Guido Germano : Citation Profile


Are you Guido Germano?

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

7

H index

6

i10 index

128

Citations

RESEARCH PRODUCTION:

12

Articles

20

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:
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)

Düring, 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)

Durré, Alain (4)

Carr, Peter (4)

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
Quantitative Finance2

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

Recent works citing Guido Germano (2022 and 2021)


YearTitle of citing document
2021Portfolio insurance under rough volatility and Volterra processes. (2021). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021026.

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2021SWIFT calibration of the Heston model. (2021). Ortiz-Gracia, Luis ; Romo, Eudald. In: Papers. RePEc:arx:papers:2103.01570.

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2021Pricing 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.

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2021A 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.

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2021SINH-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.

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2021A General Approach for Lookback Option Pricing under Markov Models. (2021). Li, Lingfei ; Zhang, Gongqiu. In: Papers. RePEc:arx:papers:2112.00439.

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2021Pricing 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.

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2021A 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.

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2021Pricing 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.

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2021The 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.

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2022Optimal 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.

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2021How 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.

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2021Fourier 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.

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2022Opening 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.

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2021Empirical 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.

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2022.

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2021.

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2021Quantifying 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.

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2021Estimating 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.

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2022Economic 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.

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2021A 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.

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2022A 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.

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2021Exotic 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.

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2021On 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.

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2021Analysis 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.

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2021Improvements 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.

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2021Smile?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.

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Works by Guido Germano:


YearTitleTypeCited
2009Stochastic calculus for uncoupled continuous-time random walks In: Papers.
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paper8
2009Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation In: Papers.
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paper0
2016Full and fast calibration of the Heston stochastic volatility model In: Papers.
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paper18
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: 18
article
2017Full and fast calibration of the Heston stochastic volatility model.(2017) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 18
paper
2016Stability of calibration procedures: fractals in the Black-Scholes model In: Papers.
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paper0
2020Hilbert transform, spectral filters and option pricing In: Papers.
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paper4
2019Hilbert transform, spectral filters and option pricing.(2019) In: Annals of Operations Research.
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This paper has another version. Agregated cites: 4
article
2017Fluctuation identities with continuous monitoring and their application to price barrier options In: Papers.
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paper1
2005Kinetic theory models for the distribution of wealth: power law from overlap of exponentials In: Papers.
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paper11
2005Influence of saving propensity on the power law tail of wealth distribution In: Papers.
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paper16
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: 16
article
2008Relaxation in statistical many-agent economy models In: Papers.
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paper4
2007Relaxation in statistical many-agent economy models.(2007) In: The European Physical Journal B: Condensed Matter and Complex Systems.
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This paper has another version. Agregated cites: 4
article
2012Market microstructure, banks behaviour and interbank spreads In: Working Papers.
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paper11
2016Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options In: European Journal of Operational Research.
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article33
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: 33
paper
2018Fluctuation identities with continuous monitoring and their application to the pricing of barrier options In: European Journal of Operational Research.
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article11
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.
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paper0
2019An 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.
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This paper has another version. Agregated cites: 0
article
2020Market microstructure, banks behaviour and interbank spreads: evidence after the crisis In: LSE Research Online Documents on Economics.
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paper1
2020Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis.(2020) In: Journal of Economic Interaction and Coordination.
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This paper has another version. Agregated cites: 1
article
2020Bayesian regularized artificial neural networks for the estimation of the probability of default In: LSE Research Online Documents on Economics.
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paper6
2020Bayesian 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
2020Pricing methods for ?-quantile and perpetual early exercise options based on Spitzer identities In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper2
2020Pricing 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
2015Large scale simulation of synthetic markets In: LSE Research Online Documents on Economics.
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paper2
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.
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paper0
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.
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This paper has another version. Agregated cites: 0
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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