Guido Germano
Professor of Computational Science
 Other appointments and roles

 Research Associate, Systemic Risk Centre, London School of Economics and Political Science
 Research Associate, UCL Centre for Blockchain Technologies
 Programme Director and Admissions Tutor, MSc Computational Finance
 Deputy Programme Director, MSc Financial Risk Management
 Chair, Board of Examiners, Postgraduate Programmes in Financial Computing: MSc Computational Finance, MSc Financial Risk Management, MSc Financial Technology, MSc Emerging Digital Technologies
 External Examiner, MSc Data Science and MSc Human and Social Data Science, Department of Mathematics, University of Sussex
 Contact

Address Department of Computer Science
University College London
Room 4.07, 6672 Gower Street
London WC1E 6EA
United KingdomOffice hour Term 1: Tuesday 1617. Booking is recommended. Other times may be requested or just tried.
Other terms: upon appointment. Remote meetings are possible too, e.g. on Zoom, FaceTime, Teams, etc.Office telephone +44 20 3108 7105, internal 57105. It rings on the Teams app on my laptop and my mobile. If you use Teams to call, feel free to do so also if my status seems offline, which actually only means that Teams is not currently running on any of my devices: an incoming call wakes up Teams on my mobile. If I cannot answer immediately, I will dial back as soon as possible. Mobile +44 7481 388380 Email Zoom https://ucl.zoom.us/my/guidogermano Skype guido.germano Fax +44 20 7387 1397
 Research students

Please ask if you are interested in doing a PhD, MSc, MEng or BSc thesis with me. See FCA Education for PhD funding and admission.
PhD students: Khalifa K. AlThani, Kemal Kirtac, Jinsong Hao, Benjamin Loveless, Jiaqi Liang, Andreas Koukorinis.
PhD alumni: Maria E. Böker (2021), Lucio Idone (2021), Eduard Sariev (2020), Carolyn E. Phelan (2018), Yiran Cui (2017); find more in my Academic Family Tree, the Mathematics Genealogy Project and the library of the PhilippsUniversität Marburg.
Other alumni: 5 postdocs; 7 MRes, 63 MSc, 7 MEng and 4 BSc students.
 Publications

See UCL Profiles for more.
 Carolyn E. Phelan, Daniele Marazzina, Guido Germano (2020), "Pricing methods for αquantile and perpetual earlyexercise options based on Spitzer identities", Quantitative Finance 20 (6), 899918, DOI 10.1080/14697688.2020.1718192, SSRN 3378520, PDF.
 Eduard Sariev, Guido Germano (2020), "Bayesian regularized artificial neural networks for corporate credit scoring", Quantitative Finance 20 (2), 311328, DOI 10.1080/14697688.2019.1633014, PDF.
 Burcu Kapar, Giulia Iori, Giampaolo Gabbi, Guido Germano (2020), "Market microstructure, banks' behaviour, and interbank spreads. Evidence after the crisis", Journal of Economic Interaction and Coordination 15 (1), 283331, DOI 10.1007/s11403019002483, PDF.
 Eduard Sariev, Guido Germano (2019), "An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default", Review of Financial Economics 37 (3), 404427, DOI 10.1002/rfe.1049, PDF.
 Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano (2019), "Hilbert transform, spectral filters and option pricing", Annals of Operations Research, 282 (12), 273298, DOI 10.1007/s1047901828814, arXiv:1706.09755 [qfin.CP], SSRN 2995391, PDF, supplementary material.
 Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano (2018), "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options", European Journal of Operational Research 271 (1), 210223, DOI 10.1016/j.ejor.2018.04.016, arXiv:1712.00077 [qfin.CP], SSRN 3080495, PDF.
 Yiran Cui, Sebastian del Baño Rollin, Guido Germano (2017), "Full and fast calibration of the Heston stochastic volatility model", European Journal of Operational Research 263 (2), 625638, DOI 10.1016/j.ejor.2017.05.018, arXiv:1511.08718 [qfin.CP], PDF, Supplementary material.
 Gianluca Fusai, Guido Germano, Daniele Marazzina (2016), "Spitzer identity, WienerHopf factorization and pricing of discretely monitored exotic options", European Journal of Operational Research 251 (1), 124134, DOI 10.1016/j.ejor.2015.11.027, SSRN 2781434, PDF, Supplementary material.
 Giulia Iori, Mauro Politi, Guido Germano, Giampaolo Gabbi (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 3 (2), 179202, DOI 10.12831/82212, PDF.
 Enrico Scalas, Adrian T. Gabriel, Edgar Martin, Guido Germano (2015), "Velocity and energy distributions in microcanonical ensembles of hard spheres", Physical Review E  Statistical, Nonlinear, and Soft Matter Physics 92 (2), 022140:111, DOI 10.1103/PhysRevE.92.022140, arXiv:1207.3505 [condmat.statmech, mathph, math.PR], PDF.
 Luca GerardoGiorda, Guido Germano, Enrico Scalas (2014), "Largescale simulations of synthetic markets", Communications in Applied and Industrial Mathematics 6 (2), 535:114, DOI 10.1685/journal.caim.535, PDF.
 Daniel Fulger, Enrico Scalas, Guido Germano (2013), "Random numbers from the tails of probability distributions using the transformation method", Fractional Calculus and Applied Analysis 16 (2), 332353, DOI 10.2478/s135400130021z, arXiv:0902.3207 [cs.MS, cs.NA].
 Daniele Marazzina, Gianluca Fusai, Guido Germano (2012), "Pricing credit derivatives in a WienerHopf framework", in Topics in Numerical Methods for Finance, edited by Mark Cummins, Finbarr Murphy, John J. H. Miller, Springer Proceedings in Mathematics & Statistics 19, 139154, Springer, Boston, 2012, print ISBN 9781461434320, online ISBN 9781461434337, print ISSN 21941009, online ISSN 21941017, DOI 10.1007/9781461434337_8, Quaderni del Dipartimento di Matematica del Politecnico di Milano 106.
 Edgar Martin, Ulrich Behn, Guido Germano (2011), "Firstpassage and firstexit times of a Bessellike stochastic process", Physical Review E  Statistical, Nonlinear, and Soft Matter Physics 83 (5), 051115:116, DOI 10.1103/PhysRevE.83.051115, arXiv:1007.4588 [condmat.statmech, mathph].
 Ulrich Welling, Guido Germano (2011), "Efficiency of linkedcell algorithms", Computer Physics Communications 182 (3), 611615, DOI 10.1016/j.cpc.2010.11.002, arXiv:1006.1239 [physics.compph, condmat.mtrlsci, condmat.soft].
 Guido Germano, Mauro Politi, Enrico Scalas, René L. Schilling (2010), "Itô and Stratonovich integrals on compound renewal processes: The normal/Poisson case", Communications in Nonlinear Science and Numerical Simulation 15 (6), 15831588, 2010, DOI 10.1016/j.cnsns.2009.06.010, PDF.
 Anirban Chakraborti, Guido Germano (2010), "Agentbased models of economic interactions", in Mathematical Modeling of Collective Behavior in SocioEconomic and Life Sciences, edited by Giovanni Naldi, Lorenzo Pareschi, Giuseppe Toscani, Modeling and Simulation in Science, Engineering and Technology 31, 329, Birkhäuser, Boston, print ISBN 9780817649456, online ISBN 9780817649463, print ISSN 21643679, eISSN 21643679, DOI 10.1007/9780817649463_1.
 Mauro Politi, Enrico Scalas, Daniel Fulger, Guido Germano (2010), "Spectral densities of WishartLévy free stable random matrices  Analytical results and Monte Carlo validation", European Physical Journal B  Condensed Matter and Complex Systems 79 (1), 1322, DOI 10.1140/epjb/e2009003607, arXiv:0903.1629 [condmat.statmech, qfin.CP], PDF.
 Guido Germano, Mauro Politi, Enrico Scalas, René L. Schilling (2009), "Stochastic calculus for uncoupled continuoustime random walks", Physical Review E  Statistical, Nonlinear, and Soft Matter Physics 79 (6), 066102:112, DOI 10.1103/PhysRevE.79.066102, arXiv:0802.3769 [condmat.statmech, qfin.CP], PDF.
 Christopher Stillings, Edgar Martin, Martin Steinhart, Robin Pettau, Jens Paraknowitsch, Martin Geuss, Johannes Schmidt, Guido Germano, Hans W. Schmidt, Ulrich Gösele, Joachim H. Wendorff (2008), "Nanoscaled discotic liquid crystal/polymer systems: Confinement effects on morphology and thermodynamics", Molecular Crystals and Liquid Crystals 495 (1), 285/[637]293/[645], DOI 10.1080/1542140 0802430349.
 Adrian T. Gabriel, Timm Meyer, Guido Germano (2008), "Molecular graphics of convexbody fluids", Journal of Chemical Theory and Computation 4 (3), 468476, DOI 10.1021/ct700192z, http://qmga.sourceforge.net.
 Daniel Fulger, Enrico Scalas, Guido Germano (2008), "Monte Carlo simulation of uncoupled continuoustime random walks yielding a stochastic solution of the spacetime fractional diffusion equation", Physical Review E  Statistical, Nonlinear, and Soft Matter Physics 77 (2), 021122:17, DOI 10.1103/PhysRevE.77.021122, arXiv:0707.2582 [condmat.statmech].
 Enrico Scalas, Edgar Martin, Guido Germano (2007), "Ehrenfest urn revisited: Playing the game on a realistic fluid model", Physical Review E  Statistical, Nonlinear, and Soft Matter Physics 76 (1), 011104:16, DOI 10.1103/PhysRevE.76.011104, arXiv:condmat/0512038 [condmat.statmech].
 Friederike Schmid, Guido Germano, Stefan Wolfsheimer, Tanja Schilling (2007), "Fluctuating interfaces in liquid crystals", Macromolecular Symposia 252 (1), 110118, DOI 10.1002/masy.200750611, arXiv:0810.4146 [condmat.soft, condmat.mtrlsci].
 Marco Patriarca, Anirban Chakraborti, Els Heinsalu, Guido Germano (2007), "Relaxation in statistical manyagent economy models", European Physical Journal B  Condensed Matter and Complex Systems 57 (2), 219224, DOI 10.1140/epjb/e2007001227, arXiv:physics/0608174 [physics.socph, qfin.GN].
 Guido Germano, Michael Engel, Enrico Scalas (2006), "City@home: Monte Carlo derivative pricing distributed on networked computers", in Proceedings of the 1st International Workshop on Grid Technology for Financial Modeling and Simulation (GRID 2006), Palermo, Italy, 34 February 2006, edited by Stefano Cozzini, Stefano d'Addona, Rosario Mantegna, Proceedings of Science 26, 11:113, 2007, DOI 10.22323/1.026.0011, ISSN 18248039.
 Michael P. Allen, Guido Germano (2006), "Expressions for forces and torques in molecular simulations using rigid bodies", Molecular Physics 104 (2021), 32253235, DOI 10.1080/00268970601075238, arXiv:condmat/0608387 [condmat.statmech, condmat.soft].
 Marco Patriarca, Anirban Chakraborti, Guido Germano (2006), "Influence of saving propensity on the powerlaw tail of the wealth distribution", Physica A: Statistical Mechanics and its Applications 369 (2), 723736, DOI 10.1016/j.physa.2006.01.091, arXiv:physics/0506028 [physics.socph, qfin.GN].
 Christopher Stillings, Martin Steinhart, Sven Zimmermann, Andreas K. Schaper, Bernd Brandl, Ulrich Gösele, Christoph Weder, Edgar Martin, Guido Germano, Joachim H. Wendorff (2006), "Discotic liquid crystals in cylindrical confinement: Supramolecular architecture of LC nanorods", in 34. Arbeitstagung Flüssigkristalle (34th Topical Meeting on Liquid Crystals), article nr. 15, 4 pages, Deutsche FlüssigkristallGesellschaft, Freiburg, https://discovery.ucl.ac.uk/id/eprint/1475259, https://explore.openaire.eu.
 Guido Germano, Friederike Schmid (2005), "Nematicisotropic interfaces under shear: A molecular dynamics simulation", Journal of Chemical Physics 116 (21), 214703:18, DOI 10.1063/1.2131065, arXiv:condmat/0510146 [condmat.soft, condmat.mtrlsci].
 Marco Patriarca, Anirban Chakraborti, Kimmo Kaski, Guido Germano (2005), "Kinetic theory models for the distribution of wealth: Power law from overlap of exponentials", in Econophysics of Wealth Distributions, edited by Arnab Chatterjee, Sudhakar Yarlagadda, Bikas K. Chakrabarti, New Economic Windows 2, 93110, Springer, Milano, print ISBN 9788847003293, online ISBN 9788847003897, ISSN 2039411X, DOI 10.1007/884700389X_10, arXiv:physics/0504153 [physics.socph, qfin.GN].
 Guido Germano, Friederike Schmid (2004), "Simulation of nematicisotropic phase coexistence in liquid crystals under shear", in NIC Symposium 2004, edited by Dietrich Wolf, Gernot Münster, Manfred Kremer, Publication Series of the John von Neumann Institute for Computing 20, 311320, Forschungszentrum Jülich, Jülich, ISBN 3000123725, www.fzjuelich.de/nicseries.
 Editor and reviewer

Academic editor
2020 Mathematics, Section Financial Mathematics 2018 Advances in Complex Systems 20132017 ISRN, Section Probability and Statistics 20112017 ISRN, Section Computational Mathematics 20112016 PLOS ONE Reviews for journals
47 Physical Review E 27 Physical Review Letters 11 Journal of Physics A: Mathematical and Theoretical 10 European Journal of Operational Research, Journal of Computational Chemistry, Open Physics/Central European Journal of Physics, Physica A 9 Mathematics 8 Quantitative Finance 7 Journal of Physics: Condensed Matter, PLOS ONE, Symmetry 6 Journal of Chemical Physics 5 Computer Physics Communications 4 Advances in Complex Systems, Axioms, Chaos Solitons & Fractals, Communications in Nonlinear Science and Numerical Simulation, Frontiers in Artificial Intelligence, Modern Physics Letters B Physical Review B, 3 AIP Advances, Financial Innovation, Frontiers in Physics, International Journal of Modern Physics B, Journal of Economic Interaction and Coordination, Scientific Reports 2 AIMS Mathematics, Digital Signal Processing, Economics EJournal, Energies, Heliyon, Journal of Physics Communications, Journal of Statistical Mechanics: Theory and Experiment, Physical Review A, Physical Review Applied, Physical Review Research, Physics Letters A 1 Advances in Mathematical Physics, Algorithms, Annals of Operations Research, Applied Informatics, Applied Mathematics and Computation, Boundary Value Problems, Computational and Applied Mathematics, Decisions in Economics and Finance, Engineering Reports, Entropy, European Physical Journal B, International Journal of Molecular Sciences, International Journal of Nonlinear Science and Numerical Simulation, Journal of Molecular Modelling, Journal of Network Theory in Finance, Journal of Statistical Physics, Management Science, Mathematical Problems in Engineering, Mathematics and Financial Economics, Numerical Algorithms, Oriental Journal of Chemistry, Physica Scripta, Physical Chemistry Chemical Physics, Proceedings of the Royal Society A, Review of Derivatives Research, Reviews of Modern Physics, Soft Materials, Springer Proceedings in Mathematics and Statistics, SpringerPlus, Sustainability Further requests
14 Modern Physics Letters B 14 Frontiers in Artificial Intelligence 12 International Journal of Modern Physics B 10 Open Physics/Central European Journal of Physics 7 Mathematics 5 Axioms, Journal of Physics A: Mathematical and Theoretical, Symmetry 4 Frontiers in Physics, Entropy 3 Applied Sciences, Communications in Nonlinear Science and Numerical Simulation, Energies, European Journal of Operational Research, Financial Innovation, Heliyon, Journal of Chemical Physics, Processes 2 AIP Advances, Oriental Journal of Chemistry, PLOS ONE 1 Algorithms, Chaos Solitons & Fractals*, Computer Physics Communications, European Physical Journal B, Economies, Finance Research Letters, Foundations, Fractal and Fractional, Fractional Calculus and Applied Analysis, Future Internet, Handbook of Fractional Calculus with Applications, Journal of Computational Chemistry*, Journal of Financial Risk Management, Journal of Geophysics Engineering, Journal of Micromechanics and Microengineering, Journal of Open Innovation: Technology Market and Complexity, Journal of Physics Communications, Journal of Physics: Condensed Matter, Measurement Science and Technology, Pakistan Journal of Statistics, Physics Letters A, Physica Scripta, Results in Physics*, Scientific Reports, Sensors, Stats, Textiles, and 3 journals on Beall's List
* Withdrawn by the authorsI have reviewed 292 manuscripts (not counting revisions) for 73 journals and I have received 180 further requests. A part of this is documented by Web of Science and mirrored on ORCID. Moreover, I have reviewed for AMS MathSciNet Mathematical Reviews, conferences, book publishers (Mathematics Books List, CRC Press, Taylor and Francis Group) and research grants: Greek Ministry of Education (Archimedes 2 and Thalis 2 programmes), Israeli Ministry of Science and Technology, Russian Foundation for Basic Research, Wellcome Trust, etc.; I have received requests also from the Czech Science Foundation and the Swiss State Secretariat for Education, Research and Innovation, etc. The Nobel Committee for Chemistry of the Royal Swedish Academy of Science has asked me to contribute nominations for the 2012 prize.
 Quotes

"Too many potential physicists and engineers spend their careers shifting money around in the financial sector, instead of applying their talents to innovating in the real economy."
Barack Obama, The way ahead, The Economist, 8 October 2016."Economics curricula need to include more natural science."
JeanPhilipp Bouchaud, Economics needs a scientific revolution, Nature 455, 1181, 2008."There can be no understanding of modern neoclassical economics without some familiarity with the formalisms of Lagrangian and Hamiltonian mechanics."
Philip Mirowski, More Heat than Light: Economics as Social Physics, Physics as Nature's Economics, Cambridge University Press, Cambridge, 1989, p. 42."We are throwing more and more of our resources, including the cream of our youth, into financial activities remote from the production of goods and services, into activities that generate high private rewards disproportionate to their social productivity. I suspect that the immense power of the computer is being harnessed to this 'paper economy', not to do the same transactions more economically but to balloon the quantity and variety of financial exchanges. For this reason perhaps, high technology has so far yielded disappointing results in economywide productivity. I fear that, as Keynes saw even in his day, the advantages of the liquidity and negotiability of financial instruments come at the cost of facilitating nthdegree speculation which is shortsighted and inefficient."
James Tobin, On the efficiency of the financial system, Lloyds Bank Review 153, 115, 1984; reprinted in James Tobin, Policies for Prosperity  Essays in a Keynesian Mode, edited by P. M. Jackson, MIT Press, Cambridge, MA, 1987."The physicist who is only a physicist can still be a first class physicist and a most valuable member of society. But nobody can be a great economist who is only an economist  and I am even tempted to add that the economist who is only an economist is likely to become a nuisance if not a positive danger."
Friedrich August von Hayek, Studies in Philosophy, Politics and Economics, University of Chicago Press, 1967.