|
|
Statistical estimation of the Oscillating Brownian Motion
Antoine Lejay
,
Paolo Pigato
Article dans une revue
hal-01430794v3
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Short dated smile under Rough Volatility: asymptotics and numerics
Peter K. Friz
,
Paul Gassiat
,
Paolo Pigato
Article dans une revue
hal-03099744v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Tube estimates for hypoelliptic diffusions and scaling properties of stochastic volatility models
Paolo Pigato
Thèse
tel-01323956v2
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
Antoine Lejay
,
Paolo Pigato
Article dans une revue
hal-01669082v5
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Maximum likelihood drift estimation for a threshold diffusion
Antoine Lejay
,
Paolo Pigato
Article dans une revue
hal-01731566v3
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
Mario Bonino
,
Matteo Camelia
,
Paolo Pigato
2016
Pré-publication, Document de travail
hal-01408495v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
Antoine Lejay
,
Paolo Pigato
[Technical Report] RT-0494, Inria Nancy - Grand Est; Weierstrass Institute. 2017, pp.1-24
Rapport
hal-01668975v3
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Estimation of parameters and local times in a discretely observed threshold diffusion model
Sara Mazzonetto
,
Paolo Pigato
2024
Pré-publication, Document de travail
hal-04500135v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Multi-scaling of moments in stochastic volatility models
Paolo Dai Pra
,
Paolo Pigato
Article dans une revue
hal-01407443v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Tube estimates for diffusions under a local strong Hörmander condition
Vlad Bally
,
Lucia Caramellino
,
Paolo Pigato
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2019, 55 (4), pp.2320--2369. ⟨10.1214/18-AIHP950⟩
Article dans une revue
hal-01413546v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Tube estimates for diffusion processes under a weak Hörmander condition
Paolo Pigato
2016
Pré-publication, Document de travail
hal-01407436v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Precise asymptotics: robust stochastic volatility models
Peter K. Friz
,
Paul Gassiat
,
Paolo Pigato
Article dans une revue
hal-03099736v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|
|
|
Diffusions under a local strong Hörmander condition. Part II: tube estimates
Vlad Bally
,
Lucia Caramellino
,
Paolo Pigato
2016
Pré-publication, Document de travail
hal-01407420v1
|
Partager
Gmail
Facebook
X
LinkedIn
More
|