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 2 46
A family of density expansions for L\'evy-type processes 0 0 0 6 0 1 1 29
Analytical approximation of the transition density in a local volatility model 0 0 0 32 3 3 4 75
Analytical expansions for parabolic equations 0 0 0 6 1 2 2 32
Asymptotics for $d$-dimensional L\'evy-type processes 0 0 0 7 1 3 4 30
Black-Scholes formulae for Asian options in local volatility models 0 0 1 10 2 3 4 39
Calibration of the Hobson&Rogers model: empirical tests 1 1 1 56 1 1 1 304
Degenerate Kolmogorov equations in option pricing 0 0 0 0 0 1 4 270
Dynamic Credit Investment in Partially Observed Markets 0 0 0 8 1 3 3 38
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 3 5 6 23
Expansion formulae for local Lévy models 0 0 0 16 3 6 7 65
Explicit implied volatilities for multifactor local-stochastic volatility models 0 0 0 29 1 3 3 106
Free boundary and optimal stopping problems for American Asian options 0 0 0 122 2 6 6 313
Harnack inequality and no-arbitrage bounds for self-financing portfolios 0 0 0 23 1 1 3 114
Leveraged {ETF} implied volatilities from {ETF} dynamics 0 1 1 28 2 7 7 114
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement 0 0 0 33 1 2 4 98
Obstacle problem for Arithmetic Asian options 0 0 0 21 1 2 5 69
On the complete model with stochastic volatility by Hobson and Rogers 0 0 1 183 0 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 0 1 4 28
Path dependent volatility 0 0 0 105 1 2 7 375
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 1 3 3 30
Pricing approximations and error estimates for local L\'evy-type models with default 0 0 0 5 1 3 3 22
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 2 5 6 6 27
Total Working Papers 1 2 6 857 31 68 95 3,161

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 1 18 18
Calibration of a path-dependent volatility model: Empirical tests 0 0 0 16 0 3 3 64
Dynamic credit investment in partially observed markets 0 0 0 0 4 6 7 33
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS 0 0 0 6 0 3 4 29
Free boundary and optimal stopping problems for American Asian options 0 0 0 23 1 4 7 117
Intrinsic expansions for averaged diffusion processes 0 0 0 0 2 3 4 13
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS 0 0 0 5 1 2 3 29
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 1 3 3 3
Numerical solution of kinetic SPDEs via stochastic Magnus expansion 0 0 0 0 0 0 0 4
Path dependent volatility 0 0 1 28 1 2 9 94
Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model 0 0 0 0 1 1 2 12
Systemic risk in a mean-field model of interbank lending with self-exciting shocks 0 0 0 0 2 3 4 20
The exact Taylor formula of the implied volatility 0 0 0 5 1 1 2 36
The forward smile in local–stochastic volatility models 0 0 0 0 3 4 5 5
The parametrix method for parabolic SPDEs 0 0 0 0 0 1 1 8
Total Journal Articles 0 1 7 94 17 38 75 510

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2026-01-09