Guido Germano

University College London

Senior Lecturer

Department of Computer Science

Gower Street

London, WC1E 6BT

United Kingdom

http://www.cs.ucl.ac.uk/people/G.Germano

SCHOLARLY PAPERS

3

DOWNLOADS

122

CITATIONS

0

Scholarly Papers (3)

1.

Market Microstructure, Banks' Behaviour, and Interbank Spreads

Number of pages: 35 Posted: 26 Oct 2013
SDA Bocconi, University College London, City University London - Department of Economics, City University London - Department of Economics and University of Marburg
Downloads 34 (308,566)

Abstract:

nterbank lending, market microstructure, subprime crisis, liquidity management

2.

Hilbert Transform, Spectral Filtering and Option Pricing

Number of pages: 30 Posted: 04 Jul 2017
University College London - Financial Computing and Analytics Group, Department of Computer Science, Polytechnic University of Milan - Department of Mathematics, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University College London
Downloads 0 (431,665)

Abstract:

Double-Barrier Options, Discrete Monitoring, Lévy Processes, Spitzer Identity, Wiener-Hopf Factorisation, Hilbert Transform, Fourier Transform, FFT, Z-Transform, Sinc Function, Gibbs Phenomenon, Spectral Filtering

3.

Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options

European Journal of Operational Research, Volume 251, Issue 1, 16 May 2016, Pages 124-134
Number of pages: 30 Posted: 20 May 2016
Gianluca Fusai, Guido Germano and Daniele Marazzina
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University College London and Polytechnic University of Milan - Department of Mathematics
Downloads 0 (368,949)

Abstract:

Path-dependent options, Hilbert transform, Lévy process, Spitzer identity, Wiener-Hopf factorization