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Guido Germano

Personal Details

First Name:Guido
Middle Name:
Last Name:Germano
Suffix:
RePEc Short-ID:pge177
[This author has chosen not to make the email address public]
http://www.cs.ucl.ac.uk/staff/g.germano
Department of Computer Science, University College London, 66-72 Gower Street, London WC1E 6EA, United Kingdom
+44 20 3108 7105

Affiliation

(20%) Systemic Risk Centre
London School of Economics (LSE)

London, United Kingdom
http://www.systemicrisk.ac.uk/
RePEc:edi:srlseuk (more details at EDIRC)

(80%) Financial Computing and Analytics Group
University College London (UCL)

London, United Kingdom
https://www.ucl.ac.uk/computer-science/fca
RePEc:edi:fcucluk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Kemal Kirtac & Guido Germano, 2024. "Sentiment trading with large language models," Papers 2412.19245, arXiv.org.
  2. Carolyn E. Phelan & Daniele Marazzina & Guido Germano, 2021. "Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities," Papers 2106.06030, arXiv.org.
  3. Sariev, Eduard & Germano, Guido, 2020. "Bayesian regularized artificial neural networks for the estimation of the probability of default," LSE Research Online Documents on Economics 101029, London School of Economics and Political Science, LSE Library.
  4. Kapar, Burcu & Iori, Giulia & Gabbi, Giampaolo & Germano, Guido, 2020. "Market microstructure, banks' behaviour and interbank spreads: evidence after the crisis," LSE Research Online Documents on Economics 100467, London School of Economics and Political Science, LSE Library.
  5. Phelan, C. E. & Marazzina, D. & Germano, G., 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," LSE Research Online Documents on Economics 103780, London School of Economics and Political Science, LSE Library.
  6. Sariev, Eduard & Germano, Guido, 2018. "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 100211, London School of Economics and Political Science, LSE Library.
  7. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Fluctuation identities with continuous monitoring and their application to price barrier options," Papers 1712.00077, arXiv.org.
  8. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Hilbert transform, spectral filters and option pricing," Papers 1706.09755, arXiv.org, revised Jan 2020.
  9. Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," LSE Research Online Documents on Economics 67564, London School of Economics and Political Science, LSE Library.
  10. Yiran Cui & Sebastian del Bano Rollin & Guido Germano, 2016. "Stability of calibration procedures: fractals in the Black-Scholes model," Papers 1612.01951, arXiv.org.
  11. Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano, 2015. "Full and fast calibration of the Heston stochastic volatility model," Papers 1511.08718, arXiv.org, revised May 2016.
  12. Iori, Giulia & Politi, Mauro & Germano, Guido & Gabbi, Giampaolo, 2015. "Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market," LSE Research Online Documents on Economics 67565, London School of Economics and Political Science, LSE Library.
  13. Gerardo-Giorda, Luca & Germano, Guido & Scalas, Enrico, 2015. "Large scale simulation of synthetic markets," LSE Research Online Documents on Economics 67563, London School of Economics and Political Science, LSE Library.
  14. Gabbi, G. & Germano, G. & Hatzopoulos, V. & Iori, G. & Politi, M., 2012. "Market microstructure, bank's behaviour and interbank spreads," Working Papers 12/06, Department of Economics, City St George's, University of London.
  15. Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano, 2009. "Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation," Papers 0903.1629, arXiv.org.
  16. Scalas, Enrico & Germano, Guido & Politi, Mauro & Schilling, René L., 2008. "Stochastic integration for uncoupled continuous-time random walks," MPRA Paper 7341, University Library of Munich, Germany.
  17. Guido Germano & Mauro Politi & Enrico Scalas & Ren'e L. Schilling, 2008. "Stochastic calculus for uncoupled continuous-time random walks," Papers 0802.3769, arXiv.org, revised Jan 2009.
  18. Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano, 2006. "Relaxation in statistical many-agent economy models," Papers physics/0608174, arXiv.org, revised Aug 2008.
  19. Marco Patriarca & Anirban Chakraborti & Kimmo Kaski & Guido Germano, 2005. "Kinetic theory models for the distribution of wealth: power law from overlap of exponentials," Papers physics/0504153, arXiv.org, revised May 2005.
  20. Marco Patriarca & Anirban Chakraborti & Guido Germano, 2005. "Influence of saving propensity on the power law tail of wealth distribution," Papers physics/0506028, arXiv.org.
  21. Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano, 2004. "Speculative option valuation: A supercomputing approach," Computing in Economics and Finance 2004 269, Society for Computational Economics.

Articles

  1. Kirtac, Kemal & Germano, Guido, 2024. "Sentiment trading with large language models," Finance Research Letters, Elsevier, vol. 62(PB).
  2. Burcu Kapar & Giulia Iori & Giampaolo Gabbi & Guido Germano, 2020. "Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 283-331, January.
  3. C. E. Phelan & D. Marazzina & G. Germano, 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 899-918, June.
  4. Eduard Sariev & Guido Germano, 2020. "Bayesian regularized artificial neural networks for the estimation of the probability of default," Quantitative Finance, Taylor & Francis Journals, vol. 20(2), pages 311-328, February.
  5. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2019. "Hilbert transform, spectral filters and option pricing," Annals of Operations Research, Springer, vol. 282(1), pages 273-298, November.
  6. Eduard Sariev & Guido Germano, 2019. "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, vol. 37(3), pages 404-427, July.
  7. Phelan, Carolyn E. & Marazzina, Daniele & Fusai, Gianluca & Germano, Guido, 2018. "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options," European Journal of Operational Research, Elsevier, vol. 271(1), pages 210-223.
  8. Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido, 2017. "Full and fast calibration of the Heston stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 263(2), pages 625-638.
  9. Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," European Journal of Operational Research, Elsevier, vol. 251(1), pages 124-134.
  10. Giulia Iori & Mauro Politi & Guido Germano & Giampaolo Gabbi, 2015. "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, issue 2, pages 179-202, December.
  11. M. Politi & E. Scalas & D. Fulger & G. Germano, 2010. "Spectral densities of Wishart-Lévy free stable random matrices," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 73(1), pages 13-22, January.
  12. M. Patriarca & A. Chakraborti & E. Heinsalu & G. Germano, 2007. "Relaxation in statistical many-agent economy models," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 57(2), pages 219-224, May.
  13. Patriarca, Marco & Chakraborti, Anirban & Germano, Guido, 2006. "Influence of saving propensity on the power-law tail of the wealth distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 723-736.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (7) 2016-09-11 2017-12-11 2017-12-18 2019-03-11 2019-12-02 2024-05-13 2025-01-13. Author is listed
  2. NEP-BAN: Banking (3) 2012-10-20 2017-01-08 2020-04-27
  3. NEP-BIG: Big Data (3) 2019-12-02 2024-05-13 2025-01-13
  4. NEP-FMK: Financial Markets (3) 2012-10-20 2024-05-13 2025-01-13
  5. NEP-ORE: Operations Research (3) 2008-03-01 2019-06-10 2019-12-02
  6. NEP-AIN: Artificial Intelligence (2) 2024-05-13 2025-01-13
  7. NEP-ECM: Econometrics (2) 2019-03-11 2019-12-02
  8. NEP-RMG: Risk Management (2) 2019-03-11 2019-12-02
  9. NEP-EEC: European Economics (1) 2012-10-20
  10. NEP-ETS: Econometric Time Series (1) 2015-12-08
  11. NEP-MON: Monetary Economics (1) 2017-01-08
  12. NEP-MST: Market Microstructure (1) 2020-04-27
  13. NEP-TRA: Transition Economics (1) 2019-03-11

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