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Paolo Pigato
Paolo Pigato
University of Rome Tor Vergata
Bestätigte E-Mail-Adresse bei uniroma2.eu - Startseite
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Zitiert von
Zitiert von
Jahr
Precise asymptotics: robust stochastic volatility models
PK Friz, P Gassiat, P Pigato
The Annals of Applied Probability 31 (2), 896-940, 2021
442021
Statistical estimation of the oscillating Brownian motion
A Lejay, P Pigato
Bernoulli 24 (4B), 3568-3602, 2018
382018
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
A Lejay, P Pigato
International Journal of Theoretical and Applied Finance 22 (04), 1950017, 2019
252019
Extreme at-the-money skew in a local volatility model
P Pigato
Finance and Stochastics 23 (4), 827-859, 2019
242019
Maximum likelihood drift estimation for a threshold diffusion
A Lejay, P Pigato
Scandinavian Journal of Statistics 47 (3), 609-637, 2020
20*2020
Log-modulated rough stochastic volatility models
C Bayer, FA Harang, P Pigato
SIAM Journal on Financial Mathematics 12 (3), 1257-1284, 2021
172021
Tube estimates for diffusion processes under a weak Hörmander condition
P Pigato
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54 (1 …, 2018
152018
Short-dated smile under rough volatility: asymptotics and numerics
PK Friz, P Gassiat, P Pigato
Quantitative Finance 22 (3), 463-480, 2022
142022
Tube estimates for diffusions under a local strong Hörmander condition
V Bally, L Caramellino, P Pigato
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 55 (4 …, 2019
9*2019
Local volatility under rough volatility
F Bourgey, S De Marco, PK Friz, P Pigato
arXiv preprint arXiv:2204.02376, 2022
82022
The step stochastic volatility model
P Friz, P Pigato, J Seibel
RISK, 2021
8*2021
Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations
S Mazzonetto, P Pigato
arXiv preprint arXiv:2008.12653, 2020
82020
Density estimates and short-time asymptotics for a hypoelliptic diffusion process
P Pigato
Stochastic Processes and their Applications 145, 117-142, 2022
72022
Randomized optimal stopping algorithms and their convergence analysis
C Bayer, D Belomestny, P Hager, P Pigato, J Schoenmakers
SIAM Journal on Financial Mathematics 12 (3), 1201-1225, 2021
62021
Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
A Lejay, P Pigato
Inria Nancy-Grand Est; Weierstrass Institute, 2017
42017
Multi-scaling of moments in stochastic volatility models
P Dai Pra, P Pigato
Stochastic Processes and their Applications 125 (10), 3725-3747, 2015
42015
Short-time asymptotics for non self-similar stochastic volatility models
G Giorgio, B Pacchiarotti, P Pigato
arXiv preprint arXiv:2204.10103, 2022
32022
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
M Bonino, M Camelia, P Pigato
arXiv preprint arXiv:1404.7632, 2014
32014
A Reinforcement Learning Algorithm for Trading Commodities
F Giorgi, S Herzel, P Pigato
CEIS Working Paper, 2023
22023
Tube estimates for hypoelliptic diffusions and scaling properties of stochastic volatility models
P Pigato
Université Paris-Est, 2015
22015
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