Giacomo Livan

Abdus Salam International Centre for Theoretical Physics (ICTP)

Strada Costiera 11

34100 Trieste

United States

SCHOLARLY PAPERS

3

DOWNLOADS

70

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

On The Concentration of Large Deviations for Fat Tailed Distributions, With Application to Financial Data

Number of pages: 35 Posted: 16 Jan 2012 Last Revised: 07 Apr 2014
University of Trieste, Abdus Salam International Centre for Theoretical Physics (ICTP), Abdus Salam International Centre for Theoretical Physics (ICTP), University of Trieste, University of Trieste and LIST S.p.A.
Downloads 40 (431,453)
Citation 2

Abstract:

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Large deviations, fat tails, risk

2.

The Social Climbing Game

ETH RC Working Paper No. 12-014
Number of pages: 15 Posted: 12 Jan 2013
Abdus Salam International Centre for Theoretical Physics, iPLESP UMR-S 1136 INSERM, Abdus Salam International Centre for Theoretical Physics (ICTP), Abdus Salam International Centre for Theoretical Physics (ICTP) and ETH Z├╝rich
Downloads 30 (475,134)

Abstract:

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hierarchical organisation, network centrality, inequality

3.

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

Abstract:

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