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 1 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 1 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 0 0 1 9 0 0 1 35
Calibration of the Hobson&Rogers model: empirical tests 0 0 0 55 0 1 3 303
Degenerate Kolmogorov equations in option pricing 0 0 0 0 1 1 2 267
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 0 0 0 58
Explicit implied volatilities for multifactor local-stochastic volatility models 0 0 1 29 0 0 4 103
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 0 0 0 111
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 1 1 27 0 1 3 107
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement 0 0 0 33 0 0 2 94
Obstacle problem for Arithmetic Asian options 0 1 1 21 1 2 2 65
On the complete model with stochastic volatility by Hobson and Rogers 0 0 1 182 1 1 5 505
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 1 1 2 25
Path dependent volatility 0 0 0 105 0 0 1 368
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 0 2 7 851 4 8 37 3,070

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
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 1 1 27
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS 0 0 2 6 0 0 5 25
Free boundary and optimal stopping problems for American Asian options 0 0 0 23 1 3 5 113
Intrinsic expansions for averaged diffusion processes 0 0 0 0 0 1 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 2 23
Numerical solution of kinetic SPDEs via stochastic Magnus expansion 0 0 0 0 0 1 1 4
Path dependent volatility 0 0 1 27 3 5 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 parametrix method for parabolic SPDEs 0 0 0 0 0 0 0 7
Total Journal Articles 0 0 4 87 4 12 25 444

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Statistics updated 2025-03-03