32 citations · 46 across the 17 of their papers we have counts for
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q-fin.PR2018★ 32 cited
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…
math.PR2018
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…