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Information about:
Andrea Pascucci

Personal Details | Affiliation | Works
This is information that was supplied by Andrea Pascucci in registering through RePEc. If you are Andrea Pascucci , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Andrea
Middle Name:
Last Name: Pascucci
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RePEc Short-ID: ppa185

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Homepage: http://www.dm.unibo.it/~pascucci/
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Carciola, Alessandro & Pascucci, Andrea & Polidoro, Sergio, 2009. "Harnack inequality and no-arbitrage bounds for self-financing portfolios," MPRA Paper 15665, University Library of Munich, Germany. [Downloadable!]

  2. Laura Monti & Andrea Pascucci, 2009. "Obstacle problem for Arithmetic Asian options," Quantitative Finance Papers 0910.4257, arXiv.org. [Downloadable!]

  3. Andrea, Pascucci, 2007. "Free boundary and optimal stopping problems for American Asian options," MPRA Paper 4766, University Library of Munich, Germany. [Downloadable!]
    Published as:

  4. Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany. [Downloadable!]
    Published as:

  5. Andrea Pascucci & Francesco Corielli, 2006. "Degenerate Kolmogorov equations in option pricing," Computing in Economics and Finance 2006 268, Society for Computational Economics.

  6. Andrea Pascucci & Paolo Foschi, 2005. "Calibration of the Hobson&Rogers model: empirical tests," Finance 0509020, EconWPA. [Downloadable!]

  7. Fabio Antonelli & Andrea Pascucci, 2005. "On the viscosity solutions of a stochastic differential utility problem," Finance 0503021, EconWPA. [Downloadable!]

  8. Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, EconWPA. [Downloadable!]

Articles

  1. Foschi, Paolo & Pascucci, Andrea, 2009. "Calibration of a path-dependent volatility model: Empirical tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2219-2235, April. [Downloadable!] (restricted)

  2. Paolo Foschi & Andrea Pascucci, 2008. "Path dependent volatility," Decisions in Economics and Finance, Springer, vol. 31(1), pages 13-32, May. [Downloadable!] (restricted)
    Other versions:

  3. Andrea Pascucci, 2008. "Free boundary and optimal stopping problems for American Asian options," Finance and Stochastics, Springer, vol. 12(1), pages 21-41, January. [Downloadable!] (restricted)
    Other versions:

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2007-01-14
  2. NEP-SEA: South East Asia (2) 2007-09-16 2009-10-31 Author is listed
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This page was last updated on 2009-12-18.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.