, MARIA ELENA; Tarantola, Claudia | |
| Exact moment scaling from multiplicative noise | 1-gen-2010 | Bormetti, G.; Delpini, D. | |
| Impact of multiple curve dynamics in credit valuation adjustments under collateralization | 1-gen-2018 | Bormetti, G.; Brigo, D.; Francischello, M.; Pallavicini, A. | |
| Impact of multiple-curve dynamics in credit valuation adjustments | 1-gen-2016 | Bormetti, G.; Brigo, D.; Francischello, M.; Pallavicini, A. |