| Rough volatility: evidence from option prices G Livieri, S Mouti, A Pallavicini, M Rosenbaum IISE transactions 50 (9), 767-776, 2018 | 133 | 2018 |
| Continuous time mean-variance portfolio optimization through the mean field approach M Fischer, G Livieri ESAIM: Probability and Statistics 20, 30-44, 2016 | 46 | 2016 |
| One-shot learning of stochastic differential equations with data adapted kernels M Darcy, B Hamzi, G Livieri, H Owhadi, P Tavallali Physica D: Nonlinear Phenomena 444, 133583, 2023 | 43 | 2023 |
| A backward Monte Carlo approach to exotic option pricing G Bormetti, G Callegaro, G Livieri, A Pallavicini European Journal of Applied Mathematics 29 (1), 146-187, 2018 | 36 | 2018 |
| N-Player games and mean-field games with smooth dependence on past absorptions L Campi, M Ghio, G Livieri Annales de l'Institut Henri Poincare (B) Probabilites et statistiques 57 (4 …, 2021 | 27 | 2021 |
| Statistical inferences for price staleness A Kolokolov, G Livieri, D Pirino Journal of Econometrics 218 (1), 32-81, 2020 | 26 | 2020 |
| Mean-field games of finite-fuel capacity expansion with singular controls L Campi, T De Angelis, M Ghio, G Livieri The Annals of Applied Probability 32 (5), 3674-3717, 2022 | 25 | 2022 |
| A stochastic volatility model with realized measures for option pricing G Bormetti, R Casarin, F Corsi, G Livieri Journal of Business & Economic Statistics 38 (4), 856-871, 2020 | 24 | 2020 |
| A closed-form formula characterization of the Epps effect G Buccheri, G Livieri, D Pirino, A Pollastri Quantitative Finance 20 (2), 243-254, 2020 | 23 | 2020 |
| Designing universal causal deep learning models: The case of infinite-dimensional dynamical systems from stochastic analysis L Galimberti, A Kratsios, G Livieri arXiv preprint arXiv:2210.13300, 2022 | 20 | 2022 |
| Affine Volterra processes with jumps A Bondi, G Livieri, S Pulido Stochastic Processes and their Applications 168, 104264, 2024 | 19 | 2024 |
| Liquidity fluctuations and the latent dynamics of price impact LP Mertens, A Ciacci, F Lillo, G Livieri Quantitative Finance 22 (1), 149-169, 2022 | 18 | 2022 |
| Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts G Toscano, G Livieri, ME Mancino, S Marmi Journal of Financial Econometrics 22 (1), 252-296, 2024 | 12 | 2024 |
| Uncertainty in firm valuation and a cross-sectional misvaluation measure G Bottazzi, F Cordoni, G Livieri, S Marmi Annals of Finance 19 (1), 63-93, 2023 | 10 | 2023 |
| Adding cycles into the neoclassical growth model M Donadelli, A Paradiso, G Livieri Economic Modelling 78, 162-171, 2019 | 10 | 2019 |
| N-Player Games and Mean Field Games of Moderate Interactions F Flandoli, M Ghio, G Livieri Applied Mathematics & Optimization 85 (3), 38, 2022 | 8 | 2022 |
| The continuous-time limit of score-driven volatility models G Buccheri, F Corsi, F Flandoli, G Livieri Journal of Econometrics 221 (2), 655-675, 2021 | 8 | 2021 |
| Pricing transition risk with a jump-diffusion credit risk model: evidences from the CDS market G Livieri, D Radi, E Smaniotto arXiv preprint arXiv:2303.12483, 2023 | 7 | 2023 |
| Low-dimensional approximations of the conditional law of Volterra processes: a non-positive curvature approach R Arabpour, J Armstrong, L Galimberti, A Kratsios, G Livieri arXiv preprint arXiv:2405.20094, 2024 | 5 | 2024 |
| Analysis of bank leverage via dynamical systems and deep neural networks F Lillo, G Livieri, S Marmi, A Solomko, S Vaienti SIAM Journal on Financial Mathematics 14 (2), 598-643, 2023 | 5 | 2023 |
