Andrea Pascucci

According to our database1, Andrea Pascucci authored at least 13 papers between 2003 and 2018.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2018
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models.
SIAM J. Financial Math., 2018

2017
The exact Taylor formula of the implied volatility.
Finance and Stochastics, 2017

2015
Analytical Expansions for Parabolic Equations.
SIAM Journal of Applied Mathematics, 2015

Dynamic credit investment in partially observed markets.
Finance and Stochastics, 2015

Pricing approximations and error estimates for local Lévy-type models with default.
Computers & Mathematics with Applications, 2015

2013
Adjoint Expansions in Local Lévy Models.
SIAM J. Financial Math., 2013

Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement.
SIAM Journal of Applied Mathematics, 2013

Approximations for Asian options in local volatility models.
J. Computational Applied Mathematics, 2013

2010
Parametrix Approximation of Diffusion Transition Densities.
SIAM J. Financial Math., 2010

2009
Calibration of a path-dependent volatility model: Empirical tests.
Computational Statistics & Data Analysis, 2009

2008
Free boundary and optimal stopping problems for American Asian options.
Finance and Stochastics, 2008

2006
Analysis of an uncertain volatility model.
JAMDS, 2006

2003
On the Cauchy Problem for a Nonlinear Kolmogorov Equation.
SIAM J. Math. Analysis, 2003


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