Details about Andrea Pascucci
Access statistics for papers by Andrea Pascucci.
Last updated 2024-02-07. Update your information in the RePEc Author Service.
Short-id: ppa185
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Working Papers
2019
- Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models
Papers, arXiv.org View citations (1)
- PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model
Papers, arXiv.org
2018
- Systemic risk in a mean-field model of interbank lending with self-exciting shocks
Papers, arXiv.org View citations (6)
See also Journal Article Systemic risk in a mean-field model of interbank lending with self-exciting shocks, IISE Transactions, Taylor & Francis Journals (2018) View citations (6) (2018)
2016
- Pricing Bermudan options under local L\'evy models with default
Papers, arXiv.org View citations (1)
2015
- Leveraged {ETF} implied volatilities from {ETF} dynamics
Papers, arXiv.org View citations (13)
2014
- Analytical expansions for parabolic equations
Papers, arXiv.org View citations (13)
- Asymptotics for $d$-dimensional L\'evy-type processes
Papers, arXiv.org View citations (1)
- Dynamic Credit Investment in Partially Observed Markets
Papers, arXiv.org 
See also Journal Article Dynamic credit investment in partially observed markets, Finance and Stochastics, Springer (2015) View citations (9) (2015)
- Explicit implied volatilities for multifactor local-stochastic volatility models
Papers, arXiv.org View citations (15)
See also Journal Article EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS, Mathematical Finance, Wiley Blackwell (2017) View citations (22) (2017)
- Pricing approximations and error estimates for local L\'evy-type models with default
Papers, arXiv.org View citations (3)
2013
- A Taylor series approach to pricing and implied vol for LSV models
Papers, arXiv.org View citations (3)
- A family of density expansions for L\'evy-type processes
Papers, arXiv.org View citations (10)
2012
- Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
MPRA Paper, University Library of Munich, Germany
2011
- Analytical approximation of the transition density in a local volatility model
MPRA Paper, University Library of Munich, Germany View citations (16)
- Black-Scholes formulae for Asian options in local volatility models
Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (6)
- Expansion formulae for local Lévy models
MPRA Paper, University Library of Munich, Germany View citations (2)
2009
- Harnack inequality and no-arbitrage bounds for self-financing portfolios
MPRA Paper, University Library of Munich, Germany View citations (1)
- Obstacle problem for Arithmetic Asian options
Papers, arXiv.org View citations (2)
2007
- Free boundary and optimal stopping problems for American Asian options
MPRA Paper, University Library of Munich, Germany View citations (1)
See also Journal Article Free boundary and optimal stopping problems for American Asian options, Finance and Stochastics, Springer (2008) View citations (10) (2008)
2006
- Degenerate Kolmogorov equations in option pricing
Computing in Economics and Finance 2006, Society for Computational Economics
- Path dependent volatility
MPRA Paper, University Library of Munich, Germany View citations (7)
See also Journal Article Path dependent volatility, Decisions in Economics and Finance, Springer (2008) View citations (7) (2008)
2005
- Calibration of the Hobson&Rogers model: empirical tests
Finance, University Library of Munich, Germany View citations (7)
- On the complete model with stochastic volatility by Hobson and Rogers
Finance, University Library of Munich, Germany View citations (6)
- On the viscosity solutions of a stochastic differential utility problem
Finance, University Library of Munich, Germany View citations (2)
Journal Articles
2023
- Numerical solution of kinetic SPDEs via stochastic Magnus expansion
Mathematics and Computers in Simulation (MATCOM), 2023, 207, (C), 189-208
2020
- The parametrix method for parabolic SPDEs
Stochastic Processes and their Applications, 2020, 130, (10), 6226-6245
2018
- Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model
Applied Mathematical Finance, 2018, 25, (4), 336-360
- Systemic risk in a mean-field model of interbank lending with self-exciting shocks
IISE Transactions, 2018, 50, (9), 806-819 View citations (6)
See also Working Paper Systemic risk in a mean-field model of interbank lending with self-exciting shocks, Papers (2018) View citations (6) (2018)
2017
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS
Mathematical Finance, 2017, 27, (3), 926-960 View citations (22)
See also Working Paper Explicit implied volatilities for multifactor local-stochastic volatility models, Papers (2014) View citations (15) (2014)
- Intrinsic expansions for averaged diffusion processes
Stochastic Processes and their Applications, 2017, 127, (8), 2560-2585 View citations (3)
- LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS
Mathematical Finance, 2017, 27, (4), 1035-1068 View citations (6)
- The exact Taylor formula of the implied volatility
Finance and Stochastics, 2017, 21, (3), 661-718 View citations (9)
2015
- Dynamic credit investment in partially observed markets
Finance and Stochastics, 2015, 19, (4), 891-939 View citations (9)
See also Working Paper Dynamic Credit Investment in Partially Observed Markets, Papers (2014) (2014)
2013
- LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS
International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (08), 1-35 View citations (8)
2009
- Calibration of a path-dependent volatility model: Empirical tests
Computational Statistics & Data Analysis, 2009, 53, (6), 2219-2235 View citations (1)
2008
- Free boundary and optimal stopping problems for American Asian options
Finance and Stochastics, 2008, 12, (1), 21-41 View citations (10)
See also Working Paper Free boundary and optimal stopping problems for American Asian options, MPRA Paper (2007) View citations (1) (2007)
- Path dependent volatility
Decisions in Economics and Finance, 2008, 31, (1), 13-32 View citations (7)
See also Working Paper Path dependent volatility, MPRA Paper (2006) View citations (7) (2006)
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