FLANDOLI, F., GHIO, M., LIVIERI, G., “N-player games and MFGs of intermediate interactions “. APPL MATH OPTIM. (2021, Just Accepted) https://arxiv.org/abs/2104.03944
CAMPI, L., DE ANGELIS, T., GHIO, M., “Mean-Field Games of Finite-Fuel Capacity Expansion with Singular Controls”. ANN APPL PROBAB. (2021, Just Accepted) https://arxiv.org/abs/2006.02074
TIRONE, S., GHIO, M., LIVIERI, G., MARMI, S., GIOVANETTI, V. , “Kelly Betting with Quantum Payoff: a continuous variable approach”. QUANTUM. (2021, Just Accepted). https://arxiv.org/pdf/2001.11395.pdf
CAMPI, L., GHIO, M., LIVIERI, G.“N-player games and mean-field games with smooth dependence on past absorptions”. ANN I H POINCARE-PR (2021, Just Accepted). https://arxiv.org/abs/1902.02670
BILLIO, M., DONADELLI, M., PARADISO, A., LIVIERI, G.“On the role of domestic and international financial cyclical factors in driving economic growth”. APPL. ECON. (2019) https://doi.org/10.1080/00036846.2019.1659934.
LIVIERI, G., MANCINO, M. E., MARMI, S., “Asymptotic results for the Fourier estimator of the integrated quarticity”. DECISION IN ECONOMICS AND FINANCE. (2019) https://doi.org/10.1007/s10203-019-00259-6.
BORMETTI, G., CASARIN, R., CORSI, F., LIVIERI, G., “A stochastic volatility model with realized measures for option pricing”. J BUS ECON STAT. (2019) https://doi.org/10.1080/07350015.2019.1604371.
BORMETTI, G., CALLEGARO, G., LIVIERI, G., PALLAVICINI, A., “A Backward Monte Carlo approach to exotic option pricing”. EUR. J. APPL. MATH. (2017) https://doi.org/10.1017/S0956792517000079.
FISCHER, M., LIVIERI, G., “Continuous time mean-variance portfolio optimization through the mean field approach”. ESAIM-PROBAB STAT. (2016) https://doi.org/10.1051/ps/2016001.
Other publications
BORMETTI, G., CASARIN, R., CORSI, F., LIVIERI, G., “A stochastic volatility framework with analytical filtering”. Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: new challenges, new generations (2019) .
R&R
LIVIERI, G., MANCINO, M. E., MARMI, S., TOSCANO, G., “Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts”.
Submitted Papers
LILLO, F., LIVIERI, G., MARMI, S., SOLOMKO, A., VAIENTI, S., “A rigorous analysis of bank leverage via dynamical systems and deep neural network”. https://arxiv.org/abs/2104.04960