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Details about Andrea Pascucci

Homepage:http://www.dm.unibo.it/~pascucci/
Workplace:Alma Mater Studiorum - Università di Bologna → Dipartimento di Matematica

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

  1. Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models
    Papers, arXiv.org Downloads View citations (1)
  2. PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model
    Papers, arXiv.org Downloads

2018

  1. Systemic risk in a mean-field model of interbank lending with self-exciting shocks
    Papers, arXiv.org Downloads 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) Downloads View citations (6) (2018)

2016

  1. Pricing Bermudan options under local L\'evy models with default
    Papers, arXiv.org Downloads View citations (1)

2015

  1. Leveraged {ETF} implied volatilities from {ETF} dynamics
    Papers, arXiv.org Downloads View citations (13)

2014

  1. Analytical expansions for parabolic equations
    Papers, arXiv.org Downloads View citations (13)
  2. Asymptotics for $d$-dimensional L\'evy-type processes
    Papers, arXiv.org Downloads View citations (1)
  3. Dynamic Credit Investment in Partially Observed Markets
    Papers, arXiv.org Downloads
    See also Journal Article Dynamic credit investment in partially observed markets, Finance and Stochastics, Springer (2015) Downloads View citations (9) (2015)
  4. Explicit implied volatilities for multifactor local-stochastic volatility models
    Papers, arXiv.org Downloads View citations (15)
    See also Journal Article EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS, Mathematical Finance, Wiley Blackwell (2017) Downloads View citations (22) (2017)
  5. Pricing approximations and error estimates for local L\'evy-type models with default
    Papers, arXiv.org Downloads View citations (3)

2013

  1. A Taylor series approach to pricing and implied vol for LSV models
    Papers, arXiv.org Downloads View citations (3)
  2. A family of density expansions for L\'evy-type processes
    Papers, arXiv.org Downloads View citations (10)

2012

  1. Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
    MPRA Paper, University Library of Munich, Germany Downloads

2011

  1. Analytical approximation of the transition density in a local volatility model
    MPRA Paper, University Library of Munich, Germany Downloads View citations (16)
  2. Black-Scholes formulae for Asian options in local volatility models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads View citations (6)
  3. Expansion formulae for local Lévy models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2009

  1. Harnack inequality and no-arbitrage bounds for self-financing portfolios
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Obstacle problem for Arithmetic Asian options
    Papers, arXiv.org Downloads View citations (2)

2007

  1. Free boundary and optimal stopping problems for American Asian options
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article Free boundary and optimal stopping problems for American Asian options, Finance and Stochastics, Springer (2008) Downloads View citations (10) (2008)

2006

  1. Degenerate Kolmogorov equations in option pricing
    Computing in Economics and Finance 2006, Society for Computational Economics
  2. Path dependent volatility
    MPRA Paper, University Library of Munich, Germany Downloads View citations (7)
    See also Journal Article Path dependent volatility, Decisions in Economics and Finance, Springer (2008) Downloads View citations (7) (2008)

2005

  1. Calibration of the Hobson&Rogers model: empirical tests
    Finance, University Library of Munich, Germany Downloads View citations (7)
  2. On the complete model with stochastic volatility by Hobson and Rogers
    Finance, University Library of Munich, Germany Downloads View citations (6)
  3. On the viscosity solutions of a stochastic differential utility problem
    Finance, University Library of Munich, Germany Downloads View citations (2)

Journal Articles

2023

  1. Numerical solution of kinetic SPDEs via stochastic Magnus expansion
    Mathematics and Computers in Simulation (MATCOM), 2023, 207, (C), 189-208 Downloads

2020

  1. The parametrix method for parabolic SPDEs
    Stochastic Processes and their Applications, 2020, 130, (10), 6226-6245 Downloads

2018

  1. Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model
    Applied Mathematical Finance, 2018, 25, (4), 336-360 Downloads
  2. Systemic risk in a mean-field model of interbank lending with self-exciting shocks
    IISE Transactions, 2018, 50, (9), 806-819 Downloads View citations (6)
    See also Working Paper Systemic risk in a mean-field model of interbank lending with self-exciting shocks, Papers (2018) Downloads View citations (6) (2018)

2017

  1. EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS
    Mathematical Finance, 2017, 27, (3), 926-960 Downloads View citations (22)
    See also Working Paper Explicit implied volatilities for multifactor local-stochastic volatility models, Papers (2014) Downloads View citations (15) (2014)
  2. Intrinsic expansions for averaged diffusion processes
    Stochastic Processes and their Applications, 2017, 127, (8), 2560-2585 Downloads View citations (3)
  3. LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS
    Mathematical Finance, 2017, 27, (4), 1035-1068 Downloads View citations (6)
  4. The exact Taylor formula of the implied volatility
    Finance and Stochastics, 2017, 21, (3), 661-718 Downloads View citations (9)

2015

  1. Dynamic credit investment in partially observed markets
    Finance and Stochastics, 2015, 19, (4), 891-939 Downloads View citations (9)
    See also Working Paper Dynamic Credit Investment in Partially Observed Markets, Papers (2014) Downloads (2014)

2013

  1. LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (08), 1-35 Downloads View citations (8)

2009

  1. Calibration of a path-dependent volatility model: Empirical tests
    Computational Statistics & Data Analysis, 2009, 53, (6), 2219-2235 Downloads View citations (1)

2008

  1. Free boundary and optimal stopping problems for American Asian options
    Finance and Stochastics, 2008, 12, (1), 21-41 Downloads View citations (10)
    See also Working Paper Free boundary and optimal stopping problems for American Asian options, MPRA Paper (2007) Downloads View citations (1) (2007)
  2. Path dependent volatility
    Decisions in Economics and Finance, 2008, 31, (1), 13-32 Downloads View citations (7)
    See also Working Paper Path dependent volatility, MPRA Paper (2006) Downloads View citations (7) (2006)
 
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