Germano, Guido

Number of items: 15.
2025
  • Germano, Guido, Phelan, Carolyn E, Marazzina, Daniele, Fusai, Gianluca (2025). Solution of Wiener–Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms. IMA Journal of Applied Mathematics, 90(4), 370 - 401. https://doi.org/10.1093/imamat/hxaf021
  • Koukorinis, Andreas, Peters, Gareth W., Germano, Guido (2025). Generative-discriminative machine learning models for high-frequency financial regime classification. Methodology and Computing in Applied Probability, 27, https://doi.org/10.1007/s11009-025-10148-8 picture_as_pdf
    • 2024
  • Kirtac, Kemal, Germano, Guido (2024). Enhanced financial sentiment analysis and trading strategy development using large language models. In De Clercq, O., Barriere, V., Barnes, J., Klinger, R., Sedoc, J. & Tafreshi, S. (Eds.), Proceedings of the 14th Workshop on Computational Approaches to Subjectivity, Sentiment, & Social Media Analysis (pp. 1-10). Association for Computational Linguistics. https://doi.org/10.18653/v1/2024.wassa-1.1 picture_as_pdf
  • Kirtac, Kemal, Germano, Guido (2024). Sentiment trading with large language models. Finance Research Letters, 62(Part B), p. 105227. https://doi.org/10.1016/j.frl.2024.105227 picture_as_pdf
    • 2020
  • Phelan, C. E., Marazzina, D., Germano, G. (2020). Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities. Quantitative Finance, 20(6), 899 - 918. https://doi.org/10.1080/14697688.2020.1718192 picture_as_pdf
  • Sariev, Eduard, Germano, Guido (2020). Bayesian regularized artificial neural networks for the estimation of the probability of default. Quantitative Finance, 20(2), 311-328. https://doi.org/10.1080/14697688.2019.1633014 picture_as_pdf
  • Kapar, Burcu, Iori, Giulia, Gabbi, Giampaolo, Germano, Guido (2020). Market microstructure, banks' behaviour and interbank spreads: evidence after the crisis. Journal of Economic Interaction and Coordination, 15(1), 283 - 331. https://doi.org/10.1007/s11403-019-00248-3 picture_as_pdf
    • 2018
  • Sariev, Eduard, Germano, Guido (2018). An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default. Annual Review of Financial Economics, 0(0). https://doi.org/10.1002/rfe.1049 picture_as_pdf
  • Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca, Germano, Guido (2018). Fluctuation identities with continuous monitoring and their application to price barrier options. European Journal of Operational Research, 271(1), 210-223. https://doi.org/10.1016/j.ejor.2018.04.016
  • Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca, Germano, Guido (2018). Hilbert transform, spectral filters and option pricing. Annals of Operations Research, 1-26. https://doi.org/10.1007/s10479-018-2881-4
    • 2017
  • Cui, Yiran, del Baño Rollin, Sebastian, Germano, Guido (2017). Full and fast calibration of the Heston stochastic volatility model. European Journal of Operational Research, 263(2), 625-638. https://doi.org/10.1016/j.ejor.2017.05.018
    • 2016
  • Fusai, Gianluca, Germano, Guido, Marazzina, Daniele (2016). Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251(1), 124-134. https://doi.org/10.1016/j.ejor.2015.11.027
    • 2015
  • Scalas, Enrico, Gabriel, Adrian T., Martin, Edgar, Germano, Guido (2015). Velocity and energy distributions in microcanonical ensembles of hard spheres. Physical Review E, 92, https://doi.org/10.1103/PhysRevE.92.022140
  • Iori, Giulia, Politi, Mauro, Germano, Guido, Gabbi, Giampaolo (2015). Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market. Journal of Financial Management, Markets and Institutions, 2, 179-202. https://doi.org/10.12831/82212
  • Gerardo-Giorda, Luca, Germano, Guido, Scalas, Enrico (2015). Large scale simulation of synthetic markets. Communications in Applied and Industrial Mathematics, 6(2). https://doi.org/10.1685/journal.caim.535