Andrea Pascucci
Names
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Andrea |
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Pascucci |
Identifer
Contact
Affiliations
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Alma Mater Studiorum - Università di Bologna → Dipartimento di Matematica
- http://www.dm.unibo.it/
- location: Italy, Bologna
Research profile
author of:
- Obstacle problem for Arithmetic Asian options (RePEc:arx:papers:0910.4257)
by Laura Monti & Andrea Pascucci - Dynamic Credit Investment in Partially Observed Markets (RePEc:arx:papers:1303.2950)
by Agostino Capponi & Jose Enrique Figueroa Lopez & Andrea Pascucci - Pricing approximations and error estimates for local L\'evy-type models with default (RePEc:arx:papers:1304.1849)
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci - Explicit implied volatilities for multifactor local-stochastic volatility models (RePEc:arx:papers:1306.5447)
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci - A Taylor series approach to pricing and implied vol for LSV models (RePEc:arx:papers:1308.5019)
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci - Analytical expansions for parabolic equations (RePEc:arx:papers:1312.3314)
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci - A family of density expansions for L\'evy-type processes (RePEc:arx:papers:1312.7328)
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci - Asymptotics for $d$-dimensional L\'evy-type processes (RePEc:arx:papers:1404.3153)
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci - Leveraged {ETF} implied volatilities from {ETF} dynamics (RePEc:arx:papers:1404.6792)
by Tim Leung & Matthew Lorig & Andrea Pascucci - Pricing Bermudan options under local L\'evy models with default (RePEc:arx:papers:1604.08735)
by Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci - Systemic risk in a mean-field model of interbank lending with self-exciting shocks (RePEc:arx:papers:1710.00231)
by Anastasia Borovykh & Andrea Pascucci & Stefano la Rovere - PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model (RePEc:arx:papers:1905.01099)
by M. C. Calvo-Garrido & S. Diop & A. Pascucci & C. V'azquez - Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models (RePEc:arx:papers:1905.01706)
by Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee - Explicit Implied Volatilities For Multifactor Local-Stochastic Volatility Models (RePEc:bla:mathfi:v:27:y:2017:i:3:p:926-960)
by Matthew Lorig & Stefano Pagliarani & Andrea Pascucci - Leveraged Etf Implied Volatilities From Etf Dynamics (RePEc:bla:mathfi:v:27:y:2017:i:4:p:1035-1068)
by Tim Leung & Matthew Lorig & Andrea Pascucci - Black-Scholes formulae for Asian options in local volatility models (RePEc:bot:quadip:wpaper:111)
by Paolo Foschi & Stefano Pagliarani & Andrea Pascucci - Calibration of a path-dependent volatility model: Empirical tests (RePEc:eee:csdana:v:53:y:2009:i:6:p:2219-2235)
by Foschi, Paolo & Pascucci, Andrea - Numerical solution of kinetic SPDEs via stochastic Magnus expansion (RePEc:eee:matcom:v:207:y:2023:i:c:p:189-208)
by Kamm, Kevin & Pagliarani, Stefano & Pascucci, Andrea - Intrinsic expansions for averaged diffusion processes (RePEc:eee:spapps:v:127:y:2017:i:8:p:2560-2585)
by Pagliarani, S. & Pascucci, A. & Pignotti, M. - The parametrix method for parabolic SPDEs (RePEc:eee:spapps:v:130:y:2020:i:10:p:6226-6245)
by Pascucci, Andrea & Pesce, Antonello - Harnack inequality and no-arbitrage bounds for self-financing portfolios (RePEc:pra:mprapa:15665)
by Carciola, Alessandro & Pascucci, Andrea & Polidoro, Sergio - Analytical approximation of the transition density in a local volatility model (RePEc:pra:mprapa:31107)
by Pagliarani, Stefano & Pascucci, Andrea - Expansion formulae for local Lévy models (RePEc:pra:mprapa:34571)
by Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga - Mathematical analysis and numerical methods for pricing pension plans allowing early retirement (RePEc:pra:mprapa:36494)
by Calvo-Garrido, Maria del Carmen & Pascucci, Andrea & Vázquez Cendón, Carlos - Free boundary and optimal stopping problems for American Asian options (RePEc:pra:mprapa:4766)
by Andrea, Pascucci - Path dependent volatility (RePEc:pra:mprapa:973)
by Pascucci, Andrea & Foschi, Paolo - Degenerate Kolmogorov equations in option pricing (RePEc:sce:scecfa:268)
by Andrea Pascucci & Francesco Corielli - Path dependent volatility (RePEc:spr:decfin:v:31:y:2008:i:1:p:13-32)
by Paolo Foschi & Andrea Pascucci - Free boundary and optimal stopping problems for American Asian options (RePEc:spr:finsto:v:12:y:2008:i:1:p:21-41)
by Andrea Pascucci - Dynamic credit investment in partially observed markets (RePEc:spr:finsto:v:19:y:2015:i:4:p:891-939)
by Agostino Capponi & José Figueroa-López & Andrea Pascucci - The exact Taylor formula of the implied volatility (RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0330-x)
by Stefano Pagliarani & Andrea Pascucci - Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model (RePEc:taf:apmtfi:v:25:y:2018:i:4:p:336-360)
by Sidy Diop & Andrea Pascucci & Marco Di Francesco & Gian Luca De Marchi - Systemic risk in a mean-field model of interbank lending with self-exciting shocks (RePEc:taf:uiiexx:v:50:y:2018:i:9:p:806-819)
by Anastasia Borovykh & Andrea Pascucci & Stefano La Rovere - On the complete model with stochastic volatility by Hobson and Rogers (RePEc:wpa:wuwpfi:0503013)
by Andrea Pascucci & Marco Di Francesco - On the viscosity solutions of a stochastic differential utility problem (RePEc:wpa:wuwpfi:0503021)
by Fabio Antonelli & Andrea Pascucci - Calibration of the Hobson&Rogers model: empirical tests (RePEc:wpa:wuwpfi:0509020)
by Andrea Pascucci & Paolo Foschi - Local Stochastic Volatility With Jumps: Analytical Approximations (RePEc:wsi:ijtafx:v:16:y:2013:i:08:n:s0219024913500507)
by Stefano Pagliarani & Andrea Pascucci