2 citations · 4 across the 5 of their papers we have counts for
5 papers
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…
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…
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…
Convergence in Total Variation for nonlinear functionals of random hyperspherical harmonics
Lucia Caramellino, Giacomo Giorgio, Maurizia Rossi
Random hyperspherical harmonics are Gaussian Laplace eigenfunctions on the unit -dimensional sphere (). We study the convergence in Total Variation distance for their no…
Short-time asymptotics for non self-similar stochastic volatility models
Giacomo Giorgio, Barbara Pacchiarotti, Paolo Pigato
We provide a short-time large deviation principle (LDP) for stochastic volatility models, where the volatility is expressed as a function of a Volterra process. This LDP does not r…