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Giacomo Bormetti A · Study
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Giacomo Bormetti A
5 works
· latest 2020
· 3 institutions
cluster: provisional
ORCID 0000-0003-3542-2505
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Citations
243
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Most cited in this library
Modelling systemic price cojumps with Hawkes factor models
2015 · 79 citations
Smile from the past: A general option pricing framework with multiple volatility and leverage components
2015 · 58 citations
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
2020 · 48 citations
A non-Gaussian approach to risk measures
2006 · 30 citations
Pricing exotic options in a path integral approach
2006 · 28 citations
Works
5 shown
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
Journal of Business and Economic Statistics
·
2020
·
4 authors
·
Open access
48
citations
Modelling systemic price cojumps with Hawkes factor models
Quantitative Finance
·
2015
·
6 authors
79
citations
Smile from the past: A general option pricing framework with multiple volatility and leverage components
Journal of Econometrics
·
2015
·
3 authors
·
Open access
58
citations
A non-Gaussian approach to risk measures
Physica A Statistical Mechanics and its Applications
·
2006
·
4 authors
·
Open access
30
citations
Pricing exotic options in a path integral approach
Quantitative Finance
·
2006
·
4 authors
28
citations