28 citations · 95 across the 25 of their papers we have counts for
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cond-mat.stat-mech2009★ 7 cited
Exact Moment Scaling from Multiplicative Noise
Giacomo Bormetti, Danilo Delpini
For a general class of diffusion processes with multiplicative noise, describing a variety of physical as well as financial phenomena, mostly typical of complex systems, we obtain…
q-fin.RM2009★ 18 cited
A Generalized Fourier Transform Approach to Risk Measures
G. Bormetti, V. Cazzola, G. Livan +2
We introduce the formalism of generalized Fourier transforms in the context of risk management. We develop a general framework to efficiently compute the most popular risk measures…
q-fin.PR2009★ 7 cited
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Giacomo Bormetti, Valentina Cazzola, Danilo Delpini
We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and…