Sfoglia per Autore
Geometric Methods in PDE's: a conference on the occasion of the 65th birthday of Ermanno Lanconelli, Bologna 27-30 maggio 2008.
2008 Giovanna Citti; Annamaria Montanari; Andrea Pascucci; Sergio Polidoro
Pointwise estimates for solutions to a class of non-homogeneous Kolmogorov equations
2008 C. Cinti; A. Pascucci; S. Polidoro
Finanza Matematica - Teoria e problemi per modelli multiperiodali
2009 W. J. Runggaldier; A. Pascucci
Harnack inequality and no-arbitrage bounds for self-financing portfolios
2009 A. Pascucci; S. Polidoro; A. Carciola
Obstacle problem for Arithmetic Asian options
2009 A. Pascucci; L. Monti
Calibration of a path-dependent volatility model: empirical tests
2009 P. Foschi; A. Pascucci
Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
2010 K. Nystrom, M. Frentz, S. Polidoro; A. Pascucci
Parametrix approximation of diffusion transition densities
2010 A. Pascucci; P. Foschi; F. Corielli
Regularity near the Initial State in the Obstacle Problem for a class of Hypoelliptic Ultraparabolic Operators
2010 S. Polidoro; K. Nystrom; A. Pascucci
JOURNAL OF MATHEMATICS
2011 A. Pascucci
Introduction to Lévy processes
2011 A. Pascucci; R. Agliardi
PDE and Martingale methods in option pricing
2011 A. Pascucci
Mathematical analysis and numerical methods for a PDE model governing a rachet-cap pricing in the Libor Market Model
2011 Pascucci A.; M. Suarez-Taboada; C. Vazquez
American options
2012 Pascucci A.; Runggaldier W.J.
Financial Mathematics - Theory and Problems for Multi-period Models
2012 A. Pascucci; W. Runggaldier
Interest rates
2012 Pascucci A.; Runggaldier W.J.
Analytical approximation of the transition density in a local volatility model
2012 A. Pascucci; S. Pagliarani
Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
2013 Pascucci A.; M. Suarez-Taboada; C. Vazquez
Approximations for Asian options in local volatility models
2013 P. Foschi; A. Pascucci; S. Pagliarani
Adjoint expansions in local Levy models
2013 A. Pascucci; C. Riga; S. Pagliarani
| Titolo | Autore(i) | Anno | Periodico | Editore | Tipo | File |
|---|---|---|---|---|---|---|
| Geometric Methods in PDE's: a conference on the occasion of the 65th birthday of Ermanno Lanconelli, Bologna 27-30 maggio 2008. | Giovanna Citti; Annamaria Montanari; Andrea Pascucci; Sergio Polidoro | 2008-01-01 | - | - | 7.12 Attività espositiva:Mostra o Esposizione | - |
| Pointwise estimates for solutions to a class of non-homogeneous Kolmogorov equations | C. Cinti; A. Pascucci; S. Polidoro | 2008-01-01 | MATHEMATISCHE ANNALEN | - | 1.01 Articolo in rivista | - |
| Finanza Matematica - Teoria e problemi per modelli multiperiodali | W. J. Runggaldier; A. Pascucci | 2009-01-01 | - | Springer | 3.01 Monografia / trattato scientifico in forma di libro | - |
| Harnack inequality and no-arbitrage bounds for self-financing portfolios | A. Pascucci; S. Polidoro; A. Carciola | 2009-01-01 | BOLETIN DE LA SOCIEDAD ESPANOLA DE MATEMATICA APLICADA | - | 1.01 Articolo in rivista | - |
| Obstacle problem for Arithmetic Asian options | A. Pascucci; L. Monti | 2009-01-01 | COMPTES RENDUS MATHÉMATIQUE | - | 1.01 Articolo in rivista | - |
| Calibration of a path-dependent volatility model: empirical tests | P. Foschi; A. Pascucci | 2009-01-01 | COMPUTATIONAL STATISTICS & DATA ANALYSIS | - | 1.01 Articolo in rivista | - |
| Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options | K. Nystrom, M. Frentz, S. Polidoro; A. Pascucci | 2010-01-01 | MATHEMATISCHE ANNALEN | - | 1.01 Articolo in rivista | - |
| Parametrix approximation of diffusion transition densities | A. Pascucci; P. Foschi; F. Corielli | 2010-01-01 | SIAM JOURNAL ON FINANCIAL MATHEMATICS | - | 1.01 Articolo in rivista | - |
| Regularity near the Initial State in the Obstacle Problem for a class of Hypoelliptic Ultraparabolic Operators | S. Polidoro; K. Nystrom; A. Pascucci | 2010-01-01 | JOURNAL OF DIFFERENTIAL EQUATIONS | - | 1.01 Articolo in rivista | - |
| JOURNAL OF MATHEMATICS | A. Pascucci | 2011-01-01 | JOURNAL OF MATHEMATICS | - | 8.01 Ruolo editoriale in rivista | - |
| Introduction to Lévy processes | A. Pascucci; R. Agliardi | 2011-01-01 | - | Springer Verlag | 2.01 Capitolo / saggio in libro | - |
| PDE and Martingale methods in option pricing | A. Pascucci | 2011-01-01 | - | Springer | 3.01 Monografia / trattato scientifico in forma di libro | - |
| Mathematical analysis and numerical methods for a PDE model governing a rachet-cap pricing in the Libor Market Model | Pascucci A.; M. Suarez-Taboada; C. Vazquez | 2011-01-01 | MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES | - | 1.01 Articolo in rivista | - |
| American options | Pascucci A.; Runggaldier W.J. | 2012-01-01 | - | Springer-Verlag Italia s.r.l. | 2.01 Capitolo / saggio in libro | - |
| Financial Mathematics - Theory and Problems for Multi-period Models | A. Pascucci; W. Runggaldier | 2012-01-01 | - | Springer | 3.01 Monografia / trattato scientifico in forma di libro | - |
| Interest rates | Pascucci A.; Runggaldier W.J. | 2012-01-01 | - | Springer-Verlag Italia s.r.l. | 2.01 Capitolo / saggio in libro | - |
| Analytical approximation of the transition density in a local volatility model | A. Pascucci; S. Pagliarani | 2012-01-01 | CENTRAL EUROPEAN JOURNAL OF MATHEMATICS | - | 1.01 Articolo in rivista | - |
| Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem | Pascucci A.; M. Suarez-Taboada; C. Vazquez | 2013-01-01 | JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | - | 1.01 Articolo in rivista | - |
| Approximations for Asian options in local volatility models | P. Foschi; A. Pascucci; S. Pagliarani | 2013-01-01 | JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | - | 1.01 Articolo in rivista | - |
| Adjoint expansions in local Levy models | A. Pascucci; C. Riga; S. Pagliarani | 2013-01-01 | SIAM JOURNAL ON FINANCIAL MATHEMATICS | - | 1.01 Articolo in rivista | - |
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