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Giulia Livieri
Giulia Livieri
Unknown affiliation
Verified email at sns.it
Title
Cited by
Cited by
Year
Rough volatility: evidence from option prices
G Livieri, S Mouti, A Pallavicini, M Rosenbaum
IISE transactions 50 (9), 767-776, 2018
992018
Continuous time mean-variance portfolio optimization through the mean field approach
M Fischer, G Livieri
ESAIM: Probability and Statistics 20, 30-44, 2016
422016
A backward Monte Carlo approach to exotic option pricing
G Bormetti, G Callegaro, G Livieri, A Pallavicini
European Journal of Applied Mathematics 29 (1), 146-187, 2018
322018
A closed-form formula characterization of the Epps effect
G Buccheri, G Livieri, D Pirino, A Pollastri
Quantitative Finance 20 (2), 243-254, 2020
192020
N-Player games and mean-field games with smooth dependence on past absorptions
L Campi, M Ghio, G Livieri
Annales de l'Institut Henri Poincare (B) Probabilites et statistiques 57 (4 …, 2021
172021
Statistical inferences for price staleness
A Kolokolov, G Livieri, D Pirino
Journal of econometrics 218 (1), 32-81, 2020
172020
Mean-field games of finite-fuel capacity expansion with singular controls
L Campi, T De Angelis, M Ghio, G Livieri
The Annals of Applied Probability 32 (5), 3674-3717, 2022
142022
A stochastic volatility model with realized measures for option pricing
G Bormetti, R Casarin, F Corsi, G Livieri
Journal of Business & Economic Statistics 38 (4), 856-871, 2020
142020
Liquidity fluctuations and the latent dynamics of price impact
LP Mertens, A Ciacci, F Lillo, G Livieri
Quantitative Finance 22 (1), 149-169, 2022
112022
Designing universal causal deep learning models: The case of infinite-dimensional dynamical systems from stochastic analysis
L Galimberti, A Kratsios, G Livieri
arXiv preprint arXiv:2210.13300, 2022
102022
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts
G Toscano, G Livieri, ME Mancino, S Marmi
Journal of Financial Econometrics 22 (1), 252-296, 2024
92024
One-shot learning of stochastic differential equations with data adapted kernels
M Darcy, B Hamzi, G Livieri, H Owhadi, P Tavallali
Physica D: Nonlinear Phenomena 444, 133583, 2023
92023
Affine Volterra processes with jumps
A Bondi, G Livieri, S Pulido
Stochastic Processes and their Applications 168, 104264, 2024
82024
Adding cycles into the neoclassical growth model
M Donadelli, A Paradiso, G Livieri
Economic Modelling 78, 162-171, 2019
72019
The continuous-time limit of score-driven volatility models
G Buccheri, F Corsi, F Flandoli, G Livieri
Journal of econometrics 221 (2), 655-675, 2021
62021
N-Player Games and Mean Field Games of Moderate Interactions
F Flandoli, M Ghio, G Livieri
Applied Mathematics & Optimization 85 (3), 38, 2022
42022
Pricing transition risk with a jump-diffusion credit risk model: evidences from the CDS market
G Livieri, D Radi, E Smaniotto
arXiv preprint arXiv:2303.12483, 2023
32023
Kelly Betting with Quantum Payoff: a continuous variable approach
S Tirone, M Ghio, G Livieri, V Giovannetti, S Marmi
Quantum 5, 545, 2021
32021
One-shot learning of stochastic differential equations with computational graph completion
MD Darcy, B Hamzi, G Livieri, H Owhadi, P Tavallali
Available at SSRN 4046014, 2021
32021
On the role of domestic and international financial cyclical factors in driving economic growth
M Billio, M Donadelli, G Livieri, A Paradiso
Applied Economics 52 (11), 1272-1297, 2020
32020
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