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Andrea Pascucci

Identifiers

  • name variant Andrea Pascucci 0.60 · backfill

Papers (17)

  1. Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models q-fin.MF · 2019 · author #2
  2. Local densities for a class of degenerate diffusions math.PR · 2018 · author #3
  3. Systemic risk in a mean-field model of interbank lending with self-exciting shocks q-fin.MF · 2017 · author #2
  4. Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients math.AP · 2017 · author #2
  5. Nash estimates and upper bounds for non-homogeneous Kolmogorov equations math.PR · 2016 · author #2
  6. Pricing Bermudan options under local L\'evy models with default q-fin.PR · 2016 · author #3
  7. The exact Taylor formula of the implied volatility math.PR · 2015 · author #2
  8. Intrinsic Taylor formula for Kolmogorov-type homogeneous groups math.AP · 2015 · author #2
  9. Leveraged {ETF} implied volatilities from {ETF} dynamics q-fin.CP · 2014 · author #3
  10. Asymptotics for $d$-dimensional L\'evy-type processes q-fin.CP · 2014 · author #3
  11. A family of density expansions for L\'evy-type processes math.PR · 2013 · author #3
  12. Analytical expansions for parabolic equations math.AP · 2013 · author #3
  13. A Taylor series approach to pricing and implied vol for LSV models q-fin.CP · 2013 · author #3
  14. Explicit implied volatilities for multifactor local-stochastic volatility models q-fin.CP · 2013 · author #3
  15. Pricing approximations and error estimates for local L\'evy-type models with default q-fin.CP · 2013 · author #3
  16. Dynamic Credit Investment in Partially Observed Markets q-fin.PM · 2013 · author #3
  17. Obstacle problem for Arithmetic Asian options math.AP · 2009 · author #2

Mentions

  • 1510.06084 #2 · backfill · confidence 0.70 Andrea Pascucci
  • 1501.03050 #2 · backfill · confidence 0.70 Andrea Pascucci
  • 1404.6792 #3 · backfill · confidence 0.70 Andrea Pascucci
  • 1404.3153 #3 · backfill · confidence 0.70 Andrea Pascucci
  • 1312.7328 #3 · backfill · confidence 0.70 Andrea Pascucci
  • 1312.3314 #3 · backfill · confidence 0.70 Andrea Pascucci
  • 1308.5019 #3 · backfill · confidence 0.70 Andrea Pascucci
  • 1306.5447 #3 · backfill · confidence 0.70 Andrea Pascucci
  • 1304.1849 #3 · backfill · confidence 0.70 Andrea Pascucci
  • 1303.2950 #3 · backfill · confidence 0.70 Andrea Pascucci
  • 0910.4257 #2 · backfill · confidence 0.70 Andrea Pascucci

Frequent Coauthors