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 1 2 3 46
A family of density expansions for L\'evy-type processes 0 0 0 6 1 1 1 29
Analytical approximation of the transition density in a local volatility model 0 0 0 32 0 0 1 72
Analytical expansions for parabolic equations 0 0 0 6 0 1 1 31
Asymptotics for $d$-dimensional L\'evy-type processes 0 0 0 7 1 2 3 29
Black-Scholes formulae for Asian options in local volatility models 0 0 1 10 1 1 2 37
Calibration of the Hobson&Rogers model: empirical tests 0 0 0 55 0 0 1 303
Degenerate Kolmogorov equations in option pricing 0 0 0 0 1 1 4 270
Dynamic Credit Investment in Partially Observed Markets 0 0 0 8 2 2 2 37
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 1 2 3 20
Expansion formulae for local Lévy models 0 0 0 16 1 3 4 62
Explicit implied volatilities for multifactor local-stochastic volatility models 0 0 0 29 0 2 2 105
Free boundary and optimal stopping problems for American Asian options 0 0 0 122 0 4 4 311
Harnack inequality and no-arbitrage bounds for self-financing portfolios 0 0 0 23 0 0 2 113
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 1 2 28 2 5 6 112
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement 0 0 0 33 0 1 3 97
Obstacle problem for Arithmetic Asian options 0 0 1 21 1 1 5 68
On the complete model with stochastic volatility by Hobson and Rogers 0 0 1 183 1 2 5 509
On the viscosity solutions of a stochastic differential utility problem 0 0 0 138 0 0 1 405
PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model 0 0 2 4 1 1 4 28
Path dependent volatility 0 0 0 105 1 2 6 374
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 2 2 2 29
Pricing approximations and error estimates for local L\'evy-type models with default 0 0 0 5 1 2 2 21
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 2 0 1 1 22
Total Working Papers 0 1 7 856 18 38 68 3,130

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 0 5 5 0 2 18 18
Calibration of a path-dependent volatility model: Empirical tests 0 0 0 16 1 3 3 64
Dynamic credit investment in partially observed markets 0 0 0 0 1 2 3 29
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS 0 0 0 6 2 3 4 29
Free boundary and optimal stopping problems for American Asian options 0 0 0 23 1 3 6 116
Intrinsic expansions for averaged diffusion processes 0 0 0 0 0 1 2 11
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 1 1 2 28
LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS 0 0 0 5 0 1 3 25
McKean–Vlasov stochastic equations with Hölder coefficients 0 1 1 1 0 2 2 2
Numerical solution of kinetic SPDEs via stochastic Magnus expansion 0 0 0 0 0 0 1 4
Path dependent volatility 0 0 1 28 0 1 10 93
Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model 0 0 0 0 0 0 1 11
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 0 1 1 2 18
The exact Taylor formula of the implied volatility 0 0 0 5 0 0 1 35
The forward smile in local–stochastic volatility models 0 0 0 0 1 1 2 2
The parametrix method for parabolic SPDEs 0 0 0 0 0 1 1 8
Total Journal Articles 0 1 7 94 8 22 61 493

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Statistics updated 2025-12-06