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BORMETTI, G.
21  results:
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1

A backward Monte Carlo approach to exotic option pricing:

BORMETTI, G. ; CALLEGARO, G. ; LIVIERI, G..
European Journal of Applied Mathematics.  29 (2017)  1 - p. 146-187 , 2017
Link: https://doi.org/10.1017/..
 
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2

Stochastic volatility with heterogeneous time scales:

Delpini, D. ; Bormetti, G.
Quantitative Finance.  15 (2015)  10 - p. 1597-1608 , 2015
Link: https://doi.org/10.1080/..
 
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3

The adaptive nature of liquidity taking in limit order book:

Taranto, D E ; Bormetti, G ; Lillo, F
Journal of Statistical Mechanics: Theory and Experiment.  2014 (2014)  6 - p. P06002 , 2014
Link: https://doi.org/10.1088/..
 
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4

Accounting for risk of non linear portfolios: A novel Fouri..:

Bormetti, G. ; Cazzola, V. ; Delpini, D..
The European Physical Journal B.  76 (2010)  1 - p. 157-165 , 2010
Link: https://doi.org/10.1140/..
 
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5

The probability distribution of returns in the exponential ..:

Bormetti, G ; Cazzola, V ; Montagna, G.
Journal of Statistical Mechanics: Theory and Experiment.  2008 (2008)  11 - p. P11013 , 2008
Link: https://doi.org/10.1088/..
 
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6

Pricing exotic options in a path integral approach:

Bormetti, G. ; Montagna, G. ; Moreni, N..
Quantitative Finance.  6 (2006)  1 - p. 55-66 , 2006
Link: https://doi.org/10.1080/..
 
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7

Measuring price impact and information content of trades in..:

Campigli, F ; Bormetti, G ; Lillo, F
http://arxiv.org/abs/2212.12687.  , 2022
Link: http://arxiv.org/abs/221..
 
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8

A Stochastic Volatility Model With Realized Measures for Op..:

Bormetti G ; Casarin R ; Corsi F.
info:eu-repo/semantics/altIdentifier/wos/WOS:000472364400001.  , 2020
Link: http://hdl.handle.net/11..
 
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9

A backward Monte Carlo approach to exotic option pricing:

BORMETTI, G ; CALLEGARO, G ; LIVIERI, G.
info:eu-repo/semantics/altIdentifier/wos/WOS:000419381300006.  , 2017
Link: http://hdl.handle.net/11..
 
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10

Coupling News Sentiment with Web Browsing Data Improves Pre..:

Ranco G ; Bordino I ; Bormetti G...
info:eu-repo/semantics/altIdentifier/wos/WOS:000369527800026.  , 2016
Link: https://hdl.handle.net/2..
 
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11

Coupling news sentiment with web browsing data improves pre..:

Ranco G ; Bordino I ; Bormetti G...
info:eu-repo/semantics/altIdentifier/wos/WOS:000369527800026.  , 2016
Link: http://hdl.handle.net/10..
 
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12

Impact of Multiple Curve Dynamics in Credit Valuation Adjus..:

Bormetti, G ; Brigo, D ; Francischello, M.
Innovations in Derivatives Markets. Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation.  , 2016
Link: http://hdl.handle.net/10..
 
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13

Stochastic volatility with heterogeneous time scales:

DELPINI, Danilo ; Bormetti G
info:eu-repo/semantics/altIdentifier/wos/WOS:000361371300001.  , 2015
Link: http://hdl.handle.net/11..
 
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14

Smile from the past: A general option pricing framework wit..:

Majewski, A. A ; Bormetti, G ; Corsi, F
https://openaccess.city.ac.uk/id/eprint/19452/1/Smile%20from%20the%20Past.pdf.  , 2015
Link: https://openaccess.city...
 
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15

A Generalized Fourier Transform Approach to Risk Measures:

Bormetti, G ; Cazzola, V ; Livan, G..
http://arxiv.org/abs/0909.3978.  , 2009
Link: http://arxiv.org/abs/090..
 
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