Items where Author is "Livieri, Giulia"

Article

Livieri, Giulia ORCID: 0000-0002-3777-7329, 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 ORCID: 0000-0002-3777-7329 and Pulido, Sergio (2024) Affine Volterra processes with jumps. Stochastic Processes and Their Applications, 168. ISSN 0304-4149

Lillo, Fabrizio, Livieri, Giulia ORCID: 0000-0002-3777-7329, 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 ORCID: 0000-0002-3777-7329, 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). 598 - 643. ISSN 1945-497X

Ceccon, Riccardo, Livieri, Giulia ORCID: 0000-0002-3777-7329 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 ORCID: 0000-0002-3777-7329 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 ORCID: 0000-0002-3777-7329, 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 ORCID: 0000-0002-3777-7329, 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). 252 - 296. ISSN 1479-8409

Campi, Luciano, de Angelis, Tiziano, Ghio, Maddalena and Livieri, Giulia ORCID: 0000-0002-3777-7329 (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 ORCID: 0000-0002-3777-7329 (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 ORCID: 0000-0002-3777-7329 (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 ORCID: 0000-0002-3777-7329, 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 ORCID: 0000-0002-3777-7329 (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 ORCID: 0000-0002-3777-7329 (2021) The continuous-time limit of score-driven volatility models. Journal of Econometrics, 221 (2). pp. 655-675. ISSN 0304-4076