WIAS Preprint List: Pigato, Paolo
- 2792: Bayer, Christian; Belomestny, Denis; Hager, Paul; Pigato, Paolo; Schoenmakers, John G. M.; Spokoiny, Vladimir
Reinforced optimal control
Appeared in: Comm. Math. Sci., 20 (2022), pp. 1951--1978, DOI 10.4310/CMS.2022.v20.n7.a7 . - 2752: Bayer, Christian; Harang, Fabian; Pigato, Paolo
Log-modulated rough stochastic volatility models
Appeared in: SIAM J. Financial Math., 12 (2021), pp. 1257--1284, DOI 10.1137/20M135902X . - 2697: Bayer, Christian; Belomestny, Denis; Hager, Paul; Pigato, Paolo; Schoenmakers, John G. M.
Randomized optimal stopping algorithms and their convergence analysis
Appeared in: SIAM J. Financial Math., 12 (2021), pp. 1201--1225, DOI 10.1137/20M1373876 . - 2497: Antoine, Lejay; Pigato, Paolo
Maximum likelihood drift estimation for a threshold diffusion
Appeared in: , (2019), published online on 23.10.2019, DOI 10.1111/sjos.12417 . - 2468: Pigato, Paolo
Extreme at-the-money skew in a local volatility model
Appeared in: Finance Stoch., 23 (2019), pp. 827--859, DOI 10.1007/s00780-019-00406-2 . - 2467: Lejay, Antoine; Pigato, Paolo
A threshold model for local volatility: Evidence of leverage and mean reversion effects on historical data
Appeared in: Int. J. Theor. Appl. Finance, 22 (2019), published online on 29.05.2019, DOI 10.1142/S0219024919500171 .