- 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)

M. Donadelli, G. Livieri, A. Paradiso, Adding cycles into the neoclassical growth model (November 2017)

G. Livieri, S. Mouti, A. Pallavicini and M. Rosenbaum, Rough Volatility: Evidence from Option Prices, (November 2017)

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