PASCUCCI, ANDREA
PASCUCCI, ANDREA
DIPARTIMENTO DI MATEMATICA
Docenti di ruolo di Ia fascia
A continuous dependence result for ultraparabolic equations in option pricing
2007 M. Di Francesco; A. Pascucci
A family of density expansions for Lévy-type processes with default
2015 Lorig M; Pagliarani S.; Pascucci A.
A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations
2003 Pascucci A.; Polidoro S.
A priori estimates for quasilinear degenerate parabolic equations
2003 Manfredini M.; Pascucci A.
A Probabilistic Result on Impulsive Noise Reduction in Topological Data Analysis through Group Equivariant Non-Expansive Operators
2023 Frosini, Patrizio; Gridelli, Ivan; Pascucci, Andrea
A Taylor series approach to pricing and implied volatility for local–stochastic volatility models
2014 Matthew Lorig; Stefano Pagliarani; Andrea Pascucci
Adjoint expansions in local Levy models
2013 A. Pascucci; C. Riga; S. Pagliarani
American options
2012 Pascucci A.; Runggaldier W.J.
Analysis of an uncertain volatility model
2006 M. Di francesco; P. Foschi; A. Pascucci
Analytical approximation of the transition density in a local volatility model
2012 A. Pascucci; S. Pagliarani
Analytical expansions for parabolic equations
2015 Lorig M.; Pagliarani S.; Pascucci A.
Approximations for Asian options in local volatility models
2013 P. Foschi; A. Pascucci; S. Pagliarani
Asymptotic expansions for degenerate parabolic equations
2014 Andrea Pascucci; Stefano Pagliarani
Asymptotics for d-dimensional lévy-type processes
2015 Lorig M.; Pagliarani S.; Pascucci A.
Backward and forward filtering under the weak Hörmander condition
2023 Pascucci A.; Pesce A.
Bermudan option valuation under state-dependent models
2017 Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W.
Calcolo Stocastico per la Finanza
2007 A. Pascucci
Calibration of a path-dependent volatility model: empirical tests
2009 P. Foschi; A. Pascucci
CDS calibration under an extended JDCEV model
2019 Di Francesco M.; Diop S.; Pascucci A.
Dynamic Credit Investment in Partially Observed Markets
2015 Pascucci, Andrea; Agostino Capponi; José E. Figueroa-López