Guido Germano

Guido Germano, 7 August 2014 For a short biography, my research interests, publications and a teaching overview, see IRIS (linked from the sidebar). UCL students can access on Moodle my teaching material for COMPG005 Numerical Analysis for Finance and COMPG008 Stochastic Processes for Finance. Further publication lists of mine, mostly external and with citation counts, are linked from Old web page to SSRN. A part of my activity as reviewer and editor is documented on Publons.

Office hours: Room 4.07, 66-72 Gower Street, Wednesday 11-12 and 17-18.

You are welcome to arrange a meeting outside office hours or to try without an appointment. If I don't answer my office telephone 020 3108 7105 and it's urgent, please call or text my mobiles 07481 388380 and +49 170 8090109. My Skype username is guido.germano. 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.

Research students

PhD: Eduard Sariev (since 2016); Carolyn E. Phelan (since 2015); Maria E. Böker, Lucio Idone, Andreas Koukorinis (since 2014). MRes: Federico Graceffa (2016-2017). PhD alumni: Yiran Cui (2014-2017); find more on the Mathematics Genealogy Project (linked from AMS MathSciNet). MRes alumni: Carolyn E. Phelan, Paul-Kilian Gregorio Lamanna (2014-2015); Maria E. Böker, Lucio Idone, Michael Kusnetsov (2013-2014).

Selected recent publications

  1. Yiran Cui, Sebastian del Baño Rollin, Guido Germano, "Full and fast calibration of the Heston stochastic volatility model", European Journal of Operational Research, 16 pages, in press, 2017, DOI 10.1016/j.ejor.2017.05.018, arXiv:1511.08718 [q-fin.CP]. PDF
  2. Gianluca Fusai, Guido Germano, Daniele Marazzina, "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options", European Journal of Operational Research 251 (1), 124-134, 2016, DOI 10.1016/j.ejor.2015.11.027, SSRN 2781434. PDF
  3. Enrico Scalas, Adrian T. Gabriel, Edgar Martin, Guido Germano, "Velocity and energy distributions in microcanonical ensembles of hard spheres", Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 92 (2), 022140:1-11, 2015, DOI 10.1103/PhysRevE.92.022140, arXiv:1207.3505 [cond-mat.stat-mech, math-ph, math.PR]. PDF