32 citations · 46 across the 17 of their papers we have counts for
Showing 2014Show all
3 papers · 1 filter
math.PR2014
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…
q-fin.ST2014★ 2 cited
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…
math.PR2014★ 2 cited
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…