32 citations · 46 across the 17 of their papers we have counts for
21 papers
Pricing options on illiquid assets using liquid market benchmarks: an application to energy markets
Federico Aluigi, Lucia Caramellino, Paolo Pigato +1
The Gasoil options market is illiquid, making it difficult to construct its implied volatility surface directly. However, it is closely linked to the highly liquid Brent options ma…
Multivariate Rough Volatility
Ranieri Dugo, Giacomo Giorgio, Paolo Pigato
Motivated by empirical evidence from the joint behavior of realized volatility time series, we propose to model the joint dynamics of log-volatilities using a multivariate fraction…
The multivariate fractional Ornstein-Uhlenbeck process
Ranieri Dugo, Giacomo Giorgio, Paolo Pigato
Starting from the notion of multivariate fractional Brownian Motion introduced in [F. Lavancier, A. Philippe, and D. Surgailis. Covariance function of vector self-similar processes…
Estimation of parameters and local times in a discretely observed threshold diffusion model
Sara Mazzonetto, Paolo Pigato
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift…
Short-time asymptotics for non self-similar stochastic volatility models
Giacomo Giorgio, Barbara Pacchiarotti, Paolo Pigato
We provide a short-time large deviation principle (LDP) for stochastic volatility models, where the volatility is expressed as a function of a Volterra process. This LDP does not r…
Local volatility under rough volatility
Florian Bourgey, Stefano De Marco, Peter K. Friz +1
Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a b…
Reinforced optimal control
Christian Bayer, Denis Belomestny, Paul Hager +3
Least squares Monte Carlo methods are a popular numerical approximation method for solving stochastic control problems. Based on dynamic programming, their key feature is the appro…
Short dated smile under Rough Volatility: asymptotics and numerics
Peter K. Friz, Paul Gassiat, Paolo Pigato
In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochasti…
Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations
Sara Mazzonetto, Paolo Pigato
We refer by threshold Ornstein-Uhlenbeck to a continuous-time threshold autoregressive process. It follows the Ornstein-Uhlenbeck dynamics when above or below a fixed level, yet at…
Hybrid Template Canonical Correlation Analysis Method for Enhancing SSVEP Recognition under data-limited Condition
Runfeng Miao, Li Zhang, Qiang Sun
In this study, an advanced CCA-based algorithn called hybrid template canonical correlation analysis (HTCCA) was proposed to improve the performance of brain-computer interface (BC…
Density estimates and short-time asymptotics for a hypoelliptic diffusion process
Paolo Pigato
We study a system of differential equations, each in dimension . Only the first equation is forced by a Brownian motion and the dependence structure is such that, under a lo…
Randomized optimal stopping algorithms and their convergence analysis
Christian Bayer, Denis Belomestny, Paul Hager +2
In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimisation algorithms. In particular we prove the co…
Precise asymptotics: robust stochastic volatility models
Peter K. Friz, Paul Gassiat, Paolo Pigato
We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option p…
Maximum likelihood drift estimation for a threshold diffusion
Antoine Lejay, Paolo Pigato
We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and neg…
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
Antoine Lejay, Paolo Pigato
In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We prop…
Statistical estimation of the Oscillating Brownian Motion
Antoine Lejay, Paolo Pigato
We study the asymptotic behavior of estimators of a two-valued, discontinuous diffusion coefficient in a Stochastic Differential Equation, called an Oscillating Brownian Motion. Us…
Diffusions under a local strong Hörmander condition. Part II: tube estimates
Vlad Bally, Lucia Caramellino, Paolo Pigato
We study lower and upper bounds for the probability that a diffusion process in remains in a tube around a skeleton path up to a fixed time. We assume that the diffu…
Diffusions under a local strong Hörmander condition. Part I: density estimates
Vlad Bally, Lucia Caramellino, Paolo Pigato
We study lower and upper bounds for the density of a diffusion process in in a small (but not asymptotic) time, say . We assume that the diffusion coefficients…
Tube estimates for diffusion processes under a weak Hörmander condition
Paolo Pigato
We consider a diffusion process under a local weak Hörmander condition on the coefficients. We find Gaussian estimates for the density in short time and exponential lower and upper…
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
Mario Bonino, Matteo Camelia, Paolo Pigato
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in…
Multi-scaling of moments in stochastic volatility models
Paolo Dai Pra, Paolo Pigato
We introduce a class of stochastic volatility models for which the absolute moments of the increments exhibit anomalous scaling: $\E\left(|X_{t+h} - X_t|^q \righ…