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, Financial Computing Board of Examiners: 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
- Associate Editor, Advances in Complex Systems
- Section Editor for Financial Mathematics, Mathematics
- Associate Editor, Section Artificial Intelligence in Finance, Frontiers in Artificial Intelligence
Address Department of Computer Science
University College London
Room 4.07, 66-72 Gower Street
London WC1E 6EA
Office hour Tuesday 16-17 in person or remotely, e.g. on Zoom. Booking is recommended. If you prefer another time, you may request it or try your luck without an appointment. Office telephone +44 20 3108 7105 Mobile +44 7481 388380 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: 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 Philipps-Universität Marburg.
Other alumni: 4 postdocs; 7 MRes, 36 MSc, 2 MEng and 3 BSc students.
See IRIS for more.
- Carolyn E. Phelan, Daniele Marazzina, Guido Germano (2020), "Pricing methods for α-quantile and perpetual early-exercise options based on Spitzer identities", 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, DOI 10.2478/s13540-013-0021-z, arXiv:0902.3207 [cs.MS, cs.NA].
- Daniele Marazzina, Gianluca Fusai, Guido Germano (2012), "Pricing credit derivatives in a Wiener-Hopf framework", in 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, Quaderni del Dipartimento di Matematica del Politecnico di Milano 106.
- Edgar Martin, Ulrich Behn, Guido Germano (2011), "First-passage and first-exit times of a Bessel-like stochastic process", 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), "Itô 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], PDF.
- 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].
- 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/-293/, DOI 10.1080/1542140 0802430349.
- Adrian T. Gabriel, Timm Meyer, Guido Germano (2008), "Molecular graphics of convex-body fluids", Journal of Chemical Theory and Computation 4 (3), 468-476, DOI 10.1021/ct700192z, http://qmga.sourceforge.net.
- Daniel Fulger, Enrico Scalas, Guido Germano (2008), "Monte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation", Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 77 (2), 021122:1-7, DOI 10.1103/PhysRevE.77.021122, arXiv:0707.2582 [cond-mat.stat-mech].
- 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), 011104:1-6, DOI 10.1103/PhysRevE.76.011104, arXiv:cond-mat/0512038 [cond-mat.stat-mech].
- Friederike Schmid, Guido Germano, Stefan Wolfsheimer, Tanja Schilling (2007), "Fluctuating interfaces in liquid crystals", Macromolecular Symposia 252 (1), 110-118, DOI 10.1002/masy.200750611, arXiv:0810.4146 [cond-mat.soft, cond-mat.mtrl-sci].
- Marco Patriarca, Anirban Chakraborti, Els Heinsalu, Guido Germano (2007), "Relaxation in statistical many-agent economy models", European Physical Journal B - Condensed Matter and Complex Systems 57 (2), 219-224, DOI 10.1140/epjb/e2007-00122-7, arXiv:physics/0608174 [physics.soc-ph, q-fin.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, 3-4 February 2006, edited by Stefano Cozzini, Stefano d'Addona, Rosario Mantegna, Proceedings of Science 26, 11:1-13, 2007, DOI 10.22323/1.026.0011, ISSN 1824-8039.
- Michael P. Allen, Guido Germano (2006), "Expressions for forces and torques in molecular simulations using rigid bodies", Molecular Physics 104 (20-21), 3225-3235, DOI 10.1080/00268970601075238, arXiv:cond-mat/0608387 [cond-mat.stat-mech, cond-mat.soft].
- Marco Patriarca, Anirban Chakraborti, Guido Germano (2006), "Influence of saving propensity on the power-law tail of the wealth distribution", Physica A: Statistical Mechanics and its Applications 369 (2), 723-736, DOI 10.1016/j.physa.2006.01.091, arXiv:physics/0506028 [physics.soc-ph, q-fin.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 Flüssigkristall-Gesellschaft, Freiburg, https://discovery.ucl.ac.uk/id/eprint/1475259, https://explore.openaire.eu.
- Guido Germano, Friederike Schmid (2005), "Nematic-isotropic interfaces under shear: A molecular dynamics simulation", Journal of Chemical Physics 116 (21), 214703:1-8, DOI 10.1063/1.2131065, arXiv:cond-mat/0510146 [cond-mat.soft, cond-mat.mtrl-sci].
- 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, 93-110, Springer, Milano, print ISBN 978-88-470-0329-3, online ISBN 978-88-470-0389-7, ISSN 2039-411X, DOI 10.1007/88-470-0389-X_10, arXiv:physics/0504153 [physics.soc-ph, q-fin.GN].
- Guido Germano, Friederike Schmid (2004), "Simulation of nematic-isotropic 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, 311-320, Forschungszentrum Jülich, Jülich, ISBN 3-00-012372-5, www.fz-juelich.de/nic-series.
- Editor and reviewer
2022- Frontiers in Artificial Intelligence, Section Artificial Intelligence in Finance 2020- Mathematics, Section Financial Mathematics 2018- Advances in Complex Systems 2013-2017 ISRN, Section Probability and Statistics 2011-2017 ISRN, Section Computational Mathematics 2011-2016 PLOS ONE
Reviews for journals
45 Physical Review E 27 Physical Review Letters 10 European Journal of Operational Research, Journal of Computational Chemistry, Open Physics/Central European Journal of Physics, Physica A 9 Journal of Physics A: Mathematical and Theoretical, 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, Communications in Nonlinear Science and Numerical Simulation, Modern Physics Letters B 3 AIP Advances, International Journal of Modern Physics B, Physical Review B, Scientific Reports 2 AIMS Mathematics, Chaos Solitons & Fractals, Digital Signal Processing, Economics E-Journal, Energies, Financial Innovation, Frontiers in Artificial Intelligence, Heliyon, Journal of Economic Interaction and Coordination, Journal of Physics Communications, Journal of Statistical Mechanics: Theory and Experiment, Physical Review Applied, Physical Review Research, Physics Letters A 1 Advances in Mathematical Physics, Algorithms, Annals of Operations Research, Applied Informatics, Applied Mathemaitcs 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, Physical Review A, Proceedings of the Royal Society A<: Mathematical, Physical and Engineering Sciences>, Review of Derivatives Research, Reviews of Modern Physics, Soft Materials, Springer Proceedings in Mathematics and Statistics, SpringerPlus
14 Modern Physics Letters B 12 International Journal of Modern Physics B 10 Frontiers in Artificial Intelligence 9 Open Physics/Central European Journal of Physics 7 Mathematics 5 Journal of Physics A: Mathematical and Theoretical, Symmetry 4 Axioms, 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 Oriental Journal of Chemistry, PLOS ONE 1 AIP Advances, Chaos Solitons & Fractals*, Computer Physics Communications, European Physical Journal B, 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 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, 3 journals on Beall's List   * Withdrawn by the authors
I have reviewed 256 manuscripts (not counting revisions) for 66 journals and I have received 126 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.
"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.