Advanced Search
MyIDEAS: Login

Andrea Pascucci


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

Personal Details

First Name: Andrea
Middle Name:
Last Name: Pascucci

RePEc Short-ID: ppa185

Postal Address:


Alma Mater Studiorum - Università di Bologna / Dipartimento di Matematica
Location: Italy, Bologna


as in new window

Working papers

  1. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2014. "Asymptotics for $d$-dimensional L\'evy-type processes," Papers 1404.3153,
  2. Tim Leung & Matthew Lorig & Andrea Pascucci, 2014. "Leveraged {ETF} implied volatilities from {ETF} dynamics," Papers 1404.6792,
  3. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Pricing approximations and error estimates for local L{\'e}vy-type models with default," Papers 1304.1849,, revised May 2014.
  4. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A family of density expansions for L\'evy-type processes," Papers 1312.7328,
  5. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Explicit implied vols for multifactor local-stochastic vol models," Papers 1306.5447,, revised Mar 2014.
  6. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A Taylor series approach to pricing and implied vol for LSV models," Papers 1308.5019,
  7. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Analytical expansions for parabolic equations," Papers 1312.3314,
  8. Agostino Capponi & Jose Enrique Figueroa Lopez & Andrea Pascucci, 2013. "Dynamic Credit Investment in Partially Observed Markets," Papers 1303.2950,, revised Jun 2014.
  9. Calvo-Garrido, Maria del Carmen & Pascucci, Andrea & Vázquez Cendón, Carlos, 2012. "Mathematical analysis and numerical methods for pricing pension plans allowing early retirement," MPRA Paper 36494, University Library of Munich, Germany.
  10. Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga, 2011. "Expansion formulae for local Lévy models," MPRA Paper 34571, University Library of Munich, Germany.
  11. Paolo Foschi & Stefano Pagliarani & Andrea Pascucci, 2011. "Black-Scholes formulae for Asian options in local volatility models," Quaderni di Dipartimento 7, Department of Statistics, University of Bologna.
  12. Pagliarani, Stefano & Pascucci, Andrea, 2011. "Analytical approximation of the transition density in a local volatility model," MPRA Paper 31107, University Library of Munich, Germany.
  13. 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.
  14. Laura Monti & Andrea Pascucci, 2009. "Obstacle problem for Arithmetic Asian options," Papers 0910.4257,
  15. Andrea, Pascucci, 2007. "Free boundary and optimal stopping problems for American Asian options," MPRA Paper 4766, University Library of Munich, Germany.
  16. Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany.
  17. Andrea Pascucci & Francesco Corielli, 2006. "Degenerate Kolmogorov equations in option pricing," Computing in Economics and Finance 2006 268, Society for Computational Economics.
  18. Andrea Pascucci & Paolo Foschi, 2005. "Calibration of the Hobson&Rogers model: empirical tests," Finance 0509020, EconWPA.
  19. Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, EconWPA.
  20. Fabio Antonelli & Andrea Pascucci, 2005. "On the viscosity solutions of a stochastic differential utility problem," Finance 0503021, EconWPA.


  1. Stefano Pagliarani & Andrea Pascucci, 2013. "Local Stochastic Volatility With Jumps: Analytical Approximations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(08), pages 1350050-1-1.
  2. 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.
  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.
  4. Paolo Foschi & Andrea Pascucci, 2008. "Path dependent volatility," Decisions in Economics and Finance, Springer, vol. 31(1), pages 13-32, May.

NEP Fields

18 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGE: Economics of Ageing (1) 2012-02-20
  2. NEP-CMP: Computational Economics (1) 2012-02-20
  3. NEP-CWA: Central & Western Asia (1) 2011-08-29
  4. NEP-ECM: Econometrics (1) 2007-01-14
  5. NEP-ETS: Econometric Time Series (1) 2011-06-04
  6. NEP-ORE: Operations Research (1) 2011-06-04
  7. NEP-SEA: South East Asia (4) 2007-09-16 2009-10-31 2011-06-04 2011-08-29
  8. NEP-UPT: Utility Models & Prospect Theory (1) 2013-03-16


Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc


For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Andrea Pascucci should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.