13 citations · 38 across the 6 of their papers we have counts for
7 papers
The Network of U.S. Mutual Fund Investments: Diversification, Similarity and Fragility throughout the Global Financial Crisis
Danilo Delpini, Stefano Battiston, Guido Caldarelli +1
Network theory proved recently to be useful in the quantification of many properties of financial systems. The analysis of the structure of investment portfolios is a major applica…
Stochastic Volatility with Heterogeneous Time Scales
Danilo Delpini, Giacomo Bormetti
Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed thi…
Minimal model of financial stylized facts
Danilo Delpini, Giacomo Bormetti
In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the instantaneous volatility. We…
Accounting for risk of non linear portfolios: a novel Fourier approach
Giacomo Bormetti, Valentina Cazzola, Danilo Delpini +1
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distri…
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…
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…