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

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

Pricing vulnerable claims in a Lévy-driven model. - Agostino Capponi; Stefano Pagliarani; Tiziano Vargiolu (Finance Stochastics, 2014)

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

Portfolio optimization in a defaultable Lévy-driven market model. - Stefano Pagliarani; Tiziano Vargiolu (OR Spectr., 2015)

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

Analytical Approximations of BSDEs with Nonsmooth Driver. - Emmanuel Gobet; Stefano Pagliarani (SIAM J. Financial Math., 2015)

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

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

Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent. - Ankush Agarwal; Andrea Amato; Gonçalo Dos Reis; Stefano Pagliarani (CoRR, 2023)

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