Foto del docente

Giacomo Bormetti

Associate Professor

Department of Mathematics

Academic discipline: SECS-S/06 Mathematical Methods of Economics, Finance and Actuarial Sciences


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]

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», 2020, 0, pp. 1 - 39 [Scientific article]

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]

Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, Fabrizio Lillo, Comment on: Price Discovery in High Resolution, «JOURNAL OF FINANCIAL ECONOMETRICS», 2019, 0, pp. 00 - 00 [Scientific article]

Bormetti, Giacomo; Callegaro, Giorgia; Livieri, Giulia; Pallavicini, Andrea, 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]

Damian Eduardo Taranto; Giacomo Bormetti; Jean-Philippe Bouchaud; Fabrizio Lillo; Bence Toth, Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model, «QUANTITATIVE FINANCE», 2018, 18, pp. 917 - 931 [Scientific article]

Sabelli, Chiara; Pioppi, Michele; Sitzia, Luca; Bormetti, Giacomo, Multi-curve HJM modelling for risk management, «QUANTITATIVE FINANCE», 2018, 18, pp. 563 - 590 [Scientific article]

Natascia Angelini, Giacomo Bormetti, Stefano Marmi, Franco Nardini, Value Matters: The Long-run Behavior of Stock Index Returns, «REVIEW OF ECONOMICS & FINANCE», 2018, 12, pp. 16 - 28 [Scientific article]Open Access

Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; Nardini, Franco, A Stylized Model for Long-Run Index Return Dynamics, in: Essays in Economic Dynamics: Theory, Simulation Analysis, and Methodological Study, Singapore, Springer, 2016, pp. 111 - 122 [Chapter or essay]

Ranco, Gabriele; Bordino, Ilaria; Bormetti, Giacomo; Caldarelli, Guido; Lillo, Fabrizio; Treccani, Michele, Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics, «PLOS ONE», 2016, 11, pp. 1 - 14 [Scientific article]Open Access

Bormetti, Giacomo; Calcagnile, Lucio Maria; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio, Modelling systemic price cojumps with Hawkes factor models, «QUANTITATIVE FINANCE», 2015, 15, pp. 1137 - 1156 [Scientific article]

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