Access Statistics for Paolo Pigato
Author contact details at EconPapers.
| 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 | 5 | 7 | 26 |
| Density estimates and short-time asymptotics for a hypoelliptic diffusion process | 0 | 0 | 1 | 1 | 0 | 3 | 4 | 11 |
| Extreme at-the-money skew in a local volatility model | 0 | 0 | 4 | 13 | 0 | 4 | 15 | 70 |
| Local volatility under rough volatility | 0 | 0 | 4 | 4 | 5 | 15 | 25 | 25 |
| Maximum likelihood drift estimation for a threshold diffusion | 0 | 0 | 0 | 1 | 0 | 3 | 5 | 16 |
| Multi-scaling of moments in stochastic volatility models | 0 | 0 | 0 | 0 | 0 | 3 | 4 | 15 |
| Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models | 0 | 0 | 1 | 2 | 0 | 3 | 6 | 10 |
| Short-dated smile under rough volatility: asymptotics and numerics | 0 | 0 | 0 | 1 | 0 | 3 | 5 | 10 |
| Total Journal Articles | 0 | 0 | 10 | 24 | 6 | 39 | 71 | 183 |
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