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Tube estimates for hypoelliptic diffusions and scaling properties of stochastic volatility models

 Paolo Pigato
General Mathematics [math.GM]. Université Paris-Est, 2015. English. ⟨NNT : 2015PESC1029⟩
Thèse tel-01323956v2
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Statistical estimation of the Oscillating Brownian Motion

 Antoine Lejay , Paolo Pigato
Bernoulli, 2018, 24 (4B), pp.3568-3602. ⟨10.3150/17-BEJ969⟩
Article dans une revue hal-01430794v3
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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

Short dated smile under Rough Volatility: asymptotics and numerics

 Peter K. Friz , Paul Gassiat , Paolo Pigato
Quantitative Finance, 2021, ⟨10.1080/14697688.2021.1999486⟩
Article dans une revue hal-03099744v1
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A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

 Antoine Lejay , Paolo Pigato
International Journal of Theoretical and Applied Finance, In press, ⟨10.1142/S0219024919500171⟩
Article dans une revue hal-01669082v5
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Multi-scaling of moments in stochastic volatility models

 Paolo Dai Pra , Paolo Pigato
Stochastic Processes and their Applications, 2015, 125 (10), pp.3725-3747. ⟨10.1016/j.spa.2015.04.007⟩
Article dans une revue hal-01407443v1
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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

Precise asymptotics: robust stochastic volatility models

 Peter K. Friz , Paul Gassiat , Paolo Pigato
The Annals of Applied Probability, 2021, ⟨10.1214/20-AAP1608⟩
Article dans une revue hal-03099736v1
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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
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Tube estimates for diffusion processes under a weak Hörmander condition

 Paolo Pigato
2016
Pré-publication, Document de travail hal-01407436v1
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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
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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
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Maximum likelihood drift estimation for a threshold diffusion

 Antoine Lejay , Paolo Pigato
Scandinavian Journal of Statistics, 2020, 47 (3), pp.29. ⟨10.1111/sjos.12417⟩
Article dans une revue hal-01731566v3
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