Sfoglia per Autore
Path integrals and exotic options: Methods and numerical results
2005 Bormetti, Giacomo; Montagna, G; Moreni, N; Nicrosini, O.
Pricing exotic options in a path integral approach
2006 Bormetti, Giacomo; Montagna, Guido; Nicrosini, Oreste; Moreni, Nicola
A Statistical Physics Approach to Quantitative Finance
2007 Bormetti, Giacomo
A non-Gaussian approach to risk measures
2007 Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; Nicrosini, Oreste
The probability distribution of returns in the exponential Ornstein–Uhlenbeck model
2008 Bormetti, Giacomo; Cazzola, V; Montagna, G; Nicrosini, O.
Estimating Value-at-Risk with Product Partition Models
2009 Delpini, D; Bormetti, Giacomo; DE GIULI, M. E.; Tarantola, C.
Option pricing under Ornstein-Uhlenbeck stochastic volatility: A linear model
2010 Bormetti, Giacomo; Cazzola, V; Delpini, D.
The low volatility fluctuations regime of the exponential Ornstein-Uhlenbeck model
2010 Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo; Montagna, Guido; Nicrosini, Oreste
Exact moment scaling from multiplicative noise
2010 Bormetti, Giacomo; Delpini, D.
A generalized Fourier transform approach to risk measures
2010 Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste
Accounting for risk of non linear portfolios: A novel Fourier approach
2010 Bormetti, Giacomo; Cazzola, V; Delpini, D; Livan, G.
Minimal model of financial stylized facts
2011 Delpini, D; Bormetti, Giacomo
Value Matters: Predictability of Stock Index Returns
2012 Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; Nardini, Franco
Erratum: A generalized Fourier transform approach to risk measures
2012 Bormetti, Giacomo; Cazzola, V; Livan, G; Montagna, G; Nicrosini, O.
Bayesian Value-at-Risk with product partition models
2012 Bormetti, Giacomo; DE GIULI M., E; Delpini, D; Tarantola, C.
Multi-curve HJM modelling for risk management
2014 Sabelli, Chiara; Michele, Pioppi; Luca, Sitzia; Bormetti, Giacomo
Multiplicative noise, fast convolution and pricing
2014 Bormetti, Giacomo; Cazzaniga, S.
The adaptive nature of liquidity taking in limit order books
2014 Taranto, DAMIAN EDUARDO; Bormetti, Giacomo; Lillo, Fabrizio
Stochastic Volatility with Heterogeneous Time Scales
2015 Danilo, Delpini; Bormetti, Giacomo
Modelling systemic price cojumps with Hawkes factor models
2015 Bormetti, Giacomo; Calcagnile, LUCIO MARIA; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
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