BORMETTI, GIACOMO

BORMETTI, GIACOMO  

Scuola Normale Superiore  

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Titolo Data di pubblicazione Autori Tipo File
A backward Monte Carlo approach to exotic option pricing 1-gen-2017 BORMETTI, G.LIVIERI, G. + 1.1 Articolo in rivista
A generalized Fourier transform approach to risk measures 1-gen-2010 BORMETTI, GIACOMO + 1.1 Articolo in rivista
A non-Gaussian approach to risk measures 1-gen-2007 BORMETTI, GIACOMO + 1.1 Articolo in rivista
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics 1-gen-2020 Bormetti, GiacomoLillo, Fabrizio + 1.1 Articolo in rivista
A Statistical Physics Approach to Quantitative Finance 1-gen-2007 BORMETTI, GIACOMO 5.12 Altro
A stochastic volatility framework with analytical filtering 1-gen-2017 Giacomo BormettiGiulia Livieri + 4.1 Contributo in Atti di convegno
A Stochastic Volatility Model With Realized Measures for Option Pricing 1-gen-2019 Bormetti, GiacomoLivieri, Giulia + 1.1 Articolo in rivista
A Stylized Model for Long-Run Index Return Dynamics 1-gen-2016 BORMETTI, GIACOMOMARMI, Stefano + 2.1 Contributo in volume (Capitolo o Saggio)
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics 1-gen-2022 Vassallo, DaniloBormetti, GiacomoLillo, Fabrizio 1.1 Articolo in rivista
Accounting for risk of non linear portfolios: A novel Fourier approach 1-gen-2010 BORMETTI, GIACOMO + 1.1 Articolo in rivista
Bayesian Value-at-Risk with product partition models 1-gen-2012 BORMETTI, GIACOMO + 1.1 Articolo in rivista
Comment on: Price Discovery in High Resolution 1-gen-2019 Giacomo BormettiFabrizio Lillo + 1.1 Articolo in rivista
Coupling news sentiment with web browsing data predicts intra-day stock prices 1-gen-2016 BORMETTI, GIACOMOLILLO, FABRIZIO + 1.1 Articolo in rivista
Erratum: A generalized Fourier transform approach to risk measures 1-gen-2012 BORMETTI, GIACOMO + 1.1 Articolo in rivista
Estimating Value-at-Risk with Product Partition Models 1-gen-2009 BORMETTI, GIACOMO + 4.1 Contributo in Atti di convegno
Exact moment scaling from multiplicative noise 1-gen-2010 BORMETTI, GIACOMO + 1.1 Articolo in rivista
Minimal model of financial stylized facts 1-gen-2011 BORMETTI, GIACOMO + 1.1 Articolo in rivista
Modelling systemic cojumps with Hawkes factor models 1-gen-2013 BORMETTI, GIACOMOMARMI, StefanoLILLO, FABRIZIO + 5.12 Altro
Modelling systemic price cojumps with Hawkes factor models 1-gen-2015 BORMETTI, GIACOMOCALCAGNILE, LUCIO MARIACORSI, FulvioMARMI, StefanoLILLO, FABRIZIO + 1.1 Articolo in rivista
Multi-curve HJM modelling for risk management 1-gen-2014 SABELLI, CHIARABORMETTI, GIACOMO + 5.12 Altro