Details about Paolo Pigato

Access statistics for papers by Paolo Pigato.

Last updated 2025-01-08. Update your information in the RePEc Author Service.

Short-id: ppi538

Working Papers

2024

1. A Reinforcement Learning Algorithm For Option Hedging
   CEIS Research Paper, Tor Vergata University, CEIS
2. Multivariate Rough Volatility
   CEIS Research Paper, Tor Vergata University, CEIS
   Also in Papers, arXiv.org (2024)
3. The Multivariate Fractional Ornstein-Uhlenbeck Process
   CEIS Research Paper, Tor Vergata University, CEIS

2023

4. A Reinforcement Learning Algorithm for Trading Commodities
   CEIS Research Paper, Tor Vergata University, CEIS
5. Short-time asymptotics for non self-similar stochastic volatility models
   Papers, arXiv.org View citations (2)
   See also Journal Article Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models, Applied Mathematical Finance, Taylor & Francis Journals (2023) View citations (2) (2023)

2022

6. Local volatility under rough volatility
   Papers, arXiv.org View citations (3)
   See also Journal Article Local volatility under rough volatility, Mathematical Finance, Wiley Blackwell (2023) View citations (1) (2023)

2021

7. Log-modulated rough stochastic volatility models
   Papers, arXiv.org View citations (12)
8. Short dated smile under Rough Volatility: asymptotics and numerics
   Papers, arXiv.org View citations (3)
   See also Journal Article Short-dated smile under rough volatility: asymptotics and numerics, Quantitative Finance, Taylor & Francis Journals (2022) View citations (6) (2022)

2020

9. Precise asymptotics: robust stochastic volatility models
   Papers, arXiv.org View citations (7)
10. Randomized optimal stopping algorithms and their convergence analysis
    Papers, arXiv.org

2019

11. A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
    Papers, arXiv.org View citations (7)
    Also in Post-Print, HAL (2019) View citations (5)
    See also Journal Article A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2019) View citations (6) (2019)

2017

12. Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
    (Données et méthodes pour "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data")
    Working Papers, HAL View citations (5)

2016

13. A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
    Papers, arXiv.org View citations (1)
    Also in Working Papers, HAL (2016)

Journal Articles

2023

1. Local volatility under rough volatility
   Mathematical Finance, 2023, 33, (4), 1119-1145 View citations (1)
   See also Working Paper Local volatility under rough volatility, Papers (2022) View citations (3) (2022)
2. Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models
   Applied Mathematical Finance, 2023, 30, (3), 123-152 View citations (2)
   See also Working Paper Short-time asymptotics for non self-similar stochastic volatility models, Papers (2023) View citations (2) (2023)

2022

3. Density estimates and short-time asymptotics for a hypoelliptic diffusion process
   Stochastic Processes and their Applications, 2022, 145, (C), 117-142
4. Short-dated smile under rough volatility: asymptotics and numerics
   Quantitative Finance, 2022, 22, (3), 463-480 View citations (6)
   See also Working Paper Short dated smile under Rough Volatility: asymptotics and numerics, Papers (2021) View citations (3) (2021)

2020

5. Maximum likelihood drift estimation for a threshold diffusion
   Scandinavian Journal of Statistics, 2020, 47, (3), 609-637 View citations (3)

2019

6. A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA
   International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (04), 1-24 View citations (6)
   See also Working Paper A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data, Papers (2019) View citations (7) (2019)
7. Extreme at-the-money skew in a local volatility model
   Finance and Stochastics, 2019, 23, (4), 827-859 View citations (12)

2015

8. Multi-scaling of moments in stochastic volatility models
   Stochastic Processes and their Applications, 2015, 125, (10), 3725-3747 View citations (4)