Guido Germano
Names
| first: |
Guido |
| last: |
Germano |
Identifer
Contact
| homepage: |
http://www.cs.ucl.ac.uk/staff/g.germano |
|
| phone: |
+44 20 3108 7105 |
| postal address: |
Department of Computer Science,
University College London,
66-72 Gower Street,
London WC1E 6EA,
United Kingdom |
Affiliations
-
London School of Economics (LSE)
/ Systemic Risk Centre (weight: 20%)
-
University College London (UCL)
/ Financial Computing and Analytics Group (weight: 80%)
Research profile
author of:
- Stochastic calculus for uncoupled continuous-time random walks (RePEc:arx:papers:0802.3769)
by Guido Germano & Mauro Politi & Enrico Scalas & Ren'e L. Schilling - Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation (RePEc:arx:papers:0903.1629)
by Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano - Full and fast calibration of the Heston stochastic volatility model (RePEc:arx:papers:1511.08718)
by Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano - Stability of calibration procedures: fractals in the Black-Scholes model (RePEc:arx:papers:1612.01951)
by Yiran Cui & Sebastian del Bano Rollin & Guido Germano - Hilbert transform, spectral filters and option pricing (RePEc:arx:papers:1706.09755)
by Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano - Fluctuation identities with continuous monitoring and their application to price barrier options (RePEc:arx:papers:1712.00077)
by Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano - Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities (RePEc:arx:papers:2106.06030)
by Carolyn E. Phelan & Daniele Marazzina & Guido Germano - Kinetic theory models for the distribution of wealth: power law from overlap of exponentials (RePEc:arx:papers:physics/0504153)
by Marco Patriarca & Anirban Chakraborti & Kimmo Kaski & Guido Germano - Influence of saving propensity on the power law tail of wealth distribution (RePEc:arx:papers:physics/0506028)
by Marco Patriarca & Anirban Chakraborti & Guido Germano - Relaxation in statistical many-agent economy models (RePEc:arx:papers:physics/0608174)
by Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano - Market microstructure, bank's behaviour and interbank spreads (RePEc:cty:dpaper:12/06)
by Gabbi, G. & Germano, G. & Hatzopoulos, V. & Iori, G. & Politi, M. - Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (RePEc:eee:ejores:v:251:y:2016:i:1:p:124-134)
by Fusai, Gianluca & Germano, Guido & Marazzina, Daniele - Full and fast calibration of the Heston stochastic volatility model (RePEc:eee:ejores:v:263:y:2017:i:2:p:625-638)
by Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido - Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (RePEc:eee:ejores:v:271:y:2018:i:1:p:210-223)
by Phelan, Carolyn E. & Marazzina, Daniele & Fusai, Gianluca & Germano, Guido - Influence of saving propensity on the power-law tail of the wealth distribution (RePEc:eee:phsmap:v:369:y:2006:i:2:p:723-736)
by Patriarca, Marco & Chakraborti, Anirban & Germano, Guido - An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default (RePEc:ehl:lserod:100211)
by Sariev, Eduard & Germano, Guido - Market microstructure, banks' behaviour and interbank spreads: evidence after the crisis (RePEc:ehl:lserod:100467)
by Kapar, Burcu & Iori, Giulia & Gabbi, Giampaolo & Germano, Guido - Bayesian regularized artificial neural networks for the estimation of the probability of default (RePEc:ehl:lserod:101029)
by Sariev, Eduard & Germano, Guido - Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities (RePEc:ehl:lserod:103780)
by Phelan, C. E. & Marazzina, D. & Germano, G. - Large scale simulation of synthetic markets (RePEc:ehl:lserod:67563)
by Gerardo-Giorda, Luca & Germano, Guido & Scalas, Enrico - Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (RePEc:ehl:lserod:67564)
by Fusai, Gianluca & Germano, Guido & Marazzina, Daniele - Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market (RePEc:ehl:lserod:67565)
by Iori, Giulia & Politi, Mauro & Germano, Guido & Gabbi, Giampaolo - Full and fast calibration of the Heston stochastic volatility model (RePEc:ehl:lserod:83754)
by Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido - Banks' Strategies and Cost of Money: Effects of the Financial Crisis on the European Electronic Overnight Interbank Market (RePEc:mul:jdp901:doi:10.12831/82212:y:2015:i:2:p:179-202)
by Giulia Iori & Mauro Politi & Guido Germano & Giampaolo Gabbi - Stochastic integration for uncoupled continuous-time random walks (RePEc:pra:mprapa:7341)
by Scalas, Enrico & Germano, Guido & Politi, Mauro & Schilling, René L. - Speculative option valuation: A supercomputing approach (RePEc:sce:scecf4:269)
by Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano - Hilbert transform, spectral filters and option pricing (RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2881-4)
by Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano - Relaxation in statistical many-agent economy models (RePEc:spr:eurphb:v:57:y:2007:i:2:p:219-224)
by M. Patriarca & A. Chakraborti & E. Heinsalu & G. Germano - Spectral densities of Wishart-Lévy free stable random matrices (RePEc:spr:eurphb:v:73:y:2010:i:1:p:13-22)
by M. Politi & E. Scalas & D. Fulger & G. Germano - Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis (RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00248-3)
by Burcu Kapar & Giulia Iori & Giampaolo Gabbi & Guido Germano - Bayesian regularized artificial neural networks for the estimation of the probability of default (RePEc:taf:quantf:v:20:y:2020:i:2:p:311-328)
by Eduard Sariev & Guido Germano - Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities (RePEc:taf:quantf:v:20:y:2020:i:6:p:899-918)
by C. E. Phelan & D. Marazzina & G. Germano - An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default (RePEc:wly:revfec:v:37:y:2019:i:3:p:404-427)
by Eduard Sariev & Guido Germano