PIGATO, PAOLO
PIGATO, PAOLO
Dipartimento di Economia e Finanza
A reinforcement learning algorithm for trading commodities
2023-01-01 Giorgi, F; Herzel, S; Pigato, P
A THRESHOLD MODEL for LOCAL VOLATILITY: EVIDENCE of LEVERAGE and MEAN REVERSION EFFECTS on HISTORICAL DATA
2019-01-01 Lejay, A; Pigato, P
Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
2017-12-20 Lejay, A; Pigato, P
Density estimates and short-time asymptotics for a hypoelliptic diffusion process
2022-01-01 Pigato, P
Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
2024-01-01 Mazzonetto, S; Pigato, P
Extreme at-the-money skew in a local volatility model
2019-01-01 Pigato, P
Local volatility under rough volatility
2023-01-01 Bourgey, F; De Marco, S; Friz, Pk; Pigato, P
Log-modulated rough stochastic volatility models
2021-01-01 Bayer, C; Harang, Fa; Pigato, P
Maximum likelihood drift estimation for a threshold diffusion
2020-01-01 Lejay, A; Pigato, P
Multi-scaling of moments in stochastic volatility models
2015-01-01 Dai Pra, P; Pigato, P
Precise asymptotics: Robust stochastic volatility models
2021-01-01 Friz, Pk; Gassiat, P; Pigato, P
Randomized optimal stopping algorithms and their convergence analysis
2021-01-01 Bayer, C; Belomestny, D; Hager, P; Pigato, P; Schoenmakers, J
Reinforced optimal control
2022-01-01 Bayer, C; Belomestny, D; Hager, P; Pigato, P; Schoenmakers, J; Spokoiny, V
Short-dated smile under rough volatility: asymptotics and numerics
2022-01-01 Friz, Pk; Gassiat, P; Pigato, P
Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models
2023-01-01 Giorgio, G; Pacchiarotti, B; Pigato, P
Statistical estimation of the oscillating brownian motion
2018-01-01 Lejay, A; Pigato, P
The step stochastic volatility model
2021-01-01 Friz, P; Pigato, P; Seibel, J
Tube estimates for diffusion processes under a weak Hörmander condition
2018-01-01 Pigato, P
Tube estimates for diffusions under a local strong Hörmander condition
2019-01-01 Bally, V; Caramellino, L; Pigato, P