According to our database1, Andrea Pascucci authored at least 13 papers between 2003 and 2018.
Legend:Book In proceedings Article PhD thesis Other
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models.
SIAM J. Financial Math., 2018
The exact Taylor formula of the implied volatility.
Finance and Stochastics, 2017
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
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
Parametrix Approximation of Diffusion Transition Densities.
SIAM J. Financial Math., 2010
Calibration of a path-dependent volatility model: Empirical tests.
Computational Statistics & Data Analysis, 2009
Free boundary and optimal stopping problems for American Asian options.
Finance and Stochastics, 2008
Analysis of an uncertain volatility model.
On the Cauchy Problem for a Nonlinear Kolmogorov Equation.
SIAM J. Math. Analysis, 2003