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 6 12 56
A family of density expansions for L\'evy-type processes 0 0 0 6 1 2 6 34
Analytical approximation of the transition density in a local volatility model 0 0 0 32 0 3 9 80
Analytical expansions for parabolic equations 0 0 0 6 0 2 7 37
Asymptotics for $d$-dimensional L\'evy-type processes 0 0 0 7 0 1 7 33
Black-Scholes formulae for Asian options in local volatility models 0 0 0 10 0 2 7 43
Calibration of the Hobson&Rogers model: empirical tests 0 0 1 56 1 4 5 308
Degenerate Kolmogorov equations in option pricing 0 0 0 0 2 4 13 281
Dynamic Credit Investment in Partially Observed Markets 0 0 0 8 1 1 5 40
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 0 1 10 27
Expansion formulae for local Lévy models 0 0 0 16 0 2 14 73
Explicit implied volatilities for multifactor local-stochastic volatility models 0 0 0 29 0 3 10 113
Free boundary and optimal stopping problems for American Asian options 0 0 0 122 1 7 14 321
Harnack inequality and no-arbitrage bounds for self-financing portfolios 0 0 0 23 0 3 9 121
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 1 2 29 1 4 13 120
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement 0 0 0 33 1 7 18 113
Obstacle problem for Arithmetic Asian options 0 0 0 21 0 2 11 77
On the complete model with stochastic volatility by Hobson and Rogers 0 0 0 183 1 7 13 519
On the viscosity solutions of a stochastic differential utility problem 0 0 0 138 0 1 4 409
PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model 0 0 1 4 0 2 6 32
Path dependent volatility 0 0 0 105 1 5 14 385
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 0 2 5 32
Pricing approximations and error estimates for local L\'evy-type models with default 0 0 0 5 1 3 8 27
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 2 0 2 15 36
Total Working Papers 0 1 4 858 12 76 235 3,317

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 3 5 21
Calibration of a path-dependent volatility model: Empirical tests 0 0 0 16 0 3 9 70
Dynamic credit investment in partially observed markets 0 0 0 0 0 1 7 34
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS 0 0 0 6 0 2 8 34
Free boundary and optimal stopping problems for American Asian options 0 0 0 23 0 3 10 123
Intrinsic expansions for averaged diffusion processes 0 0 0 0 0 1 6 16
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 0 12 38
LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS 0 0 0 5 2 3 9 33
McKean–Vlasov stochastic equations with Hölder coefficients 0 0 1 1 0 2 10 10
Numerical solution of kinetic SPDEs via stochastic Magnus expansion 0 0 0 0 0 4 9 13
Path dependent volatility 0 0 1 28 1 6 14 102
Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model 1 1 1 1 1 3 7 17
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 0 1 5 13 29
The exact Taylor formula of the implied volatility 0 0 0 5 0 2 8 42
The forward smile in local–stochastic volatility models 0 0 0 0 0 1 5 6
The parametrix method for parabolic SPDEs 0 0 1 1 2 4 7 14
Total Journal Articles 1 1 4 96 7 43 139 602

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Statistics updated 2026-06-04