Paolo Pigato : Citation Profile

Università degli Studi di Roma "Tor Vergata"

5

H index

1

i10 index

53

Citations

RESEARCH PRODUCTION:

8

Articles

16

Papers

RESEARCH ACTIVITY:

   10 years (2015 - 2025). See details.
   Cites by year: 5
   Journals where Paolo Pigato has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 16 (23.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppi538
   Updated: 2026-01-17    RAS profile: 2025-01-08    
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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:

Boyarchenko, Svetlana (1)

Pallavicini, Andrea (1)

Yu, Jun (1)

Cites to:

Decamps, Marc (4)

Fisher, Adlai (3)

Scaillet, Olivier (3)

Calvet, Laurent (3)

merton, robert (2)

Bollerslev, Tim (2)

Dacorogna, Michel (2)

Poterba, James (2)

Diebold, Francis (2)

Sarno, Lucio (2)

Summers, Lawrence (2)

Main data

Where Paolo Pigato has published?

Journals with more than one article published# docs
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org9
CEIS Research Paper / Tor Vergata University, CEIS4
Working Papers / HAL2

Recent works citing Paolo Pigato (2025 and 2024)

YearTitle of citing document
2024Short-time expansion of characteristic functions in a rough volatility setting with applications. (2024). Todorov, Viktor ; Chong, Carsten. In: Papers. RePEc:arx:papers:2208.00830.

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2024Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). , Shaun ; Jaber, Eduardo Abi ; Illand, Camille. In: Papers. RePEc:arx:papers:2212.08297.

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2024Extreme ATM skew in a local volatility model with discontinuity: joint density approach. (2024). Shcherbakov, Vadim ; Gairat, Alexander. In: Papers. RePEc:arx:papers:2305.10849.

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2025Path-dependent PDEs for volatility derivatives. (2024). Pannier, Alexandre. In: Papers. RePEc:arx:papers:2311.08289.

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2025On short-time behavior of implied volatility in a market model with indexes. (2025). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509.

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2024Computing the SSR. (2024). Friz, Peter K ; Gatheral, Jim. In: Papers. RePEc:arx:papers:2406.16131.

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2024Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts. (2024). Wiedermann, Kristof ; Gerhold, Stefan ; Friesen, Martin. In: Papers. RePEc:arx:papers:2412.15971.

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2024Correct implied volatility shapes and reliable pricing in the rough Heston model. (2024). Boyarchenko, Svetlana ; Levendorskivi, Sergei. In: Papers. RePEc:arx:papers:2412.16067.

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2025A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai. In: Papers. RePEc:arx:papers:2504.03445.

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2024Maximum likelihood estimator for skew Brownian motion: The convergence rate. (2024). Mazzonetto, Sara ; Lejay, Antoine. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:2:p:612-642.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2025Stochastic volatility model with long memory for water quantity-quality dynamics. (2025). Yoshioka, Hidekazu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:195:y:2025:i:c:s0960077925001808.

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2025Analysis of threshold Ornstein–Uhlenbeck process with piecewise linear drift and piecewise constant diffusion. (2025). Sun, Zhuowei ; Zhang, Dingwen. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:199:y:2025:i:p2:s0960077925006721.

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2025Implied local volatility models. (2025). Li, Chenxu ; Xu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001014.

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2024Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Jaber, Eduardo Abi ; Li, Shaun Xiaoyuan ; Illand, Camille. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03902513.

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2024Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-03902513.

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2025A Stochastic Volatility Approximation for a Tick-By-Tick Price Model with Mean-Field Interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai. In: CEIS Research Paper. RePEc:rtv:ceisrp:596.

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2024Short-time implied volatility of additive normal tempered stable processes. (2024). Baviera, Roberto ; Azzone, Michele. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04894-y.

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2024Arbitrage problems with reflected geometric Brownian motion. (2024). Hulley, Hardy ; Dowd, Kevin ; Buckner, Dean. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:1:d:10.1007_s00780-023-00525-x.

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2024Extreme ATM skew in a local volatility model with discontinuity: joint density approach. (2024). Gairat, Alexander ; Shcherbakov, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00545-1.

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2024Determining the Number and Values of Thresholds for Multi-regime Threshold Ornstein–Uhlenbeck Processes. (2024). Zhang, Dingwen. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:4:d:10.1007_s10959-024-01343-3.

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Works by Paolo Pigato:

YearTitleTypeCited
2016A multivariate model for financial indices and an algorithm for detection of jumps in the volatility In: Papers.
[Full Text][Citation analysis]		paper0
2016A 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
2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data In: Papers.
[Full Text][Citation analysis]		paper8
2019A 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: 8		paper
2019A 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: 8		article
2020Precise asymptotics: robust stochastic volatility models In: Papers.
[Full Text][Citation analysis]		paper6
2020Randomized optimal stopping algorithms and their convergence analysis In: Papers.
[Full Text][Citation analysis]		paper0
2021Log-modulated rough stochastic volatility models In: Papers.
[Full Text][Citation analysis]		paper10
2021Short dated smile under Rough Volatility: asymptotics and numerics In: Papers.
[Full Text][Citation analysis]		paper7
2022Short-dated smile under rough volatility: asymptotics and numerics.(2022) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2022Local volatility under rough volatility In: Papers.
[Full Text][Citation analysis]		paper3
2023Local volatility under rough volatility.(2023) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2023Short-time asymptotics for non self-similar stochastic volatility models In: Papers.
[Full Text][Citation analysis]		paper1
2023Short-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: 1		article
2025Multivariate Rough Volatility In: Papers.
[Full Text][Citation analysis]		paper0
2024Multivariate Rough Volatility.(2024) In: CEIS Research Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2020Maximum likelihood drift estimation for a threshold diffusion In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article3
2015Multi-scaling of moments in stochastic volatility models In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article4
2022Density estimates and short-time asymptotics for a hypoelliptic diffusion process In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
2017Data 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]		paper2
2023A Reinforcement Learning Algorithm for Trading Commodities In: CEIS Research Paper.
[Full Text][Citation analysis]		paper0
2024The Multivariate Fractional Ornstein-Uhlenbeck Process In: CEIS Research Paper.
[Full Text][Citation analysis]		paper1
2024A Reinforcement Learning Algorithm For Option Hedging In: CEIS Research Paper.
[Full Text][Citation analysis]		paper0
2019Extreme at-the-money skew in a local volatility model In: Finance and Stochastics.
[Full Text][Citation analysis]		article8

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