Citation profile for Paolo Pigato

Paolo Pigato : Citation Profile

Università degli Studi di Roma "Tor Vergata"

H index

i10 index

Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   8 years (2015 - 2023). See details.
   Cites by year: 3
   Journals where Paolo Pigato has often published
   Relations with other researchers
   Recent citing documents: 4.    Total self citations: 13 (30.95 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppi538
   Updated: 2024-04-18    RAS profile: 2024-04-07
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Paolo Pigato.

Is cited by:

Cites to:

Decamps, Marc (4)

Calvet, Laurent (3)

Fisher, Adlai (3)

Scaillet, Olivier (3)

Bollerslev, Tim (2)

Shephard, Neil (2)

Poterba, James (2)

Sarno, Lucio (2)

Paudyal, Krishna (2)

zhao, bin (2)

Summers, Lawrence (2)

Main data

Where Paolo Pigato has published?

Journals with more than one article published	# docs
Stochastic Processes and their Applications	2

Working Papers Series with more than one paper published	# docs
Papers / arXiv.org	8
Working Papers / HAL	2

Recent works citing Paolo Pigato (2024 and 2023)

Year	Title of citing document
2023	On the skew and curvature of implied and local volatilities. (2022). Pravosud, Makar ; Garc, David ; Alos, Elisa. In: Papers. RePEc:arx:papers:2205.11185. Full description at Econpapers \|\| Download paper
2023	Extreme ATM skew in a local volatility model with discontinuity: joint density approach. (2023). Shcherbakov, Vadim ; Gairat, Alexander. In: Papers. RePEc:arx:papers:2305.10849. Full description at Econpapers \|\| Download paper
2024	Path-dependent PDEs for volatility derivatives. (2023). Pannier, Alexandre. In: Papers. RePEc:arx:papers:2311.08289. Full description at Econpapers \|\| Download paper
2023	Coupled Price–Volume Equity Models with Auto-Induced Regime Switching. (2023). Krasii, Nadezhda P ; Esquivel, Manuel L ; Shamraeva, Victoria V ; Mota, Pedro P. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:203-:d:1282722. Full description at Econpapers \|\| Download paper

Works by Paolo Pigato:

Year	Title	Type	Cited
2016	A multivariate model for financial indices and an algorithm for detection of jumps in the volatility In: Papers. [Full Text][Citation analysis]	paper	0
2016	A multivariate model for financial indices and an algorithm for detection of jumps in the volatility.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0	paper
2019	A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data In: Papers. [Full Text][Citation analysis]	paper	3
2019	A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data.(2019) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3	paper
2019	A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA.(2019) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3	article
2020	Precise asymptotics: robust stochastic volatility models In: Papers. [Full Text][Citation analysis]	paper	6
2020	Randomized optimal stopping algorithms and their convergence analysis In: Papers. [Full Text][Citation analysis]	paper	0
2021	Log-modulated rough stochastic volatility models In: Papers. [Full Text][Citation analysis]	paper	7
2021	Short dated smile under Rough Volatility: asymptotics and numerics In: Papers. [Full Text][Citation analysis]	paper	3
2022	Short-dated smile under rough volatility: asymptotics and numerics.(2022) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3	article
2022	Local volatility under rough volatility In: Papers. [Full Text][Citation analysis]	paper	2
2023	Short-time asymptotics for non self-similar stochastic volatility models In: Papers. [Full Text][Citation analysis]	paper	0
2023	Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models.(2023) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0	article
2020	Maximum likelihood drift estimation for a threshold diffusion In: Scandinavian Journal of Statistics. [Full Text][Citation analysis]	article	0
2015	Multi-scaling of moments in stochastic volatility models In: Stochastic Processes and their Applications. [Full Text][Citation analysis]	article	2
2022	Density estimates and short-time asymptotics for a hypoelliptic diffusion process In: Stochastic Processes and their Applications. [Full Text][Citation analysis]	article	0
2017	Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data In: Working Papers. [Full Text][Citation analysis]	paper	2
2023	A Reinforcement Learning Algorithm for Trading Commodities In: CEIS Research Paper. [Full Text][Citation analysis]	paper	0
2019	Extreme at-the-money skew in a local volatility model In: Finance and Stochastics. [Full Text][Citation analysis]	article	4