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1

Linear models for the impact of order flow on prices. I. History dependent impact models

Taranto, Damian Eduardo, Bormetti, Giacomo, Bouchaud, Jean-Philippe, Lillo, Fabrizio, Tóth, Bence

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 1.25 MB

english, 2018

2

A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing*

Alitab, Dario, Bormetti, Giacomo, Corsi, Fulvio, Majewski, Adam A

Journal:

Journal of Financial Econometrics

Year:

2019

Language:

english

File:

PDF, 950 KB

english, 2019

3

Collective synchronization and high frequency systemic instabilities in financial markets

Calcagnile, Lucio Maria, Bormetti, Giacomo, Treccani, Michele, Marmi, Stefano, Lillo, Fabrizio

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 1.25 MB

english, 2018

4

A realized volatility approach to option pricing with continuous and jump variance components

Alitab, Dario, Bormetti, Giacomo, Corsi, Fulvio, Majewski, Adam A.

Journal:

Decisions in Economics and Finance

Year:

2019

Language:

english

File:

PDF, 577 KB

english, 2019

5

Modelling systemic price cojumps with Hawkes factor models

Bormetti, Giacomo, Calcagnile, Lucio Maria, Treccani, Michele, Corsi, Fulvio, Marmi, Stefano, Lillo, Fabrizio

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 866 KB

english, 2015

6

A non-Gaussian approach to risk measures

Giacomo Bormetti, Enrica Cisana, Guido Montagna, Oreste Nicrosini

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2007

Language:

english

File:

PDF, 422 KB

english, 2007

7

OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL

BORMETTI, GIACOMO, CAZZOLA, VALENTINA, DELPINI, DANILO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2010

Language:

english

File:

PDF, 292 KB

english, 2010

8

Multiplicative noise, fast convolution and pricing

Bormetti, Giacomo, Cazzaniga, Sofia

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 1.10 MB

english, 2014

9

Bayesian Value-at-Risk with product partition models

Bormetti, Giacomo, De Giuli, Maria Elena, Delpini, Danilo, Tarantola, Claudia

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 291 KB

english, 2012

10

Impact of multiple curve dynamics in credit valuation adjustments under collateralization

Bormetti, Giacomo, Brigo, Damiano, Francischello, Marco, Pallavicini, Andrea

Journal:

Quantitative Finance

Year:

2017

Language:

english

File:

PDF, 2.32 MB

english, 2017

11

Exact moment scaling from multiplicative noise

Bormetti, Giacomo, Delpini, Danilo

Journal:

Physical Review E

Year:

2010

Language:

english

File:

PDF, 138 KB

english, 2010

12

Minimal model of financial stylized facts

Delpini, Danilo, Bormetti, Giacomo

Journal:

Physical Review E

Year:

2011

Language:

english

File:

PDF, 326 KB

english, 2011

13

Smile from the past: A general option pricing framework with multiple volatility and leverage components

Majewski, Adam A., Bormetti, Giacomo, Corsi, Fulvio

Journal:

Journal of Econometrics

Year:

2015

Language:

english

File:

PDF, 727 KB

english, 2015

14

Erratum: A generalized Fourier transform approach to risk measures

Bormetti, Giacomo, Cazzola, Valentina, Livan, Giacomo, Montagna, Guido, Nicrosini, Oreste

Journal:

Journal of Statistical Mechanics Theory and Experiment

Year:

2012

Language:

english

File:

PDF, 74 KB

english, 2012

15

Multi-curve HJM modelling for risk management

Sabelli, Chiara, Pioppi, Michele, Sitzia, Luca, Bormetti, Giacomo

Journal:

Quantitative Finance

Year:

2017

Language:

english

File:

PDF, 5.46 MB

english, 2017

16

Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model

Taranto, Damian Eduardo, Bormetti, Giacomo, Bouchaud, Jean-Philippe, Lillo, Fabrizio, Tóth, Bence

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 1006 KB

english, 2018

17

Stochastic Volatility with Heterogeneous Time Scales

Delpini, Danilo, Bormetti, Giacomo

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 489 KB

english, 2012

18

Linear Models for the Impact of Order Flow on Prices II. The Mixture Transition Distribution Model

Taranto, Damian Eduardo, Bormetti, Giacomo, Bouchaud, Jean-Philippe, Lillo, Fabrizio, Toth, Bence

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 1.20 MB

english, 2016

19

The Adaptive Nature of Liquidity in Limit Order Books

Taranto, Damian Eduardo, Bormetti, Giacomo, Lillo, Fabrizio

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 2.88 MB

english, 2014

20

Interest-Rate Modeling in Collateralized Markets: Multiple Curves and Credit-Liquidity Effects

Bormetti, Giacomo, Brigo, Damiano, Francischello, Marco, Pallavicini, Andrea

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 553 KB

english, 2015

21

Price, it's a GAS! Modelling Ultra-High-Frequency Covariance Dynamics with an Observation-Driven Approach

Buccheri, Giuseppe, Bormetti, Giacomo, Corsi, Fulvio, Lillo, Fabrizio

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 2.02 MB

english, 2017

22

A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing*

Alitab, Dario, Bormetti, Giacomo, Corsi, Fulvio, Majewski, Adam A

Journal:

Journal of Financial Econometrics

Year:

2019

File:

PDF, 950 KB

2019

23

A realized volatility approach to option pricing with continuous and jump variance components

Alitab, Dario, Bormetti, Giacomo, Corsi, Fulvio, Majewski, Adam A.

Journal:

Decisions in Economics and Finance

Year:

2019

File:

PDF, 577 KB

2019

24

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics

Buccheri, Giuseppe, Bormetti, Giacomo, Corsi, Fulvio, Lillo, Fabrizio

Journal:

Journal of Business and Economic Statistics

Year:

2020

File:

PDF, 2.36 MB

2020