Sfoglia per Autore
Analytical approximation of the transition density in a local volatility model
2012 A. Pascucci; S. Pagliarani
Adjoint expansions in local Levy models
2013 A. Pascucci; C. Riga; S. Pagliarani
Approximations for Asian options in local volatility models
2013 P. Foschi; A. Pascucci; S. Pagliarani
Local stochastic volatility with jumps: analytical approximations
2013 A. Pascucci; S. Pagliarani
Pricing vulnerable claims in a Lévy-driven model
2014 Capponi Agostino; Pagliarani Stefano; Vargiolu Tiziano
A Taylor series approach to pricing and implied volatility for local–stochastic volatility models
2014 Matthew Lorig; Stefano Pagliarani; Andrea Pascucci
Asymptotic expansions for degenerate parabolic equations
2014 Andrea Pascucci; Stefano Pagliarani
Pricing approximations and error estimates for local Lévy-type models with default
2015 Pascucci Andrea; Stefano Pagliarani; Matthew Lorig
Portfolio optimization in a defaultable Lévy-driven market model
2015 PAGLIARANI, Stefano; Vargiolu Tiziano
Analytical approximations of BSDEs with non-smooth driver
2015 Gobet Emmanuel; Pagliarani Stefano
A family of density expansions for Lévy-type processes with default
2015 Lorig M; Pagliarani S.; Pascucci A.
Analytical expansions for parabolic equations
2015 Lorig M.; Pagliarani S.; Pascucci A.
Asymptotics for d-dimensional lévy-type processes
2015 Lorig M.; Pagliarani S.; Pascucci A.
Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
2016 Andrea Pascucci; Stefano Pagliarani; Michele Pignotti
Explicit implied volatilities for multifactor local-stochastic volatility models
2017 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
Intrinsic expansions for averaged diffusion processes
2017 Pagliarani, S; Pascucci, A.; Pignotti, M.
The exact Taylor formula of the implied volatility
2017 Pagliarani, Stefano; Pascucci, Andrea
Analytical approximations of non-linear SDEs of McKean–Vlasov type
2018 Gobet, Emmanuel; Pagliarani, Stefano
The Short-Time Behaviour of VIX Implied Volatilities in a Multifactor Stochastic Volatility Framework
2019 Andrea Barletta; Elisa Nicolato; Stefano Pagliarani
Local densities for a class of degenerate diffusions
2020 Lanconelli A.; Pagliarani S.; Pascucci A.
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