Associate Professor, UCL Department of Computer 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, Exam Board of the MSc Computational Finance, MSc Financial Risk Management, MSc Financial Technology, MSc Emerging Digital Technologies
External Examiner, MSc Data Science, Department of Mathematics, University of Sussex
Associate Editor, Advances in Complex Systems
Section Editor for Financial Mathematics, Mathematics
Postal address Department of Computer Science
University College London
London WC1E 6BT
Office Department of Computer Science
University College London
Room 4.07, 66-72 Gower Street
London WC1E 6EA
Office hour in Term 2 Thursday 9-10 on Zoom
You may agree other times or try your luck without an appointment
Office telephone +44 20 3108 7105, internal 57105, currently redirected to my mobile Mobile +44 7481 388380 Zoom https://ucl.zoom.us/my/guidogermano Skype guido.germano Fax +44 20 7387 1397
- Research students
PhD: Benjamin Loveless, Jiaqi Liang, Maria E. Böker, Lucio Idone, Andreas Koukorinis.
PhD alumni: Eduard Sariev (2021), Carolyn E. Phelan (2018), Yiran Cui (2017); find more in my Academic Family Tree, the Mathematics Genealogy Project and the library of the Philipps-Universität Marburg.
Other alumni: 4 postdocs; 7 MRes, 36 MSc, 2 MEng and 3 BSc students.
See IRIS for a full list.
- Carolyn E. Phelan, Daniele Marazzina, Guido Germano (2020), "Numerical pricing methods for α-quantile and perpetual early-exercise options", Quantitative Finance 20 (6), 899--918, 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), 311-328, 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), 283-331, DOI 10.1007/s11403-019-00248-3, 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), 404-427, 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 (1-2), 273-298, DOI 10.1007/s10479-018-2881-4, arXiv:1706.09755 [q-fin.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), 210-223, DOI 10.1016/j.ejor.2018.04.016, arXiv:1712.00077 [q-fin.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), 625-638, DOI 10.1016/j.ejor.2017.05.018, arXiv:1511.08718 [q-fin.CP], PDF, Supplementary material.
- Gianluca Fusai, Guido Germano, Daniele Marazzina (2016), "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options", European Journal of Operational Research 251 (1), 124-134, 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), 179-202, 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), 022140:1-11, DOI 10.1103/PhysRevE.92.022140, arXiv:1207.3505 [cond-mat.stat-mech, math-ph, math.PR], PDF.
- Luca Gerardo-Giorda, Guido Germano, Enrico Scalas (2014), "Large-scale simulations of synthetic markets", Communications in Applied and Industrial Mathematics 6 (2), 535:1-14, 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), 332-353, < href="https://doi.org/10.2478/s13540-013-0021-z">DOI 10.2478/s13540-013-0021-z, Topics in Numerical Methods for Finance, edited by Mark Cummins, Finbarr Murphy, John J. H. Miller, Springer Proceedings in Mathematics & Statistics 19, 139-154, Springer, Boston, 2012, print ISBN 978-1-4614-3432-0, online ISBN 978-1-4614-3433-7, print ISSN~2194-1009, online ISSN~2194-1017, DOI 10.1007/978-1-4614-3433-7_8, Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 83 (5), 051115:1-16, DOI 10.1103/PhysRevE.83.051115, arXiv:1007.4588 [cond-mat.stat-mech, math-ph].
- Ulrich Welling, Guido Germano (2011), "Efficiency of linked-cell algorithms", Computer Physics Communications 182 (3), 611-615, DOI 10.1016/j.cpc.2010.11.002, arXiv:1006.1239 [physics.comp-ph, cond-mat.mtrl-sci, cond-mat.soft].
- Guido Germano, Mauro Politi, Enrico Scalas, René L. Schilling (2010), "It&ohat; and Stratonovich integrals on compound renewal processes: The normal/Poisson case", Communications in Nonlinear Science and Numerical Simulation 15 (6), 1583-1588, 2010, DOI 10.1016/j.cnsns.2009.06.010.
- Anirban Chakraborti, Guido Germano (2010), "Agent-based models of economic interactions", in Mathematical Modeling of Collective Behavior in Socio-Economic and Life Sciences, edited by Giovanni Naldi, Lorenzo Pareschi, Giuseppe Toscani, Modeling and Simulation in Science, Engineering and Technology 31, 3-29, Birkhäuser, Boston, print ISBN 978-0-8176-4945-6, online ISBN 978-0-8176-4946-3, print ISSN 2164-3679, eISSN 2164-3679, DOI 10.1007/978-0-8176-4946-3_1.
- Mauro Politi, Enrico Scalas, Daniel Fulger, Guido Germano (2010), "Spectral densities of Wishart-Lévy free stable random matrices - Analytical results and Monte Carlo validation", European Physical Journal B - Condensed Matter and Complex Systems 79 (1), 13-22 DOI 10.1140/epjb/e2009-00360-7, arXiv:0903.1629 [cond-mat.stat-mech, q-fin.CP].
- Guido Germano, Mauro Politi, Enrico Scalas, René L. Schilling (2009), "Stochastic calculus for uncoupled continuous-time random walks", Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 79 (6), 066102:1--12, DOI 10.1103/PhysRevE.79.066102, arXiv:0802.3769 [cond-mat.stat-mech, q-fin.CP].
- Editor and reviewer
- Mathematics, section "Financial Mathematics", 2020-
- Advances in Complex Systems, 2018-
- ISRN, section "Probability and Statistics", 2013-2017
- ISRN, section "Computational Mathematics", 2011-2017
- PLOS ONE, 2011-2016
I have reviewed 218 manuscripts (not counting revisions) for 59 journals and I have received 87 further requests. A part of this is documented by Publons 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. The Nobel Committee for Chemistry of the Royal Swedish Academy of Science has asked me to contribute nominations for the 2012 prize.
37 Physical Review E 26 Physical Review Letters 10 Journal of Computational Chemistry 9 Journal of Physics A: Mathematical and Theoretical, Mathematics, Physica A 8 Open Physics/Central European Journal of Physics 7 European Journal of Operational Research, Journal of Physics: Condensed Matter, PLOS ONE 5 Computer Physics Communications, Journal of Chemical Physics, Quantitative Finance 4 Advances in Complex Systems, Axioms, Modern Physics Letters B, Symmetry 3 AIP Advances, Communications in Nonlinear Science and Numerical Simulation, International Journal of Modern Physics B 2 Economics E-Journal, Energies, Heliyon, Journal of Economic Interaction and Coordination, Journal of Statistical Mechanics: Theory and Experiment, Physics Letters A, Physical Review Applied, Physical Review B, Physical Review Research, Scientific Reports 1 Advances in Mathematical Physics, AIMS Mathematics, Algorithms, Annals of Operations Research, Applied Informatics, Applied Mathemaitcs and Computation, Boundary Value Problems, Chaos Solitons & Fractals, Computational and Applied Mathematics, Digital Signal Processing, Entropy, European Physical Journal B, Financial Innovation, 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, Mathematics and Financial Economics, Numerical Algorithms, Oriental Journal of Chemistry, Physical Chemistry Chemical Physics, Physical Review A, Review of Derivatives Research, Reviews of Modern Physics, Soft Materials, SpringerPlus, Springer Proceedings in Mathematics and Statistics
14 Modern Physics Letters B 11 International Journal of Modern Physics B 7 Open Physics/Central European Journal of Physics 5 Journal of Physics A: Mathematical and Theoretical 4 Entropy 3 Energies, Processes, Symmetry 2 Applied Sciences, Axioms, European Journal of Operational Research, Journal of Chemical Physics, Oriental Journal of Chemistry, Mathematics 1 Chaos Solitons & Fractals*, Communications in Nonlinear Science and Numerical Simulation, Computer Physics Communications, European Physical Journal B, Finance Research Letters, Financial Innovation, Future Internet, Fractional Calculus and Applied Analysis, Handbook of Fractional Calculus with Applications, Heliyon, Journal of Computational Chemistry, Journal of Computational Chemistry*, Journal of Geophysics Engineering, Journal of Micromechanics and Microengineering, Journal of Physics: Condensed Matter, Measurement Science and Technology, Physics Letters A, Physica Scripta, PLOS ONE, Results in Physics*, Scientific Reports, Sensors, 3 journals on Beall's List * Withdrawn by the authors
"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.
"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 economy-wide 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 nth-degree speculation which is short-sighted and inefficient."
James Tobin, On the efficiency of the financial system, Lloyds Bank Review 153, 1-15, 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.