4 citations · 6 across the 2 of their papers we have counts for
3 papers
Modelling systemic price cojumps with Hawkes factor models
Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani +3
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian St…
Bayesian Analysis of Value-at-Risk with Product Partition Models
Giacomo Bormetti, Maria Elena De Giuli, Danilo Delpini +1
In this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool to measure and co…
Pricing Exotic Options in a Path Integral Approach
G. Bormetti, G. Montagna, N. Moreni +1
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent…