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 18 19
A Reinforcement Learning Algorithm for Trading Commodities 0 0 2 14 2 4 10 37
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility 0 0 0 21 0 0 0 18
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility 0 0 0 61 1 1 2 46
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data 0 0 0 44 1 4 6 45
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data 0 0 0 8 0 6 10 42
Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data 0 0 0 37 3 6 8 36
Local volatility under rough volatility 0 0 0 16 0 0 3 29
Log-modulated rough stochastic volatility models 0 0 0 3 1 2 3 17
Multivariate Rough Volatility 0 0 1 1 1 3 13 14
Multivariate Rough Volatility 0 0 14 14 5 7 18 19
Precise asymptotics: robust stochastic volatility models 0 0 0 19 3 3 5 35
Randomized optimal stopping algorithms and their convergence analysis 0 0 0 3 0 3 3 15
Short dated smile under Rough Volatility: asymptotics and numerics 0 0 0 7 1 3 5 17
Short-time asymptotics for non self-similar stochastic volatility models 0 0 1 5 1 2 6 17
The Multivariate Fractional Ornstein-Uhlenbeck Process 0 1 3 11 1 6 12 18
Total Working Papers 0 1 27 270 24 55 122 424

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 2 4 22
Density estimates and short-time asymptotics for a hypoelliptic diffusion process 0 0 1 1 0 0 1 8
Extreme at-the-money skew in a local volatility model 0 2 4 13 2 5 13 68
Local volatility under rough volatility 0 0 4 4 3 4 13 13
Maximum likelihood drift estimation for a threshold diffusion 0 0 0 1 1 1 4 14
Multi-scaling of moments in stochastic volatility models 0 0 0 0 2 3 3 14
Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models 0 0 2 2 1 2 6 8
Short-dated smile under rough volatility: asymptotics and numerics 0 0 0 1 1 1 4 8
Total Journal Articles 0 2 11 24 11 18 48 155

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Statistics updated 2026-01-09