Citation profile for Guido Germano

Guido Germano : Citation Profile

University College London (UCL) (80% share)
London School of Economics (LSE) (20% share)

H index

i10 index

128

Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 8
   Journals where Guido Germano has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 10 (7.25 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pge177
   Updated: 2022-08-06    RAS profile: 2021-02-27
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Relations with other researchers

Works with:

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:

Iori, Giulia (4)

Moraux, Franck (4)

Tedeschi, Gabriele (3)

Montes-Rojas, Gabriel (3)

Ballotta, Laura (3)

Rosser, Barkley (2)

Yakovenko, Victor (2)

DÃ¼ring, Bertram (2)

Paetzel, Fabian (2)

Lorenz, Jan (2)

Schweitzer, Frank (2)

Cites to:

Iori, Giulia (12)

Oosterlee, Cornelis (7)

Fang, Fang (7)

Gabbi, Giampaolo (7)

Monticini, Andrea (5)

Lewis, Alan (5)

Hoerova, Marie (5)

Baglioni, Angelo (5)

Acharya, Viral (4)

Carr, Peter (4)

Main data

Where Guido Germano has published?

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

Recent works citing Guido Germano (2022 and 2021)

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

Works by Guido Germano:

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