Guido Germano : Citation Profile

Are you Guido Germano?

London School of Economics (LSE) (66% share)

6

H index

3

i10 index

157

Citations

RESEARCH PRODUCTION:

7

Articles

16

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 11
   Journals where Guido Germano has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 7 (4.27 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pge177
   Updated: 2020-07-04    RAS profile: 2019-05-07    
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Relations with other researchers

Works with:

Gabbi, Giampaolo (2)

Iori, Giulia (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Guido Germano.

Is cited by:

Fricke, Daniel (8)

battiston, stefano (5)

Kobayashi, Teruyoshi (5)

Moraux, Franck (4)

Zagaglia, Paolo (4)

Montes-Rojas, Gabriel (3)

Iori, Giulia (3)

Araújo, Tanya (3)

Marzo, Massimiliano (3)

Winker, Peter (2)

Schweitzer, Frank (2)

Cites to:

Oosterlee, Cornelis (8)

Fang, Fang (8)

Iori, Giulia (6)

Weron, Rafał (4)

Lewis, Alan (4)

Scalas, Enrico (3)

Monticini, Andrea (3)

Gabbi, Giampaolo (3)

merton, robert (3)

Baglioni, Angelo (3)

Scholes, Myron (2)

Main data

Where Guido Germano has published?

Journals with more than one article published# docs
European Journal of Operational Research3
The European Physical Journal B: Condensed Matter and Complex Systems2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org9

Recent works citing Guido Germano (2020 and 2019)

YearTitle of citing document
2019Change of Measure in the Heston Model given a violated Feller Condition. (2018). Desmettre, Sascha. In: Papers. RePEc:arx:papers:1809.10955.

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2019A neural network-based framework for financial model calibration. (2019). Oosterlee, Cornelis W ; Grzelak, Lech A ; Borovykh, Anastasia ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:1904.10523.

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2019Limit order books, uninformed traders and commodity derivatives: Insights from the European carbon futures. (2019). Rannou, Yves. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:387-410.

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2019A general framework for pricing Asian options under stochastic volatility on parallel architectures. (2019). Corsaro, Stefania ; Marino, Zelda ; Marazzina, Daniele ; Kyriakou, Ioannis. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1082-1095.

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2019Integrated structural approach to Credit Value Adjustment. (2019). Ballotta, Laura ; Marazzina, Daniele ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1143-1157.

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2019An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options. (2019). Xie, Fei ; Wang, Xiaoqun ; He, Zhijian . In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:759-772.

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2019On the calibration of the 3/2 model. (2019). Vyncke, David ; Gudmundsson, Hilmar. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:3:p:1178-1192.

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2020American step options. (2020). De Temple, Jerome ; Moraux, Franck ; Abdou, Souleymane Laminou ; Detemple, Jerome. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:363-385.

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2020On double-boundary non-crossing probability for a class of compound processes with applications. (2020). Tan, Senren ; Kaishev, Vladimir K ; Ignatov, Zvetan G ; Dimitrova, Dimitrina S. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:2:p:602-613.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2020A general control variate method for Lévy models in finance. (2020). Yamazaki, Akira ; Uenishi, Hiroki ; Shiraya, Kenichiro. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:1190-1200.

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2020Early exercise boundaries for American-style knock-out options. (2020). Dias, Jose Carlos ; Ruas, Joo Pedro ; Vidal, Joo Pedro. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:2:p:753-766.

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2018Variable order fractional Fokker–Planck equations derived from Continuous Time Random Walks. (2018). Straka, Peter. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:451-463.

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2019A new κ-deformed parametric model for the size distribution of wealth. (2019). Vallejos, Adams ; Astudillo, Hernan F ; Borotto, Felix A ; Ormazabal, Ignacio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:819-829.

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2019Size distribution of cities: A kinetic explanation. (2019). Toscani, Giuseppe ; Gualandi, Stefano. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:221-234.

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2020A generalized European option pricing model with risk management. (2020). Chen, Shuang ; Jiang, Zhenyu ; Tan, Jie ; Feng, Chengxiao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119321132.

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2020Market microstructure, banks behaviour and interbank spreads: evidence after the crisis. (2020). Germano, Guido ; Gabbi, Giampaolo ; Iori, Giulia ; Kapar, Burcu. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100467.

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2020Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities. (2020). Germano, G ; Marazzina, D ; Phelan, C E. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:103780.

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2020Social Sensing of the Imbalance of Urban and Regional Development in China Through the Population Migration Network around Spring Festival. (2020). Xin, Rui ; Jendryke, Michael ; Wang, Yujing ; Lin, Diao ; Zhu, Ruoxin ; Meng, Liqiu ; Guo, Jianzhong ; Yang, Jian. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:8:p:3457-:d:349582.

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2020American Step Options. (2019). Moraux, Franck ; Abdou, Souleymane Laminou ; Detemple, Jerome ; De Temple, Jerome. In: Post-Print. RePEc:hal:journl:halshs-02283374.

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2019LOAN MATURITY AGGREGATION IN INTERBANK LENDING NETWORKS OBSCURES MESOSCALE STRUCTURE AND ECONOMIC FUNCTIONS. (2019). Schoors, Koen ; Ryckebusch, Jan ; van den Heuvel, Milan ; van Soom, Marnix. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:19/952.

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2019Hilbert transform, spectral filters and option pricing. (2019). Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E ; Germano, Guido . In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2881-4.

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2019Quantization meets Fourier: a new technology for pricing options. (2019). Grasselli, Martino ; Fiorin, Lucio ; Callegaro, Giorgia. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-3048-z.

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2019Semi-analytical prices for lookback and barrier options under the Heston model. (2019). Bernard, Carole ; de Gennaro, Luca. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00254-x.

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2020On the distribution of links in financial networks: structural heterogeneity and functional form. (2020). Lux, Thomas. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1569-6.

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2020Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis. (2020). Gabbi, Giampaolo ; Germano, Guido ; Iori, Giulia ; Kapar, Burcu. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00248-3.

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2019VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS. (2019). Bertschinger, Nils ; Pfante, Oliver. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500134.

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Works by Guido Germano:

YearTitleTypeCited
2009Stochastic calculus for uncoupled continuous-time random walks In: Papers.
[Full Text][Citation analysis]		paper6
2009Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation In: Papers.
[Full Text][Citation analysis]		paper0
2016Full and fast calibration of the Heston stochastic volatility model In: Papers.
[Full Text][Citation analysis]		paper6
2017Full and fast calibration of the Heston stochastic volatility model.(2017) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2016Stability of calibration procedures: fractals in the Black-Scholes model In: Papers.
[Full Text][Citation analysis]		paper0
2020Hilbert transform, spectral filters and option pricing In: Papers.
[Full Text][Citation analysis]		paper0
2017Fluctuation identities with continuous monitoring and their application to price barrier options In: Papers.
[Full Text][Citation analysis]		paper0
2005Kinetic theory models for the distribution of wealth: power law from overlap of exponentials In: Papers.
[Full Text][Citation analysis]		paper7
2005Influence of saving propensity on the power law tail of wealth distribution In: Papers.
[Full Text][Citation analysis]		paper14
2006Influence of saving propensity on the power-law tail of the wealth distribution.(2006) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		article
2008Relaxation in statistical many-agent economy models In: Papers.
[Full Text][Citation analysis]		paper5
2007Relaxation in statistical many-agent economy models.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2012Market microstructure, banks behaviour and interbank spreads In: Working Papers.
[Full Text][Citation analysis]		paper97
2016Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options In: European Journal of Operational Research.
[Full Text][Citation analysis]		article16
2016Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options.(2016) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2018Fluctuation identities with continuous monitoring and their application to the pricing of barrier options In: European Journal of Operational Research.
[Full Text][Citation analysis]		article5
2018An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper0
2015Large scale simulation of synthetic markets In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper0
2015Banks strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2015Banks Strategies and Cost of Money: Effects of the Financial Crisis on the European Electronic Overnight Interbank Market.(2015) In: Journal of Financial Management, Markets and Institutions.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2008Stochastic integration for uncoupled continuous-time random walks In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2004Speculative option valuation: A supercomputing approach In: Computing in Economics and Finance 2004.
[Citation analysis]		paper0
2010Spectral densities of Wishart-Lévy free stable random matrices In: The European Physical Journal B: Condensed Matter and Complex Systems.
[Full Text][Citation analysis]		article0

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