Published and accepted papers:

• F. Giorgi, S. Herzel, P. Pigato. A Reinforcement Learning Algorithm for Trading Commodities. Applied Stochastic Models in Business and Industry, 40(2), 373-388, 2024. [journal - ssrn]

• S. Mazzonetto, P. Pigato. Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations. Statistica Sinica, 34, 313-336, 2024. [journal - supplementary material - arxiv]

• G. Giorgio, B. Pacchiarotti, P. Pigato. Short-time asymptotics for non self-similar stochastic volatility models. Applied Mathematical Finance, 30(3), 123-152, 2023. [journal - arxiv]

• F. Bourgey, S. De Marco, P. K. Friz, P. Pigato. Local volatility under rough volatility. Mathematical Finance, 33(4), 1119-1145, 2023. [journal - arxiv]

• C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, V. Spokoiny. Reinforced optimal control. Communications in Mathematical Sciences, 20(7), 1951-1978, 2022. [journal - arxiv]

• P. K. Friz, P. Gassiat, P. Pigato. Short-dated smile under Rough Volatility: asymptotics and numerics. Quantitative Finance, 22(3), 463-480, 2022. [journal - arxiv] 

• P. Pigato. Density estimates and short-time asymptotics for a hypoelliptic diffusion process. Stochastic Processes and Their Applications, 145, 117-142, 2022. [journal - arxiv]

• C. Bayer, F. Harang, P. Pigato. Log-modulated rough stochastic volatility models. SIAM Journal on Financial Mathematics, 12(3), 1257-1284, 2021.  [journal - arxiv - ssrn]

• C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers. Randomized optimal stopping algorithms and their convergence analysis. SIAM Journal on Financial Mathematics, 12(3), 1201–1225, 2021. [journal - arxiv]

• P. K. Friz, P. Pigato, J. Seibel. The Step Stochastic Volatility Model. Risk magazine, June 2021. [journal - ssrn]

• P. K. Friz, P. Gassiat, P. Pigato. Precise asymptotics: Robust stochastic volatility models. The Annals of Applied Probability, 31(2), 896-940, 2021. [journal - arxiv]

• A. Lejay, P. Pigato. Maximum likelihood drift estimation for a threshold diffusion.  Scandinavian Journal of Statistics, 47, 609-637, 2020. [journal - arxiv]

• P. Pigato. Extreme at-the-money skew in a local volatility model. Finance and Stochastics, 23(4),827-859, 2019. [journal - wias preprint - published version (open access, view only)]

• V. Bally, L. Caramellino, P. Pigato. Tube estimates for diffusions under a local strong Hörmander condition. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 55(4), 2320-2369, 2019. [journal - accepted version - arxiv part I, part II]

• A. Lejay, P. Pigato. A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. International Journal of Theoretical and Applied Finance, 22(04), 1–24, 2019. [journal - ssrn - arxiv]

• A. Lejay, P. Pigato. Statistical estimation of the Oscillating Brownian Motion. Bernoulli, 24:(4B), 3568-3602, 2018. [journal - arxiv]

• P. Pigato. Tube estimates for diffusion processes under a weak Hörmander condition.  Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 54(1), 299-342, 2018. [journal - arxiv]

• P. Dai Pra, P. Pigato. Multi-scaling of Moments in Stochastic volatility models. Stochastic Processes and Their Applications, 125(10), 3725-3747, 2015. [journal - arxiv]

Preprints under review:

• S. Mazzonetto, P. Pigato. Estimation of parameters and local times in a discretely observed threshold diffusion model, 2024. [arxiv]

Other works:

• 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, P. Pigato. Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. Inria 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:

• Estimation of piecewise-constant coefficients in a SDE Talk given on August 21, 2019, at the 62nd ISI World Statistics Congress (Kuala Lumpur)

• Density and tube estimates for diffusion processes under Hörmander-type conditions Talk given on February 28, 2019 at the department of Statistics of Bologna University

• Multiscaling of moments in stochastic volatility models Talk given on September 2, 2014, at the 7th European Summer School in Financial Mathematics (Oxford)