| Precise asymptotics: robust stochastic volatility models PK Friz, P Gassiat, P Pigato The Annals of Applied Probability 31 (2), 896-940, 2021 | 43 | 2021 |
| Statistical estimation of the oscillating Brownian motion A Lejay, P Pigato Bernoulli 24 (4B), 3568-3602, 2018 | 37 | 2018 |
| A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data A Lejay, P Pigato International Journal of Theoretical and Applied Finance 22 (04), 1950017, 2019 | 24 | 2019 |
| Extreme at-the-money skew in a local volatility model P Pigato Finance and Stochastics 23 (4), 827-859, 2019 | 23 | 2019 |
| Maximum likelihood drift estimation for a threshold diffusion A Lejay, P Pigato Scandinavian Journal of Statistics 47 (3), 609-637, 2020 | 19* | 2020 |
| Log-modulated rough stochastic volatility models C Bayer, FA Harang, P Pigato SIAM Journal on Financial Mathematics 12 (3), 1257-1284, 2021 | 16 | 2021 |
| Tube estimates for diffusion processes under a weak Hörmander condition P Pigato Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54 (1 …, 2018 | 14 | 2018 |
| Short-dated smile under rough volatility: asymptotics and numerics PK Friz, P Gassiat, P Pigato Quantitative Finance 22 (3), 463-480, 2022 | 13 | 2022 |
| Tube estimates for diffusions under a local strong Hörmander condition V Bally, L Caramellino, P Pigato Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 55 (4 …, 2019 | 9* | 2019 |
| Density estimates and short-time asymptotics for a hypoelliptic diffusion process P Pigato Stochastic Processes and their Applications 145, 117-142, 2022 | 8 | 2022 |
| Local volatility under rough volatility F Bourgey, S De Marco, PK Friz, P Pigato arXiv preprint arXiv:2204.02376, 2022 | 7 | 2022 |
| The step stochastic volatility model P Friz, P Pigato, J Seibel RISK, 2021 | 7* | 2021 |
| Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations S Mazzonetto, P Pigato arXiv preprint arXiv:2008.12653, 2020 | 7 | 2020 |
| Randomized optimal stopping algorithms and their convergence analysis C Bayer, D Belomestny, P Hager, P Pigato, J Schoenmakers SIAM Journal on Financial Mathematics 12 (3), 1201-1225, 2021 | 6 | 2021 |
| Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data A Lejay, P Pigato Inria Nancy-Grand Est; Weierstrass Institute, 2017 | 4 | 2017 |
| Multi-scaling of moments in stochastic volatility models P Dai Pra, P Pigato Stochastic Processes and their Applications 125 (10), 3725-3747, 2015 | 4 | 2015 |
| A multivariate model for financial indices and an algorithm for detection of jumps in the volatility M Bonino, M Camelia, P Pigato arXiv preprint arXiv:1404.7632, 2014 | 3 | 2014 |
| A Reinforcement Learning Algorithm for Trading Commodities F Giorgi, S Herzel, P Pigato CEIS Working Paper, 2023 | 2 | 2023 |
| Short-time asymptotics for non self-similar stochastic volatility models G Giorgio, B Pacchiarotti, P Pigato arXiv preprint arXiv:2204.10103, 2022 | 2 | 2022 |
| Tube estimates for hypoelliptic diffusions and scaling properties of stochastic volatility models P Pigato Université Paris-Est, 2015 | 2 | 2015 |
Antoine LejayInstitut Elie Cartan de Lorraine; InriaVerified email at univ-lorraine.fr
