2108/307635 - 2024 -
Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations Pigato, Paolo - 01 - Articolo su rivista
rivista: STATISTICA SINICA (Syracuse University:Department Qualitative Methods, School of Management:Syracuse, NY 13244:(315)443-1255, EMAIL: cchung@syr.edu, Fax: (315)443-5457) pp. - - issn: 1017-0405 - wos: WOS:001223621300021 (1) - scopus: 2-s2.0-85184064352 (1)
2108/341184 - 2024 -
A reinforcement learning algorithm for trading commodities Giorgi, Federico; Herzel, Stefano; Pigato, Paolo - 01 - Articolo su rivista
rivista: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY (Chichester: John Wiley & Sons, ©1999-) pp. 373-388 - issn: 1524-1904 - wos: WOS:001076667500001 (1) - scopus: 2-s2.0-85173536550 (1)
2108/348243 - 2023 -
Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models Giorgio, Giacomo; Pacchiarotti, Barbara; Pigato, Paolo - 01 - Articolo su rivista
rivista: APPLIED MATHEMATICAL FINANCE ([London]: [Routledge Taylor & Francis Group]
London : Chapman & Hall, 1994-) pp. 123-152 - issn: 1350-486X - wos: (0) - scopus: 2-s2.0-85184218451 (0)
2108/321720 - 2023 -
Local volatility under rough volatility Pigato, Paolo - 01 - Articolo su rivista
rivista: MATHEMATICAL FINANCE (Oxford] : Blackwell Publishers) pp. - - issn: 1467-9965 - wos: WOS:000993366800001 (1) - scopus: 2-s2.0-85159939129 (2)
Pigato, Paolo - 01 - Articolo su rivista
rivista: COMMUNICATIONS IN MATHEMATICAL SCIENCES (Somervile, MA : International Press, c2003-) pp. 1951-1978 - issn: 1539-6746 - wos: (0) - scopus: 2-s2.0-85141758119 (0)
2108/284833 - 2022 -
Density estimates and short-time asymptotics for a hypoelliptic diffusion process Pigato, Paolo - 01 - Articolo su rivista
rivista: STOCHASTIC PROCESSES AND THEIR APPLICATIONS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 117-142 - issn: 0304-4149 - wos: WOS:000789706700005 (4) - scopus: 2-s2.0-85121824064 (4)
2108/285057 - 2022 -
Short-dated smile under rough volatility: asymptotics and numerics Pigato, Paolo - 01 - Articolo su rivista
rivista: QUANTITATIVE FINANCE (Abingdon: Taylor & Francis
Bristol: Institute of Physics Publishing, 2001-) pp. 463-480 - issn: 1469-7688 - wos: WOS:000728727200001 (7) - scopus: 2-s2.0-85121400024 (7)
2108/276367 - 2021 -
The step stochastic volatility model Pigato, Paolo - 01 - Articolo su rivista
rivista: RISK (London: Infopro Digital Risk Limited
London: Risk Waters Group
London: EMAP, 1987-) pp. - - issn: 0952-8776 - wos: (0) - scopus: (0)
2108/279463 - 2021 -
Randomized optimal stopping algorithms and their convergence analysis Pigato, Paolo - 01 - Articolo su rivista
rivista: SIAM JOURNAL ON FINANCIAL MATHEMATICS (Philadelphia: SIAM Society for Industrial and Applied Mathematics) pp. 1201-1225 - issn: 1945-497X - wos: WOS:000734465000012 (3) - scopus: 2-s2.0-85116373887 (3)
2108/279461 - 2021 -
Log-modulated rough stochastic volatility models Pigato, Paolo - 01 - Articolo su rivista
rivista: SIAM JOURNAL ON FINANCIAL MATHEMATICS (Philadelphia: SIAM Society for Industrial and Applied Mathematics) pp. 1257-1284 - issn: 1945-497X - wos: WOS:000734465000014 (4) - scopus: 2-s2.0-85118295440 (5)
2108/272863 - 2021 -
Precise asymptotics: Robust stochastic volatility models Pigato, Paolo - 01 - Articolo su rivista
rivista: THE ANNALS OF APPLIED PROBABILITY (Institute of Mathematical Statistics:PO Box 22718:Beachwood, OH 44122:(216)295-2340, EMAIL: plsims@stat.berkeley.edu, INTERNET: http://www.imstat.org, Fax: (216)991-8860) pp. 896-940 - issn: 1050-5164 - wos: WOS:000664792400013 (13) - scopus: 2-s2.0-85104854558 (15)
2108/268533 - 2020 -
Maximum likelihood drift estimation for a threshold diffusion Pigato, Paolo - 01 - Articolo su rivista
rivista: SCANDINAVIAN JOURNAL OF STATISTICS (Oxford: Blackwell Publishers) pp. 609-637 - issn: 0303-6898 - wos: WOS:000499749000001 (7) - scopus: 2-s2.0-85076184227 (7)
2108/268539 - 2019 -
A THRESHOLD MODEL for LOCAL VOLATILITY: EVIDENCE of LEVERAGE and MEAN REVERSION EFFECTS on HISTORICAL DATA Pigato, Paolo - 01 - Articolo su rivista
rivista: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE (World Scientific Publishing Company:PO Box 128, Farrer Road, Singapore 912805 Singapore:011 65 6 4665775, EMAIL: journal@wspc.com.sg, INTERNET: http://www.wspc.com.sg, http://www.worldscinet.com, Fax: 011 65 6 4677667) pp. - - issn: 0219-0249 - wos: WOS:000480380700004 (14) - scopus: 2-s2.0-85066902691 (13)
2108/214917 - 2019 -
Tube estimates for diffusions under a local strong Hörmander condition Caramellino, Lucia; Pigato, Paolo - 01 - Articolo su rivista
rivista: ANNALES DE L'INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES (Gauthier-Villars:15 rue Gossin, 92543 Montrouge Cedex France:011 33 1 40 926500, Fax: 011 33 1 40 926597) pp. - - issn: 0246-0203 - wos: WOS:000496132400016 (2) - scopus: 2-s2.0-85075118704 (2)
2108/268541 - 2019 -
Extreme at-the-money skew in a local volatility model Pigato, Paolo - 01 - Articolo su rivista
rivista: FINANCE AND STOCHASTICS (Springer Verlag Germany:Tiergartenstrasse 17, D 69121 Heidelberg Germany:011 49 6221 3450, EMAIL: g.braun@springer.de, INTERNET: http://www.springer.de, Fax: 011 49 6221 345229) pp. 827-859 - issn: 0949-2984 - wos: WOS:000487031800002 (11) - scopus: 2-s2.0-85074135088 (13)
2108/266899 - 2018 -
Tube estimates for diffusion processes under a weak Hörmander condition Pigato, Paolo - 01 - Articolo su rivista
rivista: ANNALES DE L'INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES (Gauthier-Villars:15 rue Gossin, 92543 Montrouge Cedex France:011 33 1 40 926500, Fax: 011 33 1 40 926597) pp. 299-342 - issn: 0246-0203 - wos: WOS:000429918500014 (7) - scopus: 2-s2.0-85042143991 (7)
2108/266907 - 2018 -
Statistical estimation of the oscillating brownian motion Pigato, Paolo - 01 - Articolo su rivista
rivista: BERNOULLI (Voorburg; Andover: International Statistical Institute; Chapman and Hall) pp. 3568-3602 - issn: 1350-7265 - wos: WOS:000430459000012 (20) - scopus: 2-s2.0-85046722407 (20)
2108/266904 - 2017 -
Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data Pigato, Paolo - 99 - Altro
2108/266901 - 2015 -
Multi-scaling of moments in stochastic volatility models Pigato, Paolo - 01 - Articolo su rivista
rivista: STOCHASTIC PROCESSES AND THEIR APPLICATIONS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 3725-3747 - issn: 0304-4149 - wos: WOS:000359165400004 (1) - scopus: 2-s2.0-84938421680 (1)