3 papers
q-fin.ST2026
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…
math.PR2025
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…
math.PR2024
Limit theorems for Gaussian fields via Chaos Expansions and Applications
Giacomo Giorgio
In this PhD thesis, we apply a combination of Malliavin calculus and Stein's method in the framework of probability approximations. The specific problems we tackle with these metho…