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Items where Author is "Bormetti, G."

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Number of items: 7.

Article

Bormetti, G., Casarin, R., Corsi, F. ORCID: 0000-0003-2683-4479 and Livieri, G. (2019). A Stochastic Volatility Model With Realized Measures for Option Pricing. Journal of Business & Economic Statistics, doi: 10.1080/07350015.2019.1604371

Alitab, D., Bormetti, G., Corsi, F. and Majewski, A. A. (2019). A realized volatility approach to option pricing with continuous and jump variance components. Decisions in Economics and Finance, doi: 10.1007/s10203-019-00241-2

Buccheri, G., Bormetti, G., Corsi, F. ORCID: 0000-0003-2683-4479 and Lillo, F. (2019). Comment on: Price Discovery in High Resolution. Journal of Financial Econometrics, doi: 10.1093/jjfinec/nbz008

Alitab, D., Bormetti, G., Corsi, F. ORCID: 0000-0003-2683-4479 and Majewski, A. A. (2019). A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing. Journal of Financial Econometrics, doi: 10.1093/jjfinec/nbz001

Majewski, A. A., Bormetti, G. and Corsi, F. (2015). Smile from the past: A general option pricing framework with multiple volatility and leverage components. Journal of Econometrics, 187(2), pp. 521-532. doi: 10.1016/j.jeconom.2015.02.036

Bormetti, G., Calcagnile, L. M., Treccani, M., Corsi, F., Marmi, S. and Lillo, F (2015). Modelling systemic price cojumps with Hawkes factor models. Quantitative Finance, 15(7), pp. 1137-1156. doi: 10.1080/14697688.2014.996586

Monograph

Majewski, A. A., Bormetti, G. and Corsi, F. (2013). Smile from the Past: A general option pricing framework with multiple volatility and leverage components (13/11). London, UK: Department of Economics, City University London.

This list was generated on Mon Mar 30 05:50:48 2020 UTC.