Paolo Pigato

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A reinforcement learning algorithm for trading commodities Applied Stochastic Models in Business and Industry	2024-07-30	Paper
Local volatility under rough volatility Mathematical Finance	2024-01-31	Paper
Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations STATISTICA SINICA	2024-01-29	Paper
Reinforced optimal control Communications in Mathematical Sciences	2022-12-13	Paper
Short-dated smile under rough volatility: asymptotics and numerics Quantitative Finance	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 Stochastic Processes and their Applications	2022-02-11	Paper
Randomized Optimal Stopping Algorithms and Their Convergence Analysis SIAM Journal on Financial Mathematics	2021-11-05	Paper
Log-Modulated Rough Stochastic Volatility Models SIAM Journal on Financial Mathematics	2021-11-05	Paper
Precise asymptotics: robust stochastic volatility models The Annals of Applied Probability	2021-11-04	Paper
Precise asymptotics: robust stochastic volatility models The Annals of Applied Probability	2021-11-04	Paper
Maximum likelihood drift estimation for a threshold diffusion Scandinavian Journal of Statistics	2020-11-30	Paper
Tube estimates for diffusions under a local strong Hörmander condition Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2020-01-31	Paper
Tube estimates for diffusions under a local strong Hörmander condition Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2020-01-31	Paper
Extreme at-the-money skew in a local volatility model Finance and Stochastics	2019-09-19	Paper
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data International Journal of Theoretical and Applied Finance	2019-06-24	Paper
Tube estimates for diffusion processes under a weak Hörmander condition Annales de l'Institut Henri Poincaré. Probabilités et Statistiques	2018-06-01	Paper
Statistical estimation of the oscillating Brownian motion Bernoulli	2018-05-18	Paper
Statistical estimation of the oscillating Brownian motion Bernoulli	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 Stochastic Processes and their Applications	2015-08-21	Paper
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility	2014-04-30	Paper
Estimation of parameters and local times in a discretely observed threshold diffusion model (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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