Paolo Pigato

My research is funded by the MATH+ project Optimal control in energy markets using rough analysis and deep networks.

Contact


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

Address:  Weierstrass Institute

Mohrenstr. 39

10117 Berlin, Germany

Office:   Room 208

Phone:    +49 30 20372-484


Research

I am interested in probability, statistics and their application in finance and economics. My domain of expertise is applied stochastic analysis, in particular in the modelling of volatility.  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 PhD, I studied hypoelliptic diffusion processes, using the Malliavin calculus as the main tool, in order 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:

  • A. Lejay and P. Pigato. Maximum likelihood drift estimation for a threshold diffusion.  Scandinavian Journal of Statistics (to appear)[arxiv]
  • P. Pigato. Extreme at-the-money skew in a local volatility model. Finance and Stochastics, 23(4),827-859 (2019).  [journal versionwias preprint - published version (open access, view only)]
  • V. Bally, L. Caramellino and P. Pigato. Tube estimates for diffusions under a local strong Hörmander condition. Ann. Inst. H. Poincaré Probab. Statist. (to appear). [journal version]
  • A. Lejay and P. Pigato. A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. Int. J. Theor. Appl. Finance (published online). [journal version - arxiv]
  • A. Lejay and P. Pigato. Statistical estimation of the Oscillating Brownian Motion. Bernoulli, 24:(4B), 3568-3602 (2018). [journal version - arxiv]
  • P. Pigato. Tube estimates for diffusion processes under a weak Hörmander condition. Ann. Inst. H. Poincaré Probab. Statist., 54(1), 299-342 (2018). [journal version - arxiv]
  • P. Dai Pra and P. Pigato. Multi-scaling of Moments in Stochastic volatility models. Stochastic Process. Appl., 125(10), 3725-3747 (2015). [journal version - arxiv]

Preprints under review:

  • P. Friz, P. Gassiat and P. Pigato. Precise asymptotics: robust stochastic volatility models (2018). [arxiv]
Other works:

  • V. Bally, L. Caramellino and P. Pigato. Diffusions under a local strong Hörmander condition. Part I: density estimates (2016) [arxiv] and Diffusions under a local strong Hörmander condition. Part II: tube estimates (2016) [arxiv]. These two preprints have been merged into one and are going to be published on Ann. Inst. H. Poincaré Probab. Statist. (see Publications) 
  • M. Bonino, M. Camelia and P. Pigato. A multivariate model for financial indices and an algorithm for detection of jumps in the volatility (2014). [arxiv]

Technical reports:

  • A. Lejay and P. Pigato. Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical dataInria Technical Report RT-0494, 2017. [Hal]

My PhD thesis:   

  • P. Pigato. Tube estimates for hypoelliptic diffusions and scaling properties of stochastic volatility models. Ph.D. Thesis (2015), Università degli Studi di Padova and Université Paris-Est. [Hal]

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).

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Paolo Pigato,
12 dic 2018, 10:42