Stefano Pagliarani

Orcid: 0000-0003-4329-7054

According to our database1, Stefano Pagliarani authored at least 11 papers between 2013 and 2023.

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

Timeline

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Bibliography

2023
Numerical solution of kinetic SPDEs via stochastic Magnus expansion.
Math. Comput. Simul., May, 2023

Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent.
CoRR, 2023

2021
On the Stochastic Magnus Expansion and Its Application to SPDEs.
J. Sci. Comput., 2021

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

2015
Analytical Approximations of BSDEs with Nonsmooth Driver.
SIAM J. Financial Math., 2015

Analytical Expansions for Parabolic Equations.
SIAM J. Appl. Math., 2015

Portfolio optimization in a defaultable Lévy-driven market model.
OR Spectr., 2015

Pricing approximations and error estimates for local Lévy-type models with default.
Comput. Math. Appl., 2015

2014
Pricing vulnerable claims in a Lévy-driven model.
Finance Stochastics, 2014

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

Approximations for Asian options in local volatility models.
J. Comput. Appl. Math., 2013


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