Giacomo Bormetti

University of Bologna - Department of Mathematics

Piazza di Porta S. Donato , 5

Bologna, Bologna 40126

Italy

SCHOLARLY PAPERS

19

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5,345

CITATIONS
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Top 14,230

in Total Papers Citations

36

Scholarly Papers (19)

1.

Value Matters: Predictability of Stock Index Returns

Number of pages: 27 Posted: 02 Apr 2012 Last Revised: 15 Jul 2013
University of Bologna - School of Economics, Management, and Statistics, University of Bologna - Department of Mathematics, Scuola Normale Superiore and University of Bologna - Department of Mathematics
Downloads 3,040 (3,493)

Abstract:

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Valuation Ratios, Long Run Stock Market Returns

2.

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics

Number of pages: 30 Posted: 08 Feb 2017 Last Revised: 24 Mar 2019
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 401 (71,575)
Citation 1

Abstract:

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Intraday Correlations; Dynamic Dependencies; Asynchronicity; Microstructure Noise

3.

Term Structure of Variance Risk Premium and Returns' Predictability

Number of pages: 49 Posted: 18 Jun 2015 Last Revised: 22 Aug 2016
Giacomo Bormetti, Fulvio Corsi and Adam Majewski
University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Capital Fund Management
Downloads 276 (108,813)
Citation 1

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Component GARCH, variance risk premium, predictability, equity risk premium, term structure, option pricing

4.

A Stochastic Volatility Model with Realized Measures for Option Pricing

Number of pages: 86 Posted: 19 Jul 2016 Last Revised: 26 Mar 2019
University of Bologna - Department of Mathematics, University Ca' Foscari of Venice - Department of Economics, University of Pisa - Department of Economics and Scuola Normale Superiore
Downloads 259 (116,769)

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Bayesian Inference, Monte Carlo Markov Chain, High-frequency, Realized volatility, HARG, Stochastic volatility, Option pricing

5.

Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization

Number of pages: 28 Posted: 31 Jul 2015 Last Revised: 14 Sep 2015
University of Bologna - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Banca IMI
Downloads 223 (135,186)
Citation 1

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Yield Curve Dynamics, Multiple Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Credit Risk, Liquidity Risk, Funding Costs, Collateral Modeling, Overnight Rates

6.

A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing

Number of pages: 46 Posted: 17 Jul 2015 Last Revised: 10 Mar 2019
Dario Alitab, Giacomo Bormetti, Fulvio Corsi and Adam Majewski
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Capital Fund Management
Downloads 213 (141,280)
Citation 1

Abstract:

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High-frequency, Realized volatility, HARG, Option pricing, Variance risk premium, Jumps

7.

Modelling Systemic Price Cojumps with Hawkes Factor Models

Number of pages: 30 Posted: 31 Jan 2013 Last Revised: 12 Mar 2013
University of Bologna - Department of Mathematics, Scuola Normale Superiore, List Group, University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
Downloads 149 (194,105)
Citation 10

Abstract:

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price cojumps, Hawkes processes, systemic shocks, high frequency data

8.

A Backward Monte Carlo Approach to Exotic Option Pricing

Number of pages: 47 Posted: 05 Nov 2015 Last Revised: 04 Oct 2016
University of Bologna - Department of Mathematics, University of Padua, Scuola Normale Superiore and Banca IMI
Downloads 122 (227,265)
Citation 4

Abstract:

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Monte Carlo, Variance Reduction, Quantization, Markov Generator, Local Volatility, Option Pricing

9.

A General Class of Score-Driven Smoothers

Number of pages: 37 Posted: 14 Mar 2018 Last Revised: 26 Sep 2018
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 109 (246,698)

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Score-driven models, Smoothing, Kalman filter, State-Space models, Filtering uncertainty

10.

Multi-Curve HJM Modelling for Risk Management

Number of pages: 63 Posted: 16 Nov 2014 Last Revised: 08 Oct 2015
Chiara Sabelli, Michele Pioppi, Luca Sitzia and Giacomo Bormetti
Scuola Normale Superiore, UniCredit S.p.A., UniCredit S.p.A. and University of Bologna - Department of Mathematics
Downloads 109 (246,698)
Citation 1

Abstract:

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HJM, multiple-curve, scenario generation, PCA

11.

Smile from the Past: A General Option Pricing Framework with Multiple Volatility and Leverage Components

Number of pages: 33 Posted: 28 Sep 2013 Last Revised: 14 Apr 2014
Adam Majewski, Giacomo Bormetti and Fulvio Corsi
Capital Fund Management, University of Bologna - Department of Mathematics and University of Pisa - Department of Economics
Downloads 109 (246,698)
Citation 6

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12.

Linear Models for the Impact of Order Flow on Prices I. Propagators: Transient vs. History Dependent Impact

Number of pages: 22 Posted: 28 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Santa Fe Institute
Downloads 95 (270,637)
Citation 7

Abstract:

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Financial markets, market microstructure, market impact, liquidity

13.

Linear Models for the Impact of Order Flow on Prices II. The Mixture Transition Distribution Model

Number of pages: 23 Posted: 28 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Santa Fe Institute
Downloads 81 (298,998)
Citation 1

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Financial markets, market microstructure, market impact, liquidity, markov chain

14.

Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics

Number of pages: 24 Posted: 06 Dec 2015 Last Revised: 16 Dec 2015
IMT Institute for Advanced Studies, Yahoo! - Yahoo! Research Labs, University of Bologna - Department of Mathematics, IMT Alti Studi Lucca, Università di Bologna and List Group
Downloads 55 (367,273)
Citation 1

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financial markets, complex systems, data science, computational social science

15.

The Adaptive Nature of Liquidity Taking in Limit Order Books

Number of pages: 40 Posted: 05 Mar 2014 Last Revised: 26 Apr 2016
Damian Taranto, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics and Università di Bologna
Downloads 39 (422,750)
Citation 8

Abstract:

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Financial markets, market microstructure, limit order book, liquidity

16.

Stochastic Volatility with Heterogeneous Time Scales

Number of pages: 21 Posted: 31 May 2012 Last Revised: 03 Apr 2013
Danilo Delpini and Giacomo Bormetti
Università degli Studi di Sassari - Department of Economics and Business and University of Bologna - Department of Mathematics
Downloads 33 (447,459)

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Continuous Time Stochastic Volatility, Long Memory, Generalized Methods of Moments

17.

Comment on: Price Discovery in High Resolution

Number of pages: 13 Posted: 06 Mar 2019 Last Revised: 12 Mar 2019
Scuola Normale Superiore, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 29 (465,998)

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High-resolution, High-frequency trading, Information share, HAR, Lagged-adjustment

18.

Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks

Number of pages: 34 Posted: 12 Jun 2019
Domenico Di Gangi, Giacomo Bormetti and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics and Università di Bologna
Downloads 3 (620,475)

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temporal networks, ERGM, exponential random graphs, score, observation driven, link prediction

19.

A Generalized Fourier Transform Approach to Risk Measures

Journal of Statistical Mechanics (2010) P01005, Erratum: J. Stat. Mech. (2012) E05001
Posted: 06 Jun 2012
University of Bologna - Department of Mathematics, affiliation not provided to SSRN, Abdus Salam International Centre for Theoretical Physics (ICTP), University of Pavia and INFN, Pavia Unit and Istituto Nazionale di Fisica Nucleare Sezione di Pavia

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Models of financial markets, Value-at-Risk, CVaR, Bootstrap