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Guido Germano

Personal Details

First Name:Guido
Middle Name:
Last Name:Germano
Suffix:
RePEc Short-ID:pge177
http://www.cs.ucl.ac.uk/people/G.Germano
Department of Computer Science, University College London, Gower Street, London WC1E 6BT, United Kingdom
+44 20 3108 7105

Affiliation

(66%) Systemic Risk Centre
London School of Economics (LSE)

London, United Kingdom
http://www.systemicrisk.ac.uk/

: +44 (0)20 7852 3549

Houghton Street London WC2A 2AE
RePEc:edi:srlseuk (more details at EDIRC)

(34%) University College London, Department of Computer Science

http://www.cs.ucl.ac.uk
London, UK

Research output

as
Jump to: Working papers Articles

Working papers

  1. Yiran Cui & Sebastian del Bano Rollin & Guido Germano, 2016. "Stability of calibration procedures: fractals in the Black-Scholes model," Papers 1612.01951, arXiv.org.
  2. 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.
  3. 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.
  4. 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.
  5. 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 University London.
  6. 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.
  7. 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.
  8. 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.
  9. Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano, 2006. "Relaxation in statistical many-agent economy models," Papers physics/0608174, arXiv.org, revised Aug 2008.
  10. 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.
  11. Marco Patriarca & Anirban Chakraborti & Guido Germano, 2005. "Influence of saving propensity on the power law tail of wealth distribution," Papers physics/0506028, arXiv.org.
  12. 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. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. 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 University London.

    Cited by:

    1. Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2015. "The role of bank relationships in the interbank market," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 118-141.
    2. Markus Engler & Vahidin Jeleskovic, 2016. "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics 201648, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    3. Giampaolo Gabbi & Elisa Ticci, 2014. "Implications of financialisation for sustainability," Working papers wpaper47, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.

  2. 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.

    Cited by:

    1. Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011. "Extremal behavior of a coupled continuous time random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(3), pages 505-511.
    2. Dexter Cahoy, 2012. "Moment estimators for the two-parameter M-Wright distribution," Computational Statistics, Springer, vol. 27(3), pages 487-497, September.
    3. Scalas, Enrico & Viles, Noèlia, 2014. "A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 385-410.
    4. Chen, Zhen-Qing & Kim, Kyeong-Hun & Kim, Panki, 2015. "Fractional time stochastic partial differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1470-1499.

  3. Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano, 2006. "Relaxation in statistical many-agent economy models," Papers physics/0608174, arXiv.org, revised Aug 2008.

    Cited by:

    1. Sokolov, Andrey & Melatos, Andrew & Kieu, Tien, 2010. "Laplace transform analysis of a multiplicative asset transfer model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2782-2792.
    2. Kiran Sharma & Anirban Chakraborti, 2016. "Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?," Papers 1606.06051, arXiv.org.
    3. Andrey Sokolov & Andrew Melatos & Tien Kieu, 2010. "Laplace transform analysis of a multiplicative asset transfer model," Papers 1004.5169, arXiv.org.

  4. 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.

    Cited by:

    1. Chakrabarti, Anindya S. & Chakrabarti, Bikas K., 2010. "Statistical theories of income and wealth distribution," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 4, pages 1-31.
    2. Els Heinsalu & Marco Patriarca, 2014. "Kinetic models of immediate exchange," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(8), pages 1-10, August.
    3. Anindya S. Chakrabarti, 2011. "Firm dynamics in a closed, conserved economy: A model of size distribution of employment and related statistics," Papers 1112.2168, arXiv.org.
    4. Kiran Sharma & Anirban Chakraborti, 2016. "Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?," Papers 1606.06051, arXiv.org.
    5. 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.
    6. John Angle, 2006. "The Inequality Process as a Wealth Maximizing Process," LIS Working papers 427, LIS Cross-National Data Center in Luxembourg.

  5. Marco Patriarca & Anirban Chakraborti & Guido Germano, 2005. "Influence of saving propensity on the power law tail of wealth distribution," Papers physics/0506028, arXiv.org.

    Cited by:

    1. Jan Lorenz & Fabian Paetzel & Frank Schweitzer, "undated". "Redistribution spurs growth by using a portfolio effect on risky human capital," Working Papers ETH-RC-12-018, ETH Zurich, Chair of Systems Design.
    2. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: II. Agent-based models," Post-Print hal-00621059, HAL.
    3. Chakrabarti, Anindya S. & Chakrabarti, Bikas K., 2010. "Statistical theories of income and wealth distribution," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 4, pages 1-31.
    4. Jan Lorenz & Fabian Paetzel & Frank Schweitzer, 2012. "Redistribution spurs growth by using a portfolio effect on human capital," Papers 1210.3716, arXiv.org.
    5. Sebastian Guala, 2009. "Taxes in a Wealth Distribution Model by Inelastically Scattering of Particles," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 7(1), pages 1-7.

Articles

  1. 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.

    Cited by:

    1. 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.
    2. Kenichiro Shiraya, 2016. "An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models," CARF F-Series CARF-F-397, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Hilbert transform, spectral filtering and option pricing," Papers 1706.09755, arXiv.org.
    4. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
    5. 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.

  2. 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.
    See citations under working paper version above.
  3. 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.

    Cited by:

    1. Anindya S. Chakrabarti, 2017. "Scale-free distribution as an economic invariant: a theoretical approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(1), pages 1-26, April.
    2. Chakrabarti, Anindya S., 2011. "An almost linear stochastic map related to the particle system models of social sciences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4370-4378.
    3. Sebastian Guala, 2009. "Taxes in a Wealth Distribution Model by Inelastically Scattering of Particles," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 7(1), pages 1-7.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

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 7 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-BAN: Banking (2) 2012-10-20 2017-01-08
  2. NEP-CMP: Computational Economics (1) 2016-09-11
  3. NEP-EEC: European Economics (1) 2012-10-20
  4. NEP-ETS: Econometric Time Series (1) 2015-12-08
  5. NEP-FMK: Financial Markets (1) 2012-10-20
  6. NEP-MON: Monetary Economics (1) 2017-01-08
  7. NEP-ORE: Operations Research (1) 2008-03-01

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