32 citations · 46 across the 17 of their papers we have counts for
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q-fin.CP2026
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…
q-fin.CP2020
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…
q-fin.CP2017
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…