Details about Guido Germano

Access statistics for papers by Guido Germano.

Last updated 2024-03-18. Update your information in the RePEc Author Service.

Short-id: pge177

Working Papers

2024

1. Sentiment trading with large language models
   Papers, arXiv.org View citations (5)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024) View citations (8)
   See also Journal Article Sentiment trading with large language models, Finance Research Letters, Elsevier (2024) View citations (8) (2024)

2021

2. Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities
   Papers, arXiv.org

2020

3. 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 View citations (7)
   See also Journal Article Bayesian regularized artificial neural networks for the estimation of the probability of default, Quantitative Finance, Taylor & Francis Journals (2020) View citations (9) (2020)
4. Hilbert transform, spectral filters and option pricing
   Papers, arXiv.org View citations (4)
   See also Journal Article Hilbert transform, spectral filters and option pricing, Annals of Operations Research, Springer (2019) View citations (6) (2019)
5. 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 View citations (2)
   See also Journal Article Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis, Journal of Economic Interaction and Coordination, Springer (2020) (2020)
6. 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 View citations (2)
   See also Journal Article Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities, Quantitative Finance, Taylor & Francis Journals (2020) View citations (2) (2020)

2018

7. 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 View citations (1)
   See also Journal Article 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, John Wiley & Sons (2019) (2019)

2017

8. Fluctuation identities with continuous monitoring and their application to price barrier options
   Papers, arXiv.org
9. 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 View citations (20)
   Also in Papers, arXiv.org (2016) View citations (2)
   See also Journal Article Full and fast calibration of the Heston stochastic volatility model, European Journal of Operational Research, Elsevier (2017) View citations (24) (2017)

2016

10. 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 View citations (32)
    See also Journal Article Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options, European Journal of Operational Research, Elsevier (2016) View citations (37) (2016)
11. Stability of calibration procedures: fractals in the Black-Scholes model
    Papers, arXiv.org

2015

12. 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 View citations (1)
    See also Journal Article 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, Società editrice il Mulino (2015) View citations (2) (2015)
13. Large scale simulation of synthetic markets
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)

2012

14. Market microstructure, bank's behaviour and interbank spreads
    Working Papers, Department of Economics, City University London View citations (10)

2009

15. Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
    Papers, arXiv.org
16. Stochastic calculus for uncoupled continuous-time random walks
    Papers, arXiv.org View citations (8)

2008

17. Relaxation in statistical many-agent economy models
    Papers, arXiv.org View citations (4)
    See also Journal Article Relaxation in statistical many-agent economy models, The European Physical Journal B: Condensed Matter and Complex Systems, Springer (2007) View citations (4) (2007)
18. Stochastic integration for uncoupled continuous-time random walks
    MPRA Paper, University Library of Munich, Germany

2005

19. Influence of saving propensity on the power law tail of wealth distribution
    Papers, arXiv.org View citations (6)
    See also Journal Article Influence of saving propensity on the power-law tail of the wealth distribution, Physica A: Statistical Mechanics and its Applications, Elsevier (2006) View citations (14) (2006)
20. Kinetic theory models for the distribution of wealth: power law from overlap of exponentials
    Papers, arXiv.org View citations (14)

2004

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

Journal Articles

2024

1. Sentiment trading with large language models
   Finance Research Letters, 2024, 62, (PB) View citations (8)
   See also Working Paper Sentiment trading with large language models, Papers (2024) View citations (5) (2024)

2020

2. Bayesian regularized artificial neural networks for the estimation of the probability of default
   Quantitative Finance, 2020, 20, (2), 311-328 View citations (9)
   See also Working Paper Bayesian regularized artificial neural networks for the estimation of the probability of default, LSE Research Online Documents on Economics (2020) View citations (7) (2020)
3. Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis
   Journal of Economic Interaction and Coordination, 2020, 15, (1), 283-331
   See also Working Paper Market microstructure, banks' behaviour and interbank spreads: evidence after the crisis, LSE Research Online Documents on Economics (2020) View citations (2) (2020)
4. Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
   Quantitative Finance, 2020, 20, (6), 899-918 View citations (2)
   See also Working Paper Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities, LSE Research Online Documents on Economics (2020) View citations (2) (2020)

2019

5. 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
   See also Working Paper 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 (2018) View citations (1) (2018)
6. Hilbert transform, spectral filters and option pricing
   Annals of Operations Research, 2019, 282, (1), 273-298 View citations (6)
   See also Working Paper Hilbert transform, spectral filters and option pricing, Papers (2020) View citations (4) (2020)

2018

7. Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
   European Journal of Operational Research, 2018, 271, (1), 210-223 View citations (13)

2017

8. Full and fast calibration of the Heston stochastic volatility model
   European Journal of Operational Research, 2017, 263, (2), 625-638 View citations (24)
   See also Working Paper Full and fast calibration of the Heston stochastic volatility model, LSE Research Online Documents on Economics (2017) View citations (20) (2017)

2016

9. Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
   European Journal of Operational Research, 2016, 251, (1), 124-134 View citations (37)
   See also Working Paper Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options, LSE Research Online Documents on Economics (2016) View citations (32) (2016)

2015

10. 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 View citations (2)
    See also Working Paper Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market, LSE Research Online Documents on Economics (2015) View citations (1) (2015)

2010

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

2007

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

2006

13. 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 View citations (14)
    See also Working Paper Influence of saving propensity on the power law tail of wealth distribution, Papers (2005) View citations (6) (2005)