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 3 4 6 50
A family of density expansions for L\'evy-type processes 0 0 0 6 2 3 4 32
Analytical approximation of the transition density in a local volatility model 0 0 0 32 0 5 6 77
Analytical expansions for parabolic equations 0 0 0 6 0 4 5 35
Asymptotics for $d$-dimensional L\'evy-type processes 0 0 0 7 0 3 6 32
Black-Scholes formulae for Asian options in local volatility models 0 0 1 10 0 4 6 41
Calibration of the Hobson&Rogers model: empirical tests 0 1 1 56 0 1 1 304
Degenerate Kolmogorov equations in option pricing 0 0 0 0 2 7 10 277
Dynamic Credit Investment in Partially Observed Markets 0 0 0 8 0 2 4 39
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 1 6 9 26
Expansion formulae for local Lévy models 0 0 0 16 0 9 13 71
Explicit implied volatilities for multifactor local-stochastic volatility models 0 0 0 29 0 5 7 110
Free boundary and optimal stopping problems for American Asian options 0 0 0 122 0 3 7 314
Harnack inequality and no-arbitrage bounds for self-financing portfolios 0 0 0 23 2 5 7 118
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 1 28 1 4 9 116
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement 0 0 0 33 3 9 12 106
Obstacle problem for Arithmetic Asian options 0 0 0 21 2 7 10 75
On the complete model with stochastic volatility by Hobson and Rogers 0 0 1 183 1 3 7 512
On the viscosity solutions of a stochastic differential utility problem 0 0 0 138 1 3 4 408
PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model 0 0 2 4 0 2 5 30
Path dependent volatility 0 0 0 105 0 6 12 380
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 0 1 3 30
Pricing approximations and error estimates for local L\'evy-type models with default 0 0 0 5 0 3 5 24
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 2 0 12 13 34
Total Working Papers 0 1 6 857 18 111 171 3,241

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 0 5 0 0 3 18
Calibration of a path-dependent volatility model: Empirical tests 0 0 0 16 0 3 6 67
Dynamic credit investment in partially observed markets 0 0 0 0 0 4 6 33
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS 0 0 0 6 0 3 7 32
Free boundary and optimal stopping problems for American Asian options 0 0 0 23 1 4 7 120
Intrinsic expansions for averaged diffusion processes 0 0 0 0 1 4 5 15
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 4 10 12 38
LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS 0 0 0 5 0 5 7 30
McKean–Vlasov stochastic equations with Hölder coefficients 0 0 1 1 0 6 8 8
Numerical solution of kinetic SPDEs via stochastic Magnus expansion 0 0 0 0 1 5 5 9
Path dependent volatility 0 0 1 28 1 3 8 96
Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model 0 0 0 0 0 3 4 14
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 0 0 6 8 24
The exact Taylor formula of the implied volatility 0 0 0 5 2 5 6 40
The forward smile in local–stochastic volatility models 0 0 0 0 0 3 4 5
The parametrix method for parabolic SPDEs 1 1 1 1 2 2 3 10
Total Journal Articles 1 1 3 95 12 66 99 559

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Statistics updated 2026-03-04