Paolo Pigato

Available identifiers

zbMath Open pigato.paoloMaRDI QIDQ1635972

List of research outcomes

Publication	Date of Publication	Type
Local volatility under rough volatility	2024-01-31	Paper
Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations	2024-01-29	Paper
Reinforced optimal control	2022-12-13	Paper
Short-dated smile under rough volatility: asymptotics and numerics	2022-05-05	Paper
Short-time asymptotics for non self-similar stochastic volatility models	2022-04-21	Paper
Density estimates and short-time asymptotics for a hypoelliptic diffusion process	2022-02-11	Paper
Randomized Optimal Stopping Algorithms and Their Convergence Analysis	2021-11-05	Paper
Log-Modulated Rough Stochastic Volatility Models	2021-11-05	Paper
Precise asymptotics: robust stochastic volatility models	2021-11-04	Paper
Maximum likelihood drift estimation for a threshold diffusion	2020-11-30	Paper
Tube estimates for diffusions under a local strong Hörmander condition	2020-01-31	Paper
Extreme at-the-money skew in a local volatility model	2019-09-19	Paper
A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA	2019-06-24	Paper
Tube estimates for diffusion processes under a weak Hörmander condition	2018-06-01	Paper
Statistical estimation of the oscillating Brownian motion	2018-05-18	Paper
Diffusions under a local strong H\"ormander condition. Part II: tube estimates	2016-07-15	Paper
Multi-scaling of moments in stochastic volatility models	2015-08-21	Paper
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility	2014-04-30	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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