Proceeding
Academic Publications
- John von Neumann -
“If people do not believe that mathematics is simple, it is only because they do not realize how complicated life is”
PUBLICATIONS
M. Fischer, G. Livieri, Continuous time mean-variance portfolio optimization through the mean field approach, ESAIM: Probability and Statistics (http://doi.org/10.1017/S0956792517000079) (2015)
G. Bormetti, G. Callegaro, G. Livieri and A. Pallavicini, A backward Monte Carlo approach to exotic option pricing, European Journal of Applied Mathematics (http://doi.org/10.1017/S0956792517000079) (2017)
G. Bormetti, R. Casarin, F. Corsi and G. Livieri, A stochastic volatility framework with analytical filtering, In Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: new challenges, new generations, Eds. Alessandra Petrucci and Rosanna Verde, Firenze University Press, 205-209, (2017)
Submitted papers
M. Billio, M. Donadelli, G. Livieri, A. Paradiso, On the role of domestic and international financial cyclical factors in driving economic growth (August 2017)
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M. Donadelli, G. Livieri, A. Paradiso, Adding cycles into the neoclassical growth model (November 2017)
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G. Livieri, S. Mouti, A. Pallavicini and M. Rosenbaum, Rough Volatility: Evidence from Option Prices, (November 2017)
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G. Bormetti, R. Casarin, F. Corsi and G. Livieri, Smile at errors: A discrete-time stochastic volatility framework for pricing options with realized measures, (January 2017)
Others, Phd Thesis
Stochastic modelling for financial time series: modelling, estimation and option pricing