183 citations · 905 across the 25 of their papers we have counts for
26 papers
The energy dependence of the multiplicity moments at the LHC
G. R. Germano, F. S. Navarra
In this work, from the experimental data we evaluate the first C-moments of the multiplicity distributions recently measured in proton-proton collisions at the LHC and compare them…
Pricing methods for -quantile and perpetual early exercise options based on Spitzer identities
Carolyn E. Phelan, Daniele Marazzina, Guido Germano
We present new numerical schemes for pricing perpetual Bermudan and American options as well as -quantile options. This includes a new direct calculation of the optimal exercise…
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms
Guido Germano, Carolyn E Phelan, Daniele Marazzina +1
We present numerical methods based on the fast Fourier transform (FFT) to solve convolution integral equations on a semi-infinite interval (Wiener-Hopf equation) or on a finite int…
Multiplicity distributions in the low x regime in a simple model
G. R. Germano, F. S. Navarra
In this work we introduce small changes in the model proposed by E. Levin and D. Kharzeev for multiplicity distributions of particles produced in proton-proton collisions. We compa…
Fluctuation identities with continuous monitoring and their application to price barrier options
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai +1
We present a numerical scheme to calculate fluctuation identities for exponential Lévy processes in the continuous monitoring case. This includes the Spitzer identities for touchin…
Hilbert transform, spectral filters and option pricing
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai +1
We show how spectral filters can improve the convergence of numerical schemes which use discrete Hilbert transforms based on a sinc function expansion, and thus ultimately on the f…
Stability of calibration procedures: fractals in the Black-Scholes model
Yiran Cui, Sebastian del Bano Rollin, Guido Germano
Usually, in the Black-Scholes pricing theory the volatility is a positive real parameter. Here we explore what happens if it is allowed to be a complex number. The function for pri…
Full and fast calibration of the Heston stochastic volatility model
Yiran Cui, Sebastian del Baño Rollin, Guido Germano
This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least squares problem…
Velocity and energy distributions in microcanonical ensembles of hard spheres
Enrico Scalas, Adrian T. Gabriel, Edgar Martin +1
In a microcanonical ensemble (constant , hard reflecting walls) and in a molecular dynamics ensemble (constant , periodic boundary conditions) with a number $N…
First-passage and first-exit times of a Bessel-like stochastic process
Edgar Martin, Ulrich Behn, Guido Germano
We study a stochastic process related to the Bessel and the Rayleigh processes, with various applications in physics, chemistry, biology, economics, finance and other fields.…
Efficiency of linked cell algorithms
Ulrich Welling, Guido Germano
The linked cell list algorithm is an essential part of molecular simulation software, both molecular dynamics and Monte Carlo. Though it scales linearly with the number of particle…
Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
Mauro Politi, Enrico Scalas, Daniel Fulger +1
Random matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a…
Random numbers from the tails of probability distributions using the transformation method
Daniel Fulger, Enrico Scalas, Guido Germano
The speed of many one-line transformation methods for the production of, for example, Levy alpha-stable random numbers, which generalize Gaussian ones, and Mittag-Leffler random nu…
Automatic generation of non-uniform random variates for arbitrary pointwise computable probability densities by tiling
Daniel Fulger, Guido Germano
We present a rejection method based on recursive covering of the probability density function with equal tiles. The concept works for any probability density function that is point…
Fluctuating Interfaces in Liquid Crystals
Friederike Schmid, Guido Germano, Stefan Wolfsheimer +1
We review and compare recent work on the properties of fluctuating interfaces between nematic and isotropic liquid-crystalline phases. Molecular dynamics and Monte Carlo simulation…
Stochastic calculus for uncoupled continuous-time random walks
Guido Germano, Mauro Politi, Enrico Scalas +1
The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications in physics, but also in insurance, finance and economics. A definition is given f…
Monte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation
Daniel Fulger, Enrico Scalas, Guido Germano
We present a numerical method for the Monte Carlo simulation of uncoupled continuous-time random walks with a Levy alpha-stable distribution of jumps in space and a Mittag-Leffler…
Expressions for forces and torques in molecular simulations using rigid bodies
Michael P. Allen, Guido Germano
Expressions for intermolecular forces and torques, derived from pair potentials between rigid non-spherical units, are presented. The aim is to give compact and clear expressions,…
Relaxation in statistical many-agent economy models
Marco Patriarca, Anirban Chakraborti, Els Heinsalu +1
We review some statistical many-agent models of economic and social systems inspired by microscopic molecular models and discuss their stochastic interpretation. We apply these mod…
The Ehrenfest urn revisited: Playing the game on a realistic fluid model
Enrico Scalas, Edgar Martin, Guido Germano
The Ehrenfest urn process, also known as the dogs and fleas model, is realistically simulated by molecular dynamics of the Lennard-Jones fluid. The key variable is Delta z, i.e. th…
Nematic-Isotropic Interfaces Under Shear: A Molecular Dynamics Simulation
Guido Germano, Friederike Schmid
We present a large-scale molecular dynamics study of nematic-paranematic interfaces under shear. We use a model of soft repulsive ellipsoidal particles with well-known equilibrium…
Influence of saving propensity on the power law tail of wealth distribution
Marco Patriarca, Anirban Chakraborti, Guido Germano
Some general features of kinetic multi-agent models are reviewed, with particular attention to the relation between the agent saving propensities and the form of the equilibrium we…
Kinetic theory models for the distribution of wealth: power law from overlap of exponentials
Marco Patriarca, Anirban Chakraborti, Kimmo Kaski +1
Various multi-agent models of wealth distributions defined by microscopic laws regulating the trades, with or without a saving criterion, are reviewed. We discuss and clarify the e…
Computer simulation of topological defects around a colloidal particle or droplet dispersed in a nematic host
D. Andrienko, G. Germano, M. P. Allen
We use molecular dynamics to study the ordering of a nematic liquid crystal around a spherical particle or droplet. Homeotropic boundary conditions and strong anchoring create a he…