Paolo Pigato
- The multivariate fractional Ornstein-Uhlenbeck process
2024/08/06 by Ranieri Dugo, Giacomo Giorgio, Dugo, Ranieri +3 · 1 citation
Mathematics · #60F05 #62F12 #62M09 #FOS: Computer and information sciences #FOS: Mathematics #Fractional Differential Equations Solutions #Methodology (stat.ME) #Nonlinear Differential Equations Analysis #Primary 60G15 #Probability (math.PR) #Statistical Distribution Estimation and Applications #secondary: 60G22
- Pricing options on illiquid assets using liquid market benchmarks: an application to energy markets
2026/07/21 by Federico Aluigi, Lucia Caramellino, Paolo Pigato +1 · 1 voice
#q-fin.CP #q-fin.PR #stat.CO