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 0 6 6 4 5 13 13
A Reinforcement Learning Algorithm for Trading Commodities 0 0 3 14 1 3 8 33
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 44 1 1 3 41
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data 0 0 0 8 2 2 5 36
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 1 4 30
Local volatility under rough volatility 0 0 1 16 0 2 5 29
Log-modulated rough stochastic volatility models 0 0 0 3 0 1 1 15
Multivariate Rough Volatility 0 0 14 14 1 1 12 12
Multivariate Rough Volatility 0 0 1 1 3 4 10 10
Precise asymptotics: robust stochastic volatility models 0 0 0 19 1 2 2 32
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 2 2 14
Short-time asymptotics for non self-similar stochastic volatility models 0 0 1 5 0 1 6 15
The Multivariate Fractional Ornstein-Uhlenbeck Process 0 0 9 10 1 2 10 12
Total Working Papers 0 0 35 269 15 27 82 366

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 1 1 3 20
Density estimates and short-time asymptotics for a hypoelliptic diffusion process 0 0 1 1 0 0 2 8
Extreme at-the-money skew in a local volatility model 0 2 2 11 2 5 12 63
Local volatility under rough volatility 0 0 4 4 1 4 9 9
Maximum likelihood drift estimation for a threshold diffusion 0 0 1 1 1 2 4 13
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 0 2 2 0 1 4 6
Short-dated smile under rough volatility: asymptotics and numerics 0 0 0 1 1 1 3 7
Total Journal Articles 0 2 10 22 6 14 37 137

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Statistics updated 2025-09-05