Foto del docente

Giacomo Bormetti

Associate Professor

Department of Mathematics

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

Publications

Majewski, Adam A; Bormetti, Giacomo; Corsi, Fulvio, Smile from the past: A general option pricing framework with multiple volatility and leverage components, «JOURNAL OF ECONOMETRICS», 2015, 187, pp. 521 - 531 [Scientific article]

Delpini, D.; Bormetti, G., Stochastic volatility with heterogeneous time scales, «QUANTITATIVE FINANCE», 2015, 15, pp. 1597 - 1608 [Scientific article]

Bormetti, Giacomo; Cazzaniga, Sofia, Multiplicative noise, fast convolution and pricing, «QUANTITATIVE FINANCE», 2014, 14, pp. 481 - 494 [Scientific article]

Taranto, D.E.; Bormetti, G.; Lillo, F., The adaptive nature of liquidity taking in limit order books, «JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT», 2014, 2014, pp. P06002-1 - P06002-38 [Scientific article]

Bormetti, Giacomo; De Giuli, Maria Elena; Delpini, Danilo; Tarantola, Claudia, Bayesian Value-at-Risk with product partition models, «QUANTITATIVE FINANCE», 2012, 12, pp. 769 - 780 [Scientific article]

Delpini, Danilo; Bormetti, Giacomo, Minimal model of financial stylized facts, «PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS», 2011, 83, pp. 041111-1 - 041111-9 [Scientific article]

Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste, A generalized Fourier transform approach to risk measures, «JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT», 2010, 2010, pp. P01005-1 - P01005-16 [Scientific article]

Bormetti, G.; Cazzola, V.; Delpini, D.; Livan, G., Accounting for risk of non linear portfolios : A novel Fourier approach, «THE EUROPEAN PHYSICAL JOURNAL. B, CONDENSED MATTER PHYSICS», 2010, 76, pp. 157 - 165 [Scientific article]

Bormetti, Giacomo; Delpini, Danilo, Exact moment scaling from multiplicative noise, «PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS», 2010, 81, pp. 032102-1 - 032102-4 [Scientific article]

Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo, Option pricing under ornstein-uhlenbeck stochastic volatility: A linear model, «INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE», 2010, 13, pp. 1047 - 1063 [Scientific article]

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