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 4 4 4 0 5 5 5
A Reinforcement Learning Algorithm for Trading Commodities 0 2 4 14 0 3 11 29
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility 0 0 0 21 0 1 1 18
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 threshold model for local volatility: evidence of leverage and mean reversion effects on historical data 0 0 1 44 0 0 3 39
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data 0 0 0 8 1 2 3 34
Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data 0 0 0 37 1 1 3 29
Local volatility under rough volatility 0 0 3 16 0 0 4 26
Log-modulated rough stochastic volatility models 0 0 0 3 0 0 0 14
Multivariate Rough Volatility 0 12 12 12 1 8 8 8
Multivariate Rough Volatility 0 0 0 0 2 5 5 5
Precise asymptotics: robust stochastic volatility models 0 0 1 19 0 0 1 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 0 0 0 12
Short-time asymptotics for non self-similar stochastic volatility models 0 0 0 4 0 0 2 11
The Multivariate Fractional Ornstein-Uhlenbeck Process 1 1 9 9 2 4 9 9
Total Working Papers 1 19 34 262 7 29 55 325

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 2 2 19
Density estimates and short-time asymptotics for a hypoelliptic diffusion process 0 0 0 0 0 0 1 7
Extreme at-the-money skew in a local volatility model 0 0 1 9 0 1 7 55
Local volatility under rough volatility 0 0 0 0 0 0 0 0
Maximum likelihood drift estimation for a threshold diffusion 0 0 1 1 1 1 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 1 1 1 1 2 2 4 4
Short-dated smile under rough volatility: asymptotics and numerics 0 0 0 1 1 1 2 5
Total Journal Articles 1 1 3 14 4 7 19 112

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Statistics updated 2025-03-03