Guido Germano

Publication Activity (10 Years)

Years Active: 2009-2021
Publications (10 Years): 5

Top Topics

Double Exponential

Black Scholes Model

Hilbert Transform

Top Venues

Eur. J. Oper. Res.

Ann. Oper. Res.

Publications

Guido Germano, Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms. CoRR (2021)
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano
Hilbert transform, spectral filters and option pricing. Ann. Oper. Res. 282 (1-2) (2019)
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. Eur. J. Oper. Res. 271 (1) (2018)
Yiran Cui, Sebastian Del Bano Rollin, Guido Germano
Full and fast calibration of the Heston stochastic volatility model. Eur. J. Oper. Res. 263 (2) (2017)
Gianluca Fusai, Guido Germano, Daniele Marazzina
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. Eur. J. Oper. Res. 251 (1) (2016)
Ulrich Welling, Guido Germano
Efficiency of linked cell algorithms. Comput. Phys. Commun. 182 (3) (2011)
Daniel Fulger, Guido Germano
Automatic generation of non-uniform random variates for arbitrary pointwise computable probability densities by tiling CoRR (2009)
Daniel Fulger, Enrico Scalas, Guido Germano
Random numbers from the tails of probability distributions using the transformation method CoRR (2009)