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Details about Guido Germano

E-mail:
Homepage:http://www.cs.ucl.ac.uk/staff/g.germano
Phone:+44 20 3108 7105
Postal address:Department of Computer Science, University College London, Gower Street, London WC1E 6BT, United Kingdom
Workplace:Financial Computing and Analytics Group, University College London (UCL), (more information at EDIRC)
Systemic Risk Centre, London School of Economics (LSE), (more information at EDIRC)

Access statistics for papers by Guido Germano.

Last updated 2021-02-27. Update your information in the RePEc Author Service.

Short-id: pge177


Jump to Journal Articles

Working Papers

2020

  1. Bayesian regularized artificial neural networks for the estimation of the probability of default
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2020)
  2. Hilbert transform, spectral filters and option pricing
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Annals of Operations Research (2019)
  3. Market microstructure, banks' behaviour and interbank spreads: evidence after the crisis
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    See also Journal Article in Journal of Economic Interaction and Coordination (2020)
  4. Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2020)

2018

  1. An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
    See also Journal Article in Review of Financial Economics (2019)

2017

  1. Fluctuation identities with continuous monitoring and their application to price barrier options
    Papers, arXiv.org Downloads
  2. Full and fast calibration of the Heston stochastic volatility model
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (12)
    Also in Papers, arXiv.org (2016) Downloads View citations (2)

    See also Journal Article in European Journal of Operational Research (2017)

2016

  1. Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (21)
    See also Journal Article in European Journal of Operational Research (2016)
  2. Stability of calibration procedures: fractals in the Black-Scholes model
    Papers, arXiv.org Downloads

2015

  1. Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
    See also Journal Article in Journal of Financial Management, Markets and Institutions (2015)
  2. Large scale simulation of synthetic markets
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads

2012

  1. Market microstructure, bank's behaviour and interbank spreads
    Working Papers, Department of Economics, City University London Downloads View citations (8)

2009

  1. Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
    Papers, arXiv.org Downloads
  2. Stochastic calculus for uncoupled continuous-time random walks
    Papers, arXiv.org Downloads View citations (7)

2008

  1. Relaxation in statistical many-agent economy models
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in The European Physical Journal B: Condensed Matter and Complex Systems (2007)
  2. Stochastic integration for uncoupled continuous-time random walks
    MPRA Paper, University Library of Munich, Germany Downloads

2005

  1. Influence of saving propensity on the power law tail of wealth distribution
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
  2. Kinetic theory models for the distribution of wealth: power law from overlap of exponentials
    Papers, arXiv.org Downloads View citations (9)

2004

  1. Speculative option valuation: A supercomputing approach
    Computing in Economics and Finance 2004, Society for Computational Economics

Journal Articles

2020

  1. Bayesian regularized artificial neural networks for the estimation of the probability of default
    Quantitative Finance, 2020, 20, (2), 311-328 Downloads View citations (2)
    See also Working Paper (2020)
  2. Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis
    Journal of Economic Interaction and Coordination, 2020, 15, (1), 283-331 Downloads
    See also Working Paper (2020)
  3. Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
    Quantitative Finance, 2020, 20, (6), 899-918 Downloads View citations (1)
    See also Working Paper (2020)

2019

  1. An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default
    Review of Financial Economics, 2019, 37, (3), 404-427 Downloads
    See also Working Paper (2018)
  2. Hilbert transform, spectral filters and option pricing
    Annals of Operations Research, 2019, 282, (1), 273-298 Downloads View citations (2)
    See also Working Paper (2020)

2018

  1. Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
    European Journal of Operational Research, 2018, 271, (1), 210-223 Downloads View citations (8)

2017

  1. Full and fast calibration of the Heston stochastic volatility model
    European Journal of Operational Research, 2017, 263, (2), 625-638 Downloads View citations (12)
    See also Working Paper (2017)

2016

  1. Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
    European Journal of Operational Research, 2016, 251, (1), 124-134 Downloads View citations (25)
    See also Working Paper (2016)

2015

  1. Banks' Strategies and Cost of Money: Effects of the Financial Crisis on the European Electronic Overnight Interbank Market
    Journal of Financial Management, Markets and Institutions, 2015, (2), 179-202 Downloads View citations (2)
    See also Working Paper (2015)

2010

  1. Spectral densities of Wishart-Lévy free stable random matrices
    The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 73, (1), 13-22 Downloads

2007

  1. Relaxation in statistical many-agent economy models
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 57, (2), 219-224 Downloads View citations (4)
    See also Working Paper (2008)

2006

  1. Influence of saving propensity on the power-law tail of the wealth distribution
    Physica A: Statistical Mechanics and its Applications, 2006, 369, (2), 723-736 Downloads View citations (10)
    See also Working Paper (2005)
 
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