Items where Author is "Livieri, Giulia"

Livieri, Giulia, Radi, Davide and Smaniotto, Elia (2024) Pricing transition risk with a jump-diffusion credit risk model: evidences from the CDS market. Review of Corporate Finance, 4 (1–2). 177 - 201. ISSN 2693-9312

Bondi, Alessandro, Livieri, Giulia and Pulido, Sergio (2024) Affine Volterra processes with jumps. Stochastic Processes and Their Applications, 168. ISSN 0304-4149

Livieri, Giulia, Lillo, Fabrizio, Marmi, Stefano, Solomko, Anton and Vaienti, Sandro (2023) Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems. Journal of Statistical Physics, 190 (10). ISSN 0022-4715

Lillo, Fabrizio, Livieri, Giulia, Marmi, Stefano, Solomko, Anton and Vaienti, Sandro (2023) Analysis of bank leverage via dynamical systems and deep neural networks. SIAM Journal on Financial Mathematics, 14 (2). pp. 598-643. ISSN 1945-497X

Ceccon, Riccardo, Livieri, Giulia and Marmi, Stefano (2023) The Yoccoz–Birkeland livestock population model coupled with random price dynamics. Communications in Nonlinear Science and Numerical Simulation, 118. ISSN 1007-5704

Bottazzi, Giulio, Cordoni, Francesco, Livieri, Giulia and Marmi, Stefano (2023) Uncertainty in firm valuation and a cross-sectional misvaluation measure. Annals of Finance, 19 (1). 63 - 93. ISSN 1614-2446

Darcy, Matthieu, Hamzi, Boumediene, Livieri, Giulia, Owhadi, Houman and Tavallali, Peyman (2023) One-shot learning of stochastic differential equations with data adapted kernels. Physica D: Nonlinear Phenomena, 444. ISSN 0167-2789

Toscano, Giacomo, Livieri, Giulia, Mancino, Maria Elvira and Marmi, Stefano (2022) Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized Facts. Journal of Financial Econometrics, 22 (1). pp. 252-296. ISSN 1479-8409

Campi, Luciano, de Angelis, Tiziano, Ghio, Maddalena and Livieri, Giulia (2022) Mean-field games of finite-fuel capacity expansion with singular controls. Annals of Applied Probability, 32 (5). pp. 3674-3717. ISSN 1050-5164

Flandoli, Franco, Ghio, Maddalena and Livieri, Giulia (2022) N-player games and mean field games of moderate interactions. Applied Mathematics and Optimization, 85 (3). ISSN 0095-4616

Campi, Luciano, Ghio, Maddalena and Livieri, Giulia (2021) N-Player games and mean-field games with smooth dependence on past absorptions. Annales de l'institut Henri Poincare (B) Probability and Statistics, 57 (4). pp. 1901-1939. ISSN 0246-0203

Tirone, Salvatore, Ghio, Maddalena, Livieri, Giulia, Giovannetti, Vittorio and Marmi, Stefano (2021) Kelly betting with quantum payoff: A continuous variable approach. Quantum (5). ISSN 2521-327X

Mertens, Luca Philippe, Ciacci, Alberto, Lillo, Fabrizio and Livieri, Giulia (2021) Liquidity fluctuations and the latent dynamics of price impact. Quantitative Finance, 22 (1). pp. 149-169. ISSN 1469-7688

Buccheri, Giuseppe, Corsi, Fulvio, Flandoli, Franco and Livieri, Giulia (2021) The continuous-time limit of score-driven volatility models. Journal of Econometrics, 221 (2). pp. 655-675. ISSN 0304-4076