7
H index
6
i10 index
128
Citations
University College London (UCL) (80% share) | 7 H index 6 i10 index 128 Citations RESEARCH PRODUCTION: 12 Articles 20 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Guido Germano. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
European Journal of Operational Research | 3 |
The European Physical Journal B: Condensed Matter and Complex Systems | 2 |
Quantitative Finance | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
Papers / arXiv.org | 9 |
Year | Title of citing document |
---|---|
2021 | Portfolio insurance under rough volatility and Volterra processes. (2021). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021026. Full description at Econpapers || Download paper |
2021 | SWIFT calibration of the Heston model. (2021). Ortiz-Gracia, Luis ; Romo, Eudald. In: Papers. RePEc:arx:papers:2103.01570. Full description at Econpapers || Download paper |
2021 | Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities. (2021). Germano, Guido ; Marazzina, Daniele ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:2106.06030. Full description at Econpapers || Download paper |
2021 | A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection. (2021). Sermpinis, Georgios ; Paraschiv, Florentina ; Li, Wei. In: Papers. RePEc:arx:papers:2107.08808. Full description at Econpapers || Download paper |
2021 | SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738. Full description at Econpapers || Download paper |
2021 | A General Approach for Lookback Option Pricing under Markov Models. (2021). Li, Lingfei ; Zhang, Gongqiu. In: Papers. RePEc:arx:papers:2112.00439. Full description at Econpapers || Download paper |
2021 | Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms. (2021). Shi, Chao ; Li, Chenxu ; Cai, Ning. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000488. Full description at Econpapers || Download paper |
2021 | A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398. Full description at Econpapers || Download paper |
2021 | Pricing discretely-monitored double barrier options with small probabilities of execution. (2021). Zuev, Konstantin M ; Pantelous, Athanasios A ; Mendonca, Keegan ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:313-330. Full description at Econpapers || Download paper |
2021 | The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. (2021). Iori, Giulia ; Ouellette, Michelle S ; Tedeschi, Gabriele ; Recchioni, Maria Cristina. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:336-360. Full description at Econpapers || Download paper |
2022 | Optimal harvesting under marine reserves and uncertain environment. (2022). Scotti, Simone ; Ly, Vathana ; Gaigi, Mhamed. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:3:p:1181-1194. Full description at Econpapers || Download paper |
2021 | How are network centrality metrics related to interest rates in the Mexican secured and unsecured interbank markets?. (2021). Hochreiter, Ronald ; Luis , ; Martinez-Jaramillo, Serafin ; Tellez-Leon, Isela-Elizabeth. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100053x. Full description at Econpapers || Download paper |
2021 | Fourier based methods for the management of complex life insurance products. (2021). Ballotta, Laura ; Zeineddine, Raghid ; Schmidt, Thorsten ; Eberlein, Ernst. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341. Full description at Econpapers || Download paper |
2022 | Opening the black box – Quantile neural networks for loss given default prediction. (2022). Rosch, Daniel ; Nagl, Maximilian ; Kellner, Ralf. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002855. Full description at Econpapers || Download paper |
2021 | Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID. (2021). Demertzidis, Anastasios ; Jeleskovic, Vahidin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:212-:d:550636. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2021). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:13-:d:474489. Full description at Econpapers || Download paper |
2021 | Estimating the BIS Capital Adequacy Ratio for Korean Banks Using Machine Learning: Predicting by Variable Selection Using Random Forest Algorithms. (2021). Park, Jae Won ; Heo, Wookjae ; Shin, Minsoo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:32-:d:490781. Full description at Econpapers || Download paper |
2022 | Economic Scenario Generators: a risk management tool for insurance. (2022). Mehalla, Sophian ; Lapeyre, Bernard ; Boumezoued, Alexandre ; Arrouy, Pierre-Edouard. In: Working Papers. RePEc:hal:wpaper:hal-03671943. Full description at Econpapers || Download paper |
2021 | A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes. (2021). Yang, Xuewei ; Cai, Ning. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:33:y:2021:i:1:p:216-229. Full description at Econpapers || Download paper |
2022 | A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation. (2022). Zhang, Gongqiu ; Li, Lingfei ; Fan, Liaoyuan ; Chen, Jie. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:2:d:10.1007_s11147-022-09186-y. Full description at Econpapers || Download paper |
2021 | Exotic options: conceptualization and evolution in the literature from a systematic review. (2021). Rivero, Maria Andrea ; de la Paz, Maria ; Chavez, Etelvina ; Pedroni, Florencia Veronica ; Pesce, Gabriela. In: Lecturas de Economía. RePEc:lde:journl:y:2021:i:95:p:231-275. Full description at Econpapers || Download paper |
2021 | On the application of Wishart process to the pricing of equity derivatives: the multi-asset case. (2021). Marazzina, Daniele ; Bua, Gaetano. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:2:d:10.1007_s10287-021-00388-7. Full description at Econpapers || Download paper |
2021 | Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates. (2021). Cui, Zhenyu ; Ma, Jingtang ; Yang, Wensheng. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:93:y:2021:i:2:d:10.1007_s00186-020-00735-5. Full description at Econpapers || Download paper |
2021 | Improvements in PD models. A case-study approach. (2021). Alecsandru, Strat Vasile ; Traian, Pele Daniel ; Manuela-Simona, Cojocea ; Dana, Caplescu Raluca. In: Proceedings of the International Conference on Business Excellence. RePEc:vrs:poicbe:v:15:y:2021:i:1:p:13-32:n:40. Full description at Econpapers || Download paper |
2021 | Smile?implied hedging with volatility risk. (2021). Stentoft, Lars ; Franois, Pascal. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1220-1240. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2009 | Stochastic calculus for uncoupled continuous-time random walks In: Papers. [Full Text][Citation analysis] | paper | 8 |
2009 | Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation In: Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Full and fast calibration of the Heston stochastic volatility model In: Papers. [Full Text][Citation analysis] | paper | 18 |
2017 | Full 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: 18 | article | |
2017 | Full and fast calibration of the Heston stochastic volatility model.(2017) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2016 | Stability of calibration procedures: fractals in the Black-Scholes model In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Hilbert transform, spectral filters and option pricing In: Papers. [Full Text][Citation analysis] | paper | 4 |
2019 | Hilbert transform, spectral filters and option pricing.(2019) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2017 | Fluctuation identities with continuous monitoring and their application to price barrier options In: Papers. [Full Text][Citation analysis] | paper | 1 |
2005 | Kinetic theory models for the distribution of wealth: power law from overlap of exponentials In: Papers. [Full Text][Citation analysis] | paper | 11 |
2005 | Influence of saving propensity on the power law tail of wealth distribution In: Papers. [Full Text][Citation analysis] | paper | 16 |
2006 | Influence 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: 16 | article | |
2008 | Relaxation in statistical many-agent economy models In: Papers. [Full Text][Citation analysis] | paper | 4 |
2007 | Relaxation 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: 4 | article | |
2012 | Market microstructure, banks behaviour and interbank spreads In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
2016 | Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 33 |
2016 | Spitzer 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: 33 | paper | |
2018 | Fluctuation identities with continuous monitoring and their application to the pricing of barrier options In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 11 |
2018 | An 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] | paper | 0 |
2019 | An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default.(2019) In: Review of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2020 | Market microstructure, banks behaviour and interbank spreads: evidence after the crisis In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
2020 | Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis.(2020) In: Journal of Economic Interaction and Coordination. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2020 | Bayesian regularized artificial neural networks for the estimation of the probability of default In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 6 |
2020 | Bayesian regularized artificial neural networks for the estimation of the probability of default.(2020) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2020 | Pricing methods for ?-quantile and perpetual early exercise options based on Spitzer identities In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
2020 | Pricing methods for ?-quantile and perpetual early exercise options based on Spitzer identities.(2020) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2015 | Large scale simulation of synthetic markets In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
2015 | Banks 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] | paper | 0 |
2015 | Banks 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: 0 | article | |
2008 | Stochastic integration for uncoupled continuous-time random walks In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2004 | Speculative option valuation: A supercomputing approach In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 0 |
2010 | Spectral densities of Wishart-Lévy free stable random matrices In: The European Physical Journal B: Condensed Matter and Complex Systems. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team