Fabio Baschetti, Giacomo Bormetti, Pietro Rossi, Deep calibration with random grids, «QUANTITATIVE FINANCE», 2024, 00, pp. 01 - 39 [Scientific article]
Bormetti, Giacomo, Review of: 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, «JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION», 2024, 119, pp. 789 - 790 [Review]
Danilo Vassallo; Giacomo Bormetti; Fabrizio Lillo, A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics, «QUANTITATIVE FINANCE», 2022, in press, pp. 1 - 36 [Scientific article]Open Access
Gangi D.D.; Bormetti G.; Lillo F., Score-driven generalized fitness model for sparse and weighted temporal networks, «INFORMATION SCIENCES», 2022, 612, pp. 1226 - 1245 [Scientific article]
Baschetti Fabio; Bormetti Giacomo; Romagnoli Silvia; Rossi Pietro, The SINC way: a fast and accurate approach to Fourier pricing, «QUANTITATIVE FINANCE», 2022, 22, pp. 427 - 446 [Scientific article]Open Access
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio, A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics, «JOURNAL OF BUSINESS & ECONOMIC STATISTICS», 2021, 39, pp. 920 - 936 [Scientific article]Open Access
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo, Comment on: Price Discovery in High Resolution, «JOURNAL OF FINANCIAL ECONOMETRICS», 2021, 19, pp. 439 - 451 [Scientific article]Open Access
Giacomo Bormetti; Flavio Cocco; Pietro Rossi, Deep learning profit and loss, «RISK», 2021, October, pp. 1 - 6 [Scientific article]
Dario Alitab, Giacomo Bormetti, Fulvio Corsi, Adam A. Majewski, A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing, «JOURNAL OF FINANCIAL ECONOMETRICS», 2020, 18, pp. 121 - 157 [Scientific article]Open Access
Bormetti G.; Casarin R.; Corsi F.; Livieri G., A Stochastic Volatility Model With Realized Measures for Option Pricing, «JOURNAL OF BUSINESS & ECONOMIC STATISTICS», 2020, 38, pp. 856 - 871 [Scientific article]Open Access
Alitab, Dario; Bormetti, Giacomo*; Corsi, Fulvio; Majewski, Adam A., A realized volatility approach to option pricing with continuous and jump variance components, «DECISIONS IN ECONOMICS AND FINANCE», 2019, 42, pp. 639 - 664 [Scientific article]Open Access
Giacomo Bormetti; Giorgia Callegaro; Giulia Livieri; Andrea Pallavicini, A backward Monte Carlo approach to exotic option pricing, «EUROPEAN JOURNAL OF APPLIED MATHEMATICS», 2018, 29, pp. 146 - 187 [Scientific article]
Lucio Maria Calcagnile, ; Bormetti, Giacomo; Michele, Treccani; Stefano, Marmi; Lillo, Fabrizio, Collective synchronization and high frequency systemic instabilities in financial markets, «QUANTITATIVE FINANCE», 2018, 18, pp. 237 - 247 [Scientific article]Open Access
Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea, Impact of multiple curve dynamics in Credit Valuation Adjustments under collateralization, «QUANTITATIVE FINANCE», 2018, 18, pp. 31 - 44 [Scientific article]
Damian Eduardo, Taranto; Giacomo, Bormetti; Jean-Philippe, Bouchaud; Fabrizio, Lillo; Bence, Toth, Linear models for the impact of order flow on prices. I. History dependent impact models, «QUANTITATIVE FINANCE», 2018, 18, pp. 903 - 915 [Scientific article]
