Access Statistics for Andrea Pascucci

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Taylor series approach to pricing and implied vol for LSV models 0 0 0 15 0 0 3 44
A family of density expansions for L\'evy-type processes 0 0 0 6 0 0 0 28
Analytical approximation of the transition density in a local volatility model 0 0 1 32 0 0 3 71
Analytical expansions for parabolic equations 0 0 0 6 0 0 0 30
Asymptotics for $d$-dimensional L\'evy-type processes 0 0 0 7 0 0 1 26
Black-Scholes formulae for Asian options in local volatility models 1 1 2 10 1 1 2 36
Calibration of the Hobson&Rogers model: empirical tests 0 0 0 55 0 0 3 303
Degenerate Kolmogorov equations in option pricing 0 0 0 0 0 2 3 268
Dynamic Credit Investment in Partially Observed Markets 0 0 0 8 0 0 0 35
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 0 0 0 17
Expansion formulae for local Lévy models 0 0 0 16 1 1 1 59
Explicit implied volatilities for multifactor local-stochastic volatility models 0 0 1 29 0 0 3 103
Free boundary and optimal stopping problems for American Asian options 0 0 0 122 0 0 0 307
Harnack inequality and no-arbitrage bounds for self-financing portfolios 0 0 0 23 1 1 1 112
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 1 27 0 0 3 107
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement 0 0 0 33 1 1 3 95
Obstacle problem for Arithmetic Asian options 0 0 1 21 0 2 3 66
On the complete model with stochastic volatility by Hobson and Rogers 1 1 2 183 1 2 6 506
On the viscosity solutions of a stochastic differential utility problem 0 0 1 138 0 0 2 404
PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model 0 0 0 2 0 1 1 25
Path dependent volatility 0 0 0 105 1 2 3 370
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 0 0 1 27
Pricing approximations and error estimates for local L\'evy-type models with default 0 0 0 5 0 0 0 19
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 2 0 0 1 21
Total Working Papers 2 2 9 853 6 13 43 3,079

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Taylor series approach to pricing and implied volatility for local–stochastic volatility models 0 5 5 5 0 15 15 15
Calibration of a path-dependent volatility model: Empirical tests 0 0 0 16 0 0 0 61
Dynamic credit investment in partially observed markets 0 0 0 0 0 0 1 27
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS 0 0 1 6 0 0 4 25
Free boundary and optimal stopping problems for American Asian options 0 0 0 23 0 1 5 113
Intrinsic expansions for averaged diffusion processes 0 0 0 0 0 0 1 10
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 0 2 26
LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS 0 0 1 5 0 1 3 24
McKean–Vlasov stochastic equations with Hölder coefficients 0 0 0 0 0 0 0 0
Numerical solution of kinetic SPDEs via stochastic Magnus expansion 0 0 0 0 0 0 1 4
Path dependent volatility 0 0 1 27 0 3 6 88
Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model 0 0 0 0 0 0 0 10
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 0 0 0 1 16
The exact Taylor formula of the implied volatility 0 0 0 5 0 0 1 34
The forward smile in local–stochastic volatility models 0 0 0 0 0 1 1 1
The parametrix method for parabolic SPDEs 0 0 0 0 0 0 0 7
Total Journal Articles 0 5 8 92 0 21 41 461

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Statistics updated 2025-05-12