32 citations · 46 across the 17 of their papers we have counts for
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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…
math.PR2017★ 1 cited
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…