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Andrea Pascucci

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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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  1. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2014. "Asymptotics for $d$-dimensional L\'evy-type processes," Papers 1404.3153, arXiv.org, revised Nov 2014.
  2. Tim Leung & Matthew Lorig & Andrea Pascucci, 2014. "Leveraged {ETF} implied volatilities from {ETF} dynamics," Papers 1404.6792, arXiv.org, revised Apr 2015.
  3. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A Taylor series approach to pricing and implied vol for LSV models," Papers 1308.5019, arXiv.org.
  4. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Explicit implied volatilities for multifactor local-stochastic volatility models," Papers 1306.5447, arXiv.org, revised Nov 2014.
  5. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Pricing approximations and error estimates for local L\'evy-type models with default," Papers 1304.1849, arXiv.org, revised Nov 2014.
  6. Agostino Capponi & Jose Enrique Figueroa Lopez & Andrea Pascucci, 2013. "Dynamic Credit Investment in Partially Observed Markets," Papers 1303.2950, arXiv.org, revised Jun 2014.
  7. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Analytical expansions for parabolic equations," Papers 1312.3314, arXiv.org, revised Nov 2014.
  8. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A family of density expansions for L\'evy-type processes," Papers 1312.7328, arXiv.org.
  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. Pagliarani, Stefano & Pascucci, Andrea, 2011. "Analytical approximation of the transition density in a local volatility model," MPRA Paper 31107, University Library of Munich, Germany.
  11. Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga, 2011. "Expansion formulae for local Lévy models," MPRA Paper 34571, University Library of Munich, Germany.
  12. Laura Monti & Andrea Pascucci, 2009. "Obstacle problem for Arithmetic Asian options," Papers 0910.4257, arXiv.org.
  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. Andrea, Pascucci, 2007. "Free boundary and optimal stopping problems for American Asian options," MPRA Paper 4766, University Library of Munich, Germany.
  15. Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany.
  16. Andrea Pascucci & Francesco Corielli, 2006. "Degenerate Kolmogorov equations in option pricing," Computing in Economics and Finance 2006 268, Society for Computational Economics.
  17. Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, EconWPA.
  18. Andrea Pascucci & Paolo Foschi, 2005. "Calibration of the Hobson&Rogers model: empirical tests," Finance 0509020, EconWPA.
  19. Fabio Antonelli & Andrea Pascucci, 2005. "On the viscosity solutions of a stochastic differential utility problem," Finance 0503021, EconWPA.
    RePEc:bot:quadip:111 is not listed on IDEAS
  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.
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

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