On the Cauchy Problem for a Nonlinear Kolmogorov Equation. - Andrea Pascucci; Sergio Polidoro (SIAM J. Math. Anal., 2003)

Analysis of an uncertain volatility model. - Marco Di Francesco; Paolo Foschi; Andrea Pascucci (Adv. Decis. Sci., 2006)

Free boundary and optimal stopping problems for American Asian options. - Andrea Pascucci (Finance Stochastics, 2008)

Calibration of a path-dependent volatility model: Empirical tests. - Paolo Foschi; Andrea Pascucci (Comput. Stat. Data Anal., 2009)

Parametrix Approximation of Diffusion Transition Densities. - Francesco Corielli; Paolo Foschi; Andrea Pascucci (SIAM J. Financial Math., 2010)

Approximations for Asian options in local volatility models. - Paolo Foschi; Stefano Pagliarani; Andrea Pascucci (J. Comput. Appl. Math., 2013)

Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement. - María del Carmen Calvo-Garrido; Andrea Pascucci; Carlos Vázquez 002 (SIAM J. Appl. Math., 2013)

Adjoint Expansions in Local Lévy Models. - Stefano Pagliarani; Andrea Pascucci; Candia Riga (SIAM J. Financial Math., 2013)

Pricing approximations and error estimates for local Lévy-type models with default. - Matthew Lorig; Stefano Pagliarani; Andrea Pascucci (Comput. Math. Appl., 2015)

Dynamic credit investment in partially observed markets. - Agostino Capponi; José E. Figueroa-López; Andrea Pascucci (Finance Stochastics, 2015)

Analytical Expansions for Parabolic Equations. - Matthew Lorig; Stefano Pagliarani; Andrea Pascucci (SIAM J. Appl. Math., 2015)

The exact Taylor formula of the implied volatility. - Stefano Pagliarani; Andrea Pascucci (Finance Stochastics, 2017)

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models. - Anastasia Borovykh; Andrea Pascucci; Cornelis W. Oosterlee (SIAM J. Financial Math., 2018)

Recurrent Neural Networks Applied to GNSS Time Series for Denoising and Prediction. - Elena Loli Piccolomini; Stefano Gandolfi 001; Luca Poluzzi; Luca Tavasci; Pasquale Cascarano; Andrea Pascucci (TIME, 2019)

CDS calibration under an extended JDCEV model. - Marco Di Francesco; Sidy Diop; Andrea Pascucci (Int. J. Comput. Math., 2019)

PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model. - María del Carmen Calvo-Garrido; Sidi Diop; Andrea Pascucci; Carlos Vázquez 002 (Commun. Nonlinear Sci. Numer. Simul., 2021)

On the Stochastic Magnus Expansion and Its Application to SPDEs. - Kevin Kamm; Stefano Pagliarani; Andrea Pascucci (J. Sci. Comput., 2021)

A probabilistic result on impulsive noise reduction through Group Equivariant Non-Expansive Operators. - Patrizio Frosini; Ivan Gridelli; Andrea Pascucci (CoRR, 2022)

Numerical solution of kinetic SPDEs via stochastic Magnus expansion. - Kevin Kamm; Stefano Pagliarani; Andrea Pascucci (Math. Comput. Simul., 2023)

A Probabilistic Result on Impulsive Noise Reduction in Topological Data Analysis through Group Equivariant Non-Expansive Operators. - Patrizio Frosini; Ivan Gridelli; Andrea Pascucci (Entropy, 2023)