Paolo Pigato

University of Rome Tor Vergata - Department of Economics and Finance

Via Columbia 2

Rome, Rome 00123

Italy

SCHOLARLY PAPERS

5

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844

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (5)

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1.

The Step Stochastic Volatility Model (SSVM)

Number of pages: 20 Posted: 04 Jun 2020
Peter Friz, Paolo Pigato and Jonathan Seibel
Technische Universität Berlin (TU Berlin), University of Rome Tor Vergata - Department of Economics and Finance and Munich Re
Downloads 469 (118,605)
Citation 1

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local stochastic volatility, implied volatility, implied skew, particle method

2.

A Reinforcement Learning Algorithm for Trading Commodities

CEIS Working Paper No. 552
Number of pages: 25 Posted: 21 Feb 2023 Last Revised: 27 Nov 2023
Federico Giorgi, Stefano Herzel and Paolo Pigato
University of Rome Tor Vergata - Department of Economics and Finance, University of Rome Tor Vergata - Faculty of Economics and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 241 (243,264)

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Portfolio Optimization, Reinforcement Learning, SARSA, Commodities, Threshold Models

3.

Log-Modulated Rough Stochastic Volatility Models

Number of pages: 28 Posted: 10 Aug 2020 Last Revised: 18 Jan 2021
Christian Bayer, Fabian Harang and Paolo Pigato
Weierstrass Institute, affiliation not provided to SSRN and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 87 (553,237)
Citation 1

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Rough Volatility Models, Stochastic Volatility, Rough Bergomi Model, Implied Skew, Fractional Brownian Motion, Log Brownian Motion

4.

A Threshold Model for Local Volatility: Evidence of Leverage and Mean Reversion Effects on Historical Data

Number of pages: 28 Posted: 30 Jan 2018 Last Revised: 24 Feb 2019
Antoine Lejay and Paolo Pigato
University of Lorraine and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 43 (782,306)
Citation 1

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Oscillating Brownian motion, leverage effect, realized volatility, mean-reversion, Self-Exciting Threshold Autoregressive model, Regime-Switch

5.

The Multivariate Fractional Ornstein-Uhlenbeck Process

CEIS Research paper No 581, Vol.22, Issue 4

, CEIS Working Paper No. 581
Number of pages: 41 Posted: 28 Aug 2024
Ranieri Dugo, Giacomo Giorgio and Paolo Pigato
University of Rome Tor Vergata - Department of Economics and Finance, University of Tor Vergata and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 4 (1,152,064)

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Fractional process, multivariate process, ergodic process, long-range dependence, cross-correlation, parameters inference, rough volatility