BORMETTI, GIACOMO
BORMETTI, GIACOMO
Classe di Scienze
A backward Monte Carlo approach to exotic option pricing
2017 Bormetti, G.; Callegaro, G.; Livieri, G.; Pallavicini, A.
A generalized Fourier transform approach to risk measures
2010 Bormetti, Giacomo; Cazzola, Valentina; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste
A non-Gaussian approach to risk measures
2007 Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; Nicrosini, Oreste
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics
2021 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
A Statistical Physics Approach to Quantitative Finance
2007 Bormetti, Giacomo
A stochastic volatility framework with analytical filtering
2017 Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri, Giulia
A Stochastic Volatility Model With Realized Measures for Option Pricing
2019 Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; Livieri, Giulia
A Stylized Model for Long-Run Index Return Dynamics
2016 Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; Nardini, Franco
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
2022 Vassallo, Danilo; Bormetti, Giacomo; Lillo, Fabrizio
Accounting for risk of non linear portfolios: A novel Fourier approach
2010 Bormetti, Giacomo; Cazzola, V; Delpini, D; Livan, G.
Bayesian Value-at-Risk with product partition models
2012 Bormetti, Giacomo; DE GIULI M., E; Delpini, D; Tarantola, C.
Comment on: Price Discovery in High Resolution
2019 Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; Lillo, Fabrizio
Coupling news sentiment with web browsing data predicts intra-day stock prices
2016 Gabriele, Ranco; Ilaria, Bordino; Bormetti, Giacomo; Guido, Caldarelli; Lillo, Fabrizio; Michele, Treccani
Erratum: A generalized Fourier transform approach to risk measures
2012 Bormetti, Giacomo; Cazzola, V; Livan, G; Montagna, G; Nicrosini, O.
Estimating Value-at-Risk with Product Partition Models
2009 Delpini, D; Bormetti, Giacomo; DE GIULI, M. E.; Tarantola, C.
Exact moment scaling from multiplicative noise
2010 Bormetti, Giacomo; Delpini, D.
Measuring price impact and information content of trades in a time-varying setting
2023 Campigli, Francesco; Bormetti, Giacomo; Lillo, Fabrizio
Minimal model of financial stylized facts
2011 Delpini, D; Bormetti, Giacomo
Modelling systemic price cojumps with Hawkes factor models
2015 Bormetti, Giacomo; Calcagnile, LUCIO MARIA; Treccani, Michele; Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
Multi-curve HJM modelling for risk management
2014 Sabelli, Chiara; Michele, Pioppi; Luca, Sitzia; Bormetti, Giacomo