← All authors Giacomo Bormetti University of Bologna (from arXiv:2107.05263, 2021) · ORCID · OpenAlex
35 papers in scope · 33 published · 4 on the econ.EM arXiv · 519 citations · h-index 14 (over the papers listed here)
Papers (4 of 35)
Joint deep calibration of the 4-factor PDV model
published 2026 · Journal of Computational and Applied Mathematics · first circulated 2025
with Fabio Baschetti, Pietro Rossi
working paper 2025 · arXiv
published 2024 · Chaos An Interdisciplinary Journal of Nonlinear Science · 3 citations · first circulated 2019
Deep calibration with random grids
published 2024 · Quantitative Finance · 9 citations · first circulated 2023
with Fabio Baschetti, Pietro Rossi
Stable Lévy Processes via Lamperti-Type Representations
published 2023 · Journal of the American Statistical Association
published 2022 · Information Sciences · 2 citations
The SINC way: a fast and accurate approach to Fourier pricing
published 2021 · Quantitative Finance · 4 citations
with Fabio Baschetti, Silvia Romagnoli, Pietro Rossi
working paper 2021 · arXiv
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
published 2020 · Journal of Business and Economic Statistics · 50 citations · first circulated 2018
A Stochastic Volatility Model With Realized Measures for Option Pricing
published 2019 · Journal of Business and Economic Statistics · 19 citations
A realized volatility approach to option pricing with continuous and jump variance components
published 2019 · Decisions in Economics and Finance · 6 citations
Comment on: Price Discovery in High Resolution
published 2019 · Journal of Financial Econometrics · 15 citations
A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing*
published 2019 · Journal of Financial Econometrics · 14 citations · first circulated 2015
A Tale of Two Sentiment Scales: Disentangling Short-Run and Long-Run Components in Multivariate Sentiment Dynamics
published 2019 · Quantitative Finance · 1 citations
Linear models for the impact of order flow on prices. I. History dependent impact models
published 2018 · Quantitative Finance · 21 citations · first circulated 2016
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model
published 2018 · Quantitative Finance · 5 citations · first circulated 2016
Value Matters: The Long-run Behavior of Stock Index Returns
published 2018 · Review of Economics and Finance · 1 citations
no link
Collective synchronization and high frequency systemic instabilities in financial markets
published 2017 · Quantitative Finance · 35 citations · first circulated 2015
Multi-curve HJM modelling for risk management
published 2017 · Quantitative Finance · 7 citations · first circulated 2014
with Chiara Sabelli, M. Pioppi, Luca Sitzia, Pioppi Michele, Sitzia Luca
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
published 2017 · Quantitative Finance · 4 citations · first circulated 2015
with Damiano Brigo, Marco Francischello, Andrea Pallavicini
A backward Monte Carlo approach to exotic option pricing
published 2017 · European Journal of Applied Mathematics · 9 citations · first circulated 2015
Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics
published 2016 · PLoS ONE · 29 citations · first circulated 2014
Stochastic volatility with heterogeneous time scales
published 2015 · Quantitative Finance · 8 citations · first circulated 2012
with Danilo Delpini
Modelling systemic price cojumps with Hawkes factor models
published 2015 · Quantitative Finance · 73 citations · first circulated 2013
Smile from the past: A general option pricing framework with multiple volatility and leverage components
published 2015 · Journal of Econometrics · 61 citations · first circulated 2013
The adaptive nature of liquidity taking in limit order books
published 2014 · Journal of Statistical Mechanics Theory and Experiment · 28 citations
Minimal model of financial stylized facts
published 2011 · Physical Review E · 14 citations · first circulated 2010
with Danilo Delpini
OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL
published 2010 · International Journal of Theoretical and Applied Finance · 7 citations · first circulated 2009
with Valentina Cazzola, Danilo Delpini
Bayesian Value-at-Risk with product partition models
published 2010 · Quantitative Finance · 6 citations · first circulated 2008
with Maria Elena De Giuli, Danilo Delpini, Claudia Tarantola
Accounting for risk of non linear portfolios
published 2010 · The European Physical Journal B · 4 citations
with Valentina Cazzola, Danilo Delpini, Giacomo Livan
The low volatility fluctuations regime of the exponential Ornstein – Uhlenbeck model
published 2010 · Journal of Physics Conference Series · 1 citations
with Valentina Cazzola, Danilo Delpini, G. Montagna, O. Nicrosini
Exact moment scaling from multiplicative noise
published 2010 · Physical Review E · 7 citations
with Danilo Delpini
A generalized Fourier transform approach to risk measures
published 2010 · Journal of Statistical Mechanics Theory and Experiment · 18 citations · first circulated 2009
with Valentina Cazzola, Giacomo Livan, G. Montagna, O. Nicrosini
A non-Gaussian approach to risk measures
published 2006 · Physica A Statistical Mechanics and its Applications · 30 citations
with E. Cisana, G. Montagna, O. Nicrosini
Pricing exotic options in a path integral approach
published 2006 · Quantitative Finance · 28 citations · first circulated 2004
with G. Montagna, Nicola Moreni, O. Nicrosini
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