Guido Germano

Guido Germano, 7 August 2014 For a short biography, my research interests, publications and a teaching overview, see IRIS. UCL students can access on Moodle my teaching material for COMP0043 Numerical Methods for Finance and COMPG0045 Probability Theory and Stochastic Processes.

Office hours: Room 4.07, 66-72 Gower Street, Wednesday 11-12.

You are welcome to arrange a meeting outside office hours or to try without an appointment. If I do not answer an email or my office telephone +44 20 3108 7105 and it is urgent, please call, text or FaceTime my mobile +44 7481 388380 (+49 170 8090109 for WhatsApp, guido.germano for Skype). My pigeon hole is in Room 5.24, Malet Place Engineering Building, but mail may be left also at the reception of 66-72 Gower Street.

"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.

"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.

Research students

PhD: Benjiamin Loveless (since 2018), Jiaqi Liang (since 2017), Eduard Sariev (since 2016), Maria E. Böker, Lucio Idone, Andreas Koukorinis (since 2014). PhD alumni: Carolyn E. Phelan (2015-2018), Yiran Cui (2014-2017); find more in my Academic Family Tree, the Mathematics Genealogy Project and the library of the Philipps-Universität Marburg. MRes alumni: Benjamin Loveless (2017-2018), Federico Graceffa (2016-2017), Carolyn E. Phelan, Paul-Kilian Gregorio Lamanna (2014-2015), Maria E. Böker, Lucio Idone, Michael Kusnetsov (2013-2014). Other: 3 postdoc alumni, 28 MSc and 1 BSc thesis supervisions.

Recent publications

For a full list, see IRIS. Further publication lists or repositories, some with citation counts, are linked from the sidebar (LSERO to RePEc).

  1. Eduard Sariev, Guido Germano (2018), "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, 36 pages, in press, DOI 10.1002/rfe.1049.
  2. Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano (2018), "Hilbert transform, spectral filters and option pricing", Annals of Operations Research, 26 pages, in press, DOI 10.1007/s10479-018-2881-4, arXiv:1706.09755 [q-fin.CP], SSRN 2995391.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.

Reviewer and editor

I have reviewed 157 manuscripts for the journals listed below (about 12 per year since 2008); I have been academic editor of Advances in Complex Systems (since 2018), ISRN (2011-2017) and PLOS ONE (2011-2016); a part of these activities is documented by Publons and mirrored on ORCID. Moreover, I have reviewed for conferences, book publishers, grants and awards. The Nobel Committee for Chemistry of the Royal Swedish Academy of Science asked me to contribute nominations for the 2012 prize.

32 Physical Review E; 23 Physical Review Letters; 10 Journal of Computational Chemistry; 7 Physica A, PLOS ONE; 6 Journal of Physics A: Mathematical and Theoretical; 5 Computer Physics Communications, Journal of Chemical Physics, Journal of Physics: Condensed Matter; 4 Advances in Complex Systems, European Journal of Operational Research, Modern Physics Letters B, Open Physics/Central European Journal of Physics, Quantitative Finance; 2 Energies, Economics E-Journal, International Journal of Modern Physics B, Journal of Economic Interaction and Coordination, Journal of Statistical Mechanics: Theory and Experiment, Mathematics, Physics Letters A; 1 Advances in Mathematical Physics, Algorithms, Annals of Operations Research, Applied Informatics, Boundary Value Problems, Communications in Nonlinear Science and Numerical Simulation, 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, Numerical Algorithms, Oriental Journal of Chemistry, Physical Chemistry Chemical Physics, Physical Review A, Physical Review B, Review of Derivatives Research, Reviews of Modern Physics, Soft Materials, SpringerPlus, Springer Proceedings in Mathematics and Statistics.