IDEAS home Printed from https://ideas.repec.org/e/pge177.html
   My authors  Follow this author

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. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Yiran Cui & Sebastian del Bano Rollin & Guido Germano, 2016. "Stability of calibration procedures: fractals in the Black-Scholes model," Papers 1612.01951, arXiv.org.
  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. 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.
  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. 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.
  13. 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.
  14. 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.
  15. 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.
  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. Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano, 2006. "Relaxation in statistical many-agent economy models," Papers physics/0608174, arXiv.org, revised Aug 2008.
  18. Marco Patriarca & Anirban Chakraborti & Guido Germano, 2005. "Influence of saving propensity on the power law tail of wealth distribution," Papers physics/0506028, arXiv.org.
  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. 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. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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. 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.

    Cited by:

    1. Jaewon Park & Minsoo Shin & Wookjae Heo, 2021. "Estimating the BIS Capital Adequacy Ratio for Korean Banks Using Machine Learning: Predicting by Variable Selection Using Random Forest Algorithms," Risks, MDPI, vol. 9(2), pages 1-19, February.
    2. Salman Bahoo & Marco Cucculelli & Xhoana Goga & Jasmine Mondolo, 2024. "Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis," SN Business & Economics, Springer, vol. 4(2), pages 1-46, February.
    3. Wei Li & Florentina Paraschiv & Georgios Sermpinis, 2021. "A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection," Papers 2107.08808, arXiv.org.
    4. Timothy Praditia & Thilo Walser & Sergey Oladyshkin & Wolfgang Nowak, 2020. "Improving Thermochemical Energy Storage Dynamics Forecast with Physics-Inspired Neural Network Architecture," Energies, MDPI, vol. 13(15), pages 1-26, July.
    5. Caplescu Raluca Dana & Panaite Ana-Maria & Pele Daniel Traian & Strat Vasile Alecsandru, 2020. "Will they repay their debt? Identification of borrowers likely to be charged off," Management & Marketing, Sciendo, vol. 15(3), pages 393-409, September.
    6. Michael L. Polemis & Mike G. Tsionas, 2023. "The environmental consequences of blockchain technology: A Bayesian quantile cointegration analysis for Bitcoin," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1602-1621, April.
    7. Caplescu Raluca Dana & Cojocea Manuela-Simona & Pele Daniel Traian & Strat Vasile Alecsandru, 2021. "Improvements in PD models. A case-study approach," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 15(1), pages 13-32, December.

  2. 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.

    Cited by:

    1. Anastasios Demertzidis, 2019. "Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-," MAGKS Papers on Economics 201932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    2. Vahidin Jeleskovic & Anastasios Demertzidis, 2018. "Comparing different methods for the estimation of interbank intraday yield curves," MAGKS Papers on Economics 201839, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

  3. 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.

    Cited by:

    1. Zhang, Meihui & Jia, Jinhong & Zheng, Xiangcheng, 2023. "Numerical approximation and fast implementation to a generalized distributed-order time-fractional option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
    2. Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.

  4. 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.

    Cited by:

    1. 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, 2017. "Hilbert transform, spectral filters and option pricing," Papers 1706.09755, arXiv.org, revised Jan 2020.

    Cited by:

    1. 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.
    2. Aiping Wang & Li Li & Shuli Mei & Kexin Meng, 2020. "Hermite Interpolation Based Interval Shannon-Cosine Wavelet and Its Application in Sparse Representation of Curve," Mathematics, MDPI, vol. 9(1), pages 1-21, December.
    3. 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.
    4. Jie Chen & Liaoyuan Fan & Lingfei Li & Gongqiu Zhang, 2022. "A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation," Review of Derivatives Research, Springer, vol. 25(2), pages 189-232, July.
    5. Zhang, Meihui & Jia, Jinhong & Zheng, Xiangcheng, 2023. "Numerical approximation and fast implementation to a generalized distributed-order time-fractional option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
    6. Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.
    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. 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.
    9. Michele Azzone & Roberto Baviera, 2023. "A fast Monte Carlo scheme for additive processes and option pricing," Computational Management Science, Springer, vol. 20(1), pages 1-34, December.

  6. 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.

    Cited by:

    1. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
    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. 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.
    4. Corsaro, Stefania & Kyriakou, Ioannis & Marazzina, Daniele & Marino, Zelda, 2019. "A general framework for pricing Asian options under stochastic volatility on parallel architectures," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1082-1095.
    5. Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021. "Sinh-Acceleration For B-Spline Projection With Option Pricing Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
    6. Detemple, Jérôme & Laminou Abdou, Souleymane & Moraux, Franck, 2020. "American step options," European Journal of Operational Research, Elsevier, vol. 282(1), pages 363-385.
    7. Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
    8. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    9. 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.
    10. Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017. "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 167-183.
    11. Olivier Le Courtois & François Quittard-Pinon & Xiaoshan Su, 2020. "Pricing and hedging defaultable participating contracts with regime switching and jump risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 303-339, June.
    12. 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.
    13. Jie Chen & Liaoyuan Fan & Lingfei Li & Gongqiu Zhang, 2022. "A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation," Review of Derivatives Research, Springer, vol. 25(2), pages 189-232, July.
    14. Zhang, Meihui & Jia, Jinhong & Zheng, Xiangcheng, 2023. "Numerical approximation and fast implementation to a generalized distributed-order time-fractional option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
    15. Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
    16. Li, Hongshan & Huang, Zhongyi, 2020. "An iterative splitting method for pricing European options under the Heston model☆," Applied Mathematics and Computation, Elsevier, vol. 387(C).
    17. Shiraya, Kenichiro & Uenishi, Hiroki & Yamazaki, Akira, 2020. "A general control variate method for Lévy models in finance," European Journal of Operational Research, Elsevier, vol. 284(3), pages 1190-1200.
    18. Dimitrova, Dimitrina S. & Ignatov, Zvetan G. & Kaishev, Vladimir K. & Tan, Senren, 2020. "On double-boundary non-crossing probability for a class of compound processes with applications," European Journal of Operational Research, Elsevier, vol. 282(2), pages 602-613.
    19. Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.
    20. 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.
    21. Yingda Song & Ning Cai & Steven Kou, 2018. "Computable Error Bounds of Laplace Inversion for Pricing Asian Options," INFORMS Journal on Computing, INFORMS, vol. 30(4), pages 634-645, January.
    22. Kenichiro Shiraya, 2016. "An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models (Forthcoming in International Journal of Theoretical and Applied Finance.)," CARF F-Series CARF-F-397, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2018.
    23. Gabriela Pesce & Florencia Verónica Pedroni & Etelvina Chávez & María de la Paz Moral & María Andrea Rivero, 2021. "Exotic options: conceptualization and evolution in the literature from a systematic review," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 95, pages 231-275, July-Dece.
    24. Gongqiu Zhang & Lingfei Li, 2021. "A General Approach for Lookback Option Pricing under Markov Models," Papers 2112.00439, arXiv.org.
    25. 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.
    26. 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.
    27. Cai, Ning & Li, Chenxu & Shi, Chao, 2021. "Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    28. Xie, Fei & He, Zhijian & Wang, Xiaoqun, 2019. "An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options," European Journal of Operational Research, Elsevier, vol. 274(2), pages 759-772.
    29. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2020. "Early exercise boundaries for American-style knock-out options," European Journal of Operational Research, Elsevier, vol. 285(2), pages 753-766.
    30. Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
    31. Ning Cai & Xuewei Yang, 2021. "A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 216-229, January.
    32. Gudmundsson, Hilmar & Vyncke, David, 2019. "On the calibration of the 3/2 model," European Journal of Operational Research, Elsevier, vol. 276(3), pages 1178-1192.
    33. McGee, Richard J. & McGroarty, Frank, 2017. "The risk premium that never was: A fair value explanation of the volatility spread," European Journal of Operational Research, Elsevier, vol. 262(1), pages 370-380.
    34. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.

  7. 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.

    Cited by:

    1. 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.

  8. 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.

    Cited by:

    1. Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Gaetano Bua & Daniele Marazzina, 2021. "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, vol. 18(2), pages 149-176, June.
    3. Oliver Pfante & Nils Bertschinger, 2019. "Information-Theoretic Analysis Of Stochastic Volatility Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-21, February.
    4. Fan, Qingqian & Feng, Sixian, 2022. "An empirical study on the characterization of implied volatility and pricing in the Chinese option market," Finance Research Letters, Elsevier, vol. 49(C).
    5. Feng, Chengxiao & Tan, Jie & Jiang, Zhenyu & Chen, Shuang, 2020. "A generalized European option pricing model with risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    6. Pascal François & Lars Stentoft, 2021. "Smile‐implied hedging with volatility risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1220-1240, August.
    7. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT calibration of the Heston model," Papers 2103.01570, arXiv.org.
    8. Eudald Romo & Luis Ortiz-Gracia, 2021. "SWIFT Calibration of the Heston Model," Mathematics, MDPI, vol. 9(5), pages 1-20, March.
    9. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl, 2018. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Research Paper Series 395, Quantitative Finance Research Centre, University of Technology, Sydney.
    10. Recchioni, Maria Cristina & Iori, Giulia & Tedeschi, Gabriele & Ouellette, Michelle S., 2021. "The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications," European Journal of Operational Research, Elsevier, vol. 293(1), pages 336-360.
    11. Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.
    12. Mehrdoust, Farshid & Noorani, Idin & Hamdi, Abdelouahed, 2023. "Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 204(C), pages 660-678.
    13. Shuaiqiang Liu & Anastasia Borovykh & Lech A. Grzelak & Cornelis W. Oosterlee, 2019. "A neural network-based framework for financial model calibration," Papers 1904.10523, arXiv.org.
    14. Oliver Pfante & Nils Bertschinger, 2019. "Volatility Inference And Return Dependencies In Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-44, May.
    15. Herv'e Andres & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued & Sophian Mehalla, 2020. "Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient," Papers 2006.13521, arXiv.org.
    16. Hervé Andres & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued & Sophian Mehalla, 2020. "Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient," Working Papers hal-02875623, HAL.
    17. Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2019. "Quantization meets Fourier: a new technology for pricing options," Annals of Operations Research, Springer, vol. 282(1), pages 59-86, November.
    18. Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Economic Scenario Generators: a risk management tool for insurance," Post-Print hal-03671943, HAL.
    19. Gudmundsson, Hilmar & Vyncke, David, 2019. "On the calibration of the 3/2 model," European Journal of Operational Research, Elsevier, vol. 276(3), pages 1178-1192.
    20. Sascha Desmettre, 2018. "Change of Measure in the Heston Model given a violated Feller Condition," Papers 1809.10955, arXiv.org, revised Oct 2019.

  9. 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.

    Cited by:

    1. Hao Ming & JinRong Wang & Michal Fečkan, 2019. "The Application of Fractional Calculus in Chinese Economic Growth Models," Mathematics, MDPI, vol. 7(8), pages 1-6, July.
    2. Xu Wang & JinRong Wang & Michal Fečkan, 2020. "BP Neural Network Calculus in Economic Growth Modelling of the Group of Seven," Mathematics, MDPI, vol. 8(1), pages 1-11, January.

  10. 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. Giampaolo Gabbi & Elisa Ticci, 2014. "Implications of financialisation for sustainability," Working papers wpaper47, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    2. Gabriele Tedeschi & Fabio Caccioli & Maria Cristina Recchioni, 2020. "Taming financial systemic risk: models, instruments and early warning indicators," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 1-7, January.
    3. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.
    4. Anastasios Demertzidis, 2019. "Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-," MAGKS Papers on Economics 201932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    5. 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).
    6. Vahidin Jeleskovic & Anastasios Demertzidis, 2018. "Comparing different methods for the estimation of interbank intraday yield curves," MAGKS Papers on Economics 201839, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    7. 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.
    8. Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2017. "Network centrality and funding rates in the e-MID interbank market," Journal of Financial Stability, Elsevier, vol. 33(C), pages 346-365.
    9. Anna Maria D’Arcangelis & Giulia Rotundo, 2016. "Complex Networks in Finance," Lecture Notes in Economics and Mathematical Systems, in: Pasquale Commendatore & Mariano Matilla-García & Luis M. Varela & Jose S. Cánovas (ed.), Complex Networks and Dynamics, pages 209-235, Springer.

  11. 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. Straka, Peter, 2018. "Variable order fractional Fokker–Planck equations derived from Continuous Time Random Walks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 451-463.
    2. Guoxing Lin, 2018. "Analysis of PFG Anomalous Diffusion via Real-Space and Phase-Space Approaches," Mathematics, MDPI, vol. 6(2), pages 1-16, January.
    3. 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.
    4. Álvaro Cartea, 2013. "Derivatives pricing with marked point processes using tick-by-tick data," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 111-123, January.
    5. 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.
    6. Dexter Cahoy, 2012. "Moment estimators for the two-parameter M-Wright distribution," Computational Statistics, Springer, vol. 27(3), pages 487-497, September.
    7. 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.
    8. Frank Marten & Krasimira Tsaneva-Atanasova & Luca Giuggioli, 2012. "Bacterial Secretion and the Role of Diffusive and Subdiffusive First Passage Processes," PLOS ONE, Public Library of Science, vol. 7(8), pages 1-12, August.

  12. 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. Rem Sadykhov & Geoffrey Goodell & Denis de Montigny & Martin Schoernig & Philip Treleaven, 2023. "Decentralized Token Economy Theory (DeTEcT)," Papers 2309.12330, arXiv.org, revised Jan 2024.
    2. Düring, Bertram & Matthes, Daniel & Toscani, Giuseppe, 2008. "A Boltzmann-type approach to the formation of wealth distribution curves," CoFE Discussion Papers 08/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    3. Kiran Sharma & Anirban Chakraborti, 2016. "Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?," Papers 1606.06051, arXiv.org, revised Aug 2018.
    4. 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.
    5. Andrey Sokolov & Andrew Melatos & Tien Kieu, 2010. "Laplace transform analysis of a multiplicative asset transfer model," Papers 1004.5169, arXiv.org.

  13. 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. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: II. Agent-based models," Post-Print hal-00621059, HAL.
    2. Jan Lorenz & Fabian Paetzel & Frank Schweitzer, 2013. "Redistribution Spurs Growth by Using a Portfolio Effect on Risky Human Capital," PLOS ONE, Public Library of Science, vol. 8(2), pages 1-13, February.
    3. Vallejos, Adams & Ormazábal, Ignacio & Borotto, Félix A. & Astudillo, Hernán F., 2019. "A new κ-deformed parametric model for the size distribution of wealth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 819-829.
    4. Gualandi, Stefano & Toscani, Giuseppe, 2019. "Size distribution of cities: A kinetic explanation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 221-234.
    5. Jan Lorenz & Fabian Paetzel & Frank Schweitzer, 2012. "Redistribution spurs growth by using a portfolio effect on human capital," Papers 1210.3716, arXiv.org.
    6. Düring, Bertram & Matthes, Daniel & Toscani, Giuseppe, 2008. "A Boltzmann-type approach to the formation of wealth distribution curves," CoFE Discussion Papers 08/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    7. 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.
    8. Alessandro Pluchino & Alessio Emanuele Biondo & Andrea Rapisarda, 2018. "Talent Versus Luck: The Role Of Randomness In Success And Failure," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 21(03n04), pages 1-31, May.
    9. Pierpaolo Andriani & Bill McKelvey, 2009. "Perspective ---From Gaussian to Paretian Thinking: Causes and Implications of Power Laws in Organizations," Organization Science, INFORMS, vol. 20(6), pages 1053-1071, December.
    10. Chakrabarti, Anindya S. & Chakrabarti, Bikas K., 2010. "Statistical theories of income and wealth distribution," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-31.
    11. 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.
    12. Victor M. Yakovenko & J. Barkley Rosser, 2009. "Colloquium: Statistical mechanics of money, wealth, and income," Papers 0905.1518, arXiv.org, revised Dec 2009.
    13. 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.
    14. Adams Vallejos & Ignacio Ormazabal & Felix A. Borotto & Hernan F. Astudillo, 2018. "A new $\kappa$-deformed parametric model for the size distribution of wealth," Papers 1805.06929, arXiv.org.
    15. Juan Pablo Pinasco & Mauro Rodríguez Cartabia & Nicolas Saintier, 2018. "A Game Theoretic Model of Wealth Distribution," Dynamic Games and Applications, Springer, vol. 8(4), pages 874-890, December.

  14. 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. Rem Sadykhov & Geoffrey Goodell & Denis de Montigny & Martin Schoernig & Philip Treleaven, 2023. "Decentralized Token Economy Theory (DeTEcT)," Papers 2309.12330, arXiv.org, revised Jan 2024.
    2. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: II. Agent-based models," Post-Print hal-00621059, HAL.
    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.
    4. Angle, John, 2006. "The Inequality Process as a wealth maximizing process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 388-414.
    5. 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.
    6. 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.
    7. Vallejos, Adams & Ormazábal, Ignacio & Borotto, Félix A. & Astudillo, Hernán F., 2019. "A new κ-deformed parametric model for the size distribution of wealth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 819-829.
    8. Kiran Sharma & Anirban Chakraborti, 2016. "Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?," Papers 1606.06051, arXiv.org, revised Aug 2018.
    9. J. M. Pellon-Diaz & A. Aragones-Munoz & A. Sandoval-Villalbazo & A. Diaz-Reynoso, 2011. "Gaussian Noise Effects on the Evolution of Wealth in a Closed System of n-Economies," Papers 1102.1713, arXiv.org, revised Feb 2011.
    10. Chakrabarti, Anindya S. & Chakrabarti, Bikas K., 2010. "Statistical theories of income and wealth distribution," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-31.
    11. Victor M. Yakovenko & J. Barkley Rosser, 2009. "Colloquium: Statistical mechanics of money, wealth, and income," Papers 0905.1518, arXiv.org, revised Dec 2009.
    12. Adams Vallejos & Ignacio Ormazabal & Felix A. Borotto & Hernan F. Astudillo, 2018. "A new $\kappa$-deformed parametric model for the size distribution of wealth," Papers 1805.06929, arXiv.org.
    13. Maciej Jagielski & Ryszard Kutner, 2013. "Modelling the income distribution in the European Union: An application for the initial analysis of the recent worldwide financial crisis," Papers 1312.2362, arXiv.org.

Articles

  1. 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.
    See citations under working paper version above.
  2. 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.
    See citations under working paper version above.
  3. 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.
    See citations under working paper version above.
  4. 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.
    See citations under working paper version above.
  5. 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.
    See citations under working paper version above.
  6. 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.

    Cited by:

    1. 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.
    2. Detemple, Jérôme & Laminou Abdou, Souleymane & Moraux, Franck, 2020. "American step options," European Journal of Operational Research, Elsevier, vol. 282(1), pages 363-385.
    3. Zhang, Meihui & Jia, Jinhong & Zheng, Xiangcheng, 2023. "Numerical approximation and fast implementation to a generalized distributed-order time-fractional option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
    4. Li, Hongshan & Huang, Zhongyi, 2020. "An iterative splitting method for pricing European options under the Heston model☆," Applied Mathematics and Computation, Elsevier, vol. 387(C).
    5. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
    6. Gaïgi, M’hamed & Ly Vath, Vathana & Scotti, Simone, 2022. "Optimal harvesting under marine reserves and uncertain environment," European Journal of Operational Research, Elsevier, vol. 301(3), pages 1181-1194.
    7. Wensheng Yang & Jingtang Ma & Zhenyu Cui, 2021. "Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(2), pages 359-412, April.
    8. Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.
    9. 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.
    10. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2020. "Early exercise boundaries for American-style knock-out options," European Journal of Operational Research, Elsevier, vol. 285(2), pages 753-766.
    11. Ning Cai & Xuewei Yang, 2021. "A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 216-229, January.
    12. Luca De Gennaro Aquino & Carole Bernard, 2019. "Semi-analytical prices for lookback and barrier options under the Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 715-741, December.

  7. 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.
    See citations under working paper version above.
  8. 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.
    See citations under working paper version above.
  9. 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.
    See citations under working paper version above.
  10. 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.
  11. 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.
    See citations under working paper version above.

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 11 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 (5) 2016-09-11 2017-12-11 2017-12-18 2019-03-11 2019-12-02. Author is listed
  2. NEP-BAN: Banking (3) 2012-10-20 2017-01-08 2020-04-27
  3. NEP-ORE: Operations Research (3) 2008-03-01 2019-06-10 2019-12-02
  4. NEP-ECM: Econometrics (2) 2019-03-11 2019-12-02
  5. NEP-RMG: Risk Management (2) 2019-03-11 2019-12-02
  6. NEP-BIG: Big Data (1) 2019-12-02
  7. NEP-EEC: European Economics (1) 2012-10-20
  8. NEP-ETS: Econometric Time Series (1) 2015-12-08
  9. NEP-FMK: Financial Markets (1) 2012-10-20
  10. NEP-MON: Monetary Economics (1) 2017-01-08
  11. NEP-MST: Market Microstructure (1) 2020-04-27
  12. NEP-TRA: Transition Economics (1) 2019-03-11

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Guido Germano should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.