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 2 13 57
A family of density expansions for L\'evy-type processes 0 0 0 6 0 1 6 34
Analytical approximation of the transition density in a local volatility model 0 0 0 32 0 0 9 80
Analytical expansions for parabolic equations 0 0 0 6 0 0 7 37
Asymptotics for $d$-dimensional L\'evy-type processes 0 0 0 7 0 0 6 33
Black-Scholes formulae for Asian options in local volatility models 0 0 0 10 1 1 8 44
Calibration of the Hobson&Rogers model: empirical tests 0 0 1 56 0 1 5 308
Degenerate Kolmogorov equations in option pricing 0 0 0 0 0 2 12 281
Dynamic Credit Investment in Partially Observed Markets 0 0 0 8 0 1 5 40
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 0 1 11 28
Expansion formulae for local Lévy models 0 0 0 16 0 0 14 73
Explicit implied volatilities for multifactor local-stochastic volatility models 0 0 0 29 0 2 12 115
Free boundary and optimal stopping problems for American Asian options 0 0 0 122 0 1 14 321
Harnack inequality and no-arbitrage bounds for self-financing portfolios 0 0 0 23 0 0 9 121
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 0 2 29 0 1 13 120
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement 0 0 0 33 0 1 17 113
Obstacle problem for Arithmetic Asian options 0 0 0 21 0 1 11 78
On the complete model with stochastic volatility by Hobson and Rogers 0 0 0 183 0 1 13 519
On the viscosity solutions of a stochastic differential utility problem 0 0 0 138 0 0 4 409
PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model 0 0 0 4 0 0 5 32
Path dependent volatility 0 0 0 105 0 1 13 385
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 1 1 6 33
Pricing approximations and error estimates for local L\'evy-type models with default 0 0 0 5 0 1 8 27
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 2 0 2 17 38
Total Working Papers 0 0 3 858 2 21 238 3,326

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 5 21
Calibration of a path-dependent volatility model: Empirical tests 0 0 0 16 0 0 9 70
Dynamic credit investment in partially observed markets 0 0 0 0 0 0 7 34
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS 0 0 0 6 2 3 11 37
Free boundary and optimal stopping problems for American Asian options 0 0 0 23 0 0 10 123
Intrinsic expansions for averaged diffusion processes 0 0 0 0 0 0 6 16
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 0 0 11 38
LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS 0 0 0 5 0 2 9 33
McKean–Vlasov stochastic equations with Hölder coefficients 0 0 1 1 0 0 10 10
Numerical solution of kinetic SPDEs via stochastic Magnus expansion 0 0 0 0 1 1 10 14
Path dependent volatility 0 0 0 28 0 1 13 102
Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model 0 1 1 1 0 1 6 17
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 0 0 1 12 29
The exact Taylor formula of the implied volatility 0 0 0 5 1 1 8 43
The forward smile in local–stochastic volatility models 0 0 0 0 1 1 6 7
The parametrix method for parabolic SPDEs 0 0 1 1 0 3 8 15
Total Journal Articles 0 1 3 96 5 14 141 609

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Statistics updated 2026-08-07