Paolo Pigato

My research is founded by the ERC project Geometric aspects in pathwise stochastic analysis and related topics.

Contact

E-mail:   pigato.p@gmail.com, paolo.pigato@wias-berlin.de

Address:  Weierstrass Institute

Mohrenstrasse 39

10117 Berlin, Germany 

Office:   room 0.01, Hausvogteiplatz 11

Phone:    +49 30 20372-453


Research

I am interested in probability and mathematical statistics. My domain of expertise is applied stochastic analysis, in particular in the modelling of volatility in finance.  At the moment, I work on models producing extreme skews in the implied volatility surface (e.g. rough volatility models). I also work on statistics for diffusion processes with discontinuous coefficients (continuous time regime-switching models). During my Ph.D. I studied hypoelliptic diffusion processes, using the Malliavin calculus as main tool, to obtain density and tube estimates. I also worked on stylized facts of financial markets, such as scaling properties and decay of correlations.


Publications

Published and accepted papers:

Preprints:

Technical reports:

My PhD thesis:   

Selected talks:

Positions

04/2017-present: Postdoctoral researcher at WIAS Berlin, research group Stochastic Algorithms and Nonparametric Statistics.

11/2015-03/2017: Postdoctoral researcher at Inria Nancy-Grand Est, Tosca team.

Education

2012-2015: Ph.D. in mathematics, Université Paris-Est and Università di Padova. Advisors: Vlad Bally and Paolo Dai Pra.

           Thesis title: Tube estimates for hypoelliptic diffusions and scaling properties of stochastic volatility models.

2011-2012: Master in Mathematical Finance, Université Marne-la-Vallée, Ecole des Ponts ParisTech (mention très bien).

2006-2011: Scuola Galileiana di Studi Superiori di Padova (summa cum Laude).

2009-2011: Master in Applied Mathematics, Università di Padova (summa cum Laude).

2006-2009: Bachelor in Mathematics, Università di Padova (summa cum Laude).

Teaching

  • Course "Calcul integral" for master students in Financial Engineering at Université de Lorraine (2016)
  • Mini-course "Introduction to Malliavin Calculus" for master and PhD students at Ritsumeikan University, Kyoto (2015)
  • Teaching assistant of the course "Probabilités" for bachelor students in Economics at Université Marne-la-Vallée (2014)
  • Teaching assistant of the course "Analisi 1" for bachelor students in Mathematics at Università di Padova (2013)
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Paolo Pigato,
12 dic 2018, 10:42