Access Statistics for Paolo Pigato

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Reinforcement Learning Algorithm For Option Hedging 0 1 6 6 0 2 8 8
A Reinforcement Learning Algorithm for Trading Commodities 0 0 3 14 0 0 6 30
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility 0 0 0 61 0 0 0 44
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility 0 0 0 21 0 0 1 18
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data 0 0 0 8 0 0 3 34
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data 0 0 0 44 0 1 2 40
Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data 0 0 0 37 0 0 3 29
Local volatility under rough volatility 0 0 1 16 0 1 3 27
Log-modulated rough stochastic volatility models 0 0 0 3 1 1 1 15
Multivariate Rough Volatility 0 1 14 14 0 2 11 11
Multivariate Rough Volatility 0 1 1 1 0 1 6 6
Precise asymptotics: robust stochastic volatility models 0 0 0 19 0 0 0 30
Randomized optimal stopping algorithms and their convergence analysis 0 0 0 3 0 0 0 12
Short dated smile under Rough Volatility: asymptotics and numerics 0 0 0 7 1 1 1 13
Short-time asymptotics for non self-similar stochastic volatility models 0 1 1 5 0 3 5 14
The Multivariate Fractional Ornstein-Uhlenbeck Process 0 1 10 10 0 1 10 10
Total Working Papers 0 5 36 269 2 13 60 341

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA 0 0 0 2 0 0 2 19
Density estimates and short-time asymptotics for a hypoelliptic diffusion process 0 1 1 1 0 1 2 8
Extreme at-the-money skew in a local volatility model 0 0 0 9 0 3 7 58
Local volatility under rough volatility 0 4 4 4 3 8 8 8
Maximum likelihood drift estimation for a threshold diffusion 0 0 1 1 0 0 3 11
Multi-scaling of moments in stochastic volatility models 0 0 0 0 0 0 0 11
Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models 0 1 2 2 0 1 3 5
Short-dated smile under rough volatility: asymptotics and numerics 0 0 0 1 0 1 2 6
Total Journal Articles 0 6 8 20 3 14 27 126

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Statistics updated 2025-07-04