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ORCIDAndrea Pascucci
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2020 – today
- 2023
[j18]Patrizio Frosini
, Ivan Gridelli, Andrea Pascucci:
A Probabilistic Result on Impulsive Noise Reduction in Topological Data Analysis through Group Equivariant Non-Expansive Operators. Entropy 25(8): 1150 (2023)- [j17]Kevin Kamm, Stefano Pagliarani, Andrea Pascucci:
Numerical solution of kinetic SPDEs via stochastic Magnus expansion. Math. Comput. Simul. 207: 189-208 (2023) - 2022
- [i2]Patrizio Frosini, Ivan Gridelli, Andrea Pascucci:
A probabilistic result on impulsive noise reduction through Group Equivariant Non-Expansive Operators. CoRR abs/2202.14021 (2022) - [i1]Kevin Kamm, Stefano Pagliarani, Andrea Pascucci:
Numerical solution of kinetic SPDEs via stochastic Magnus expansion. CoRR abs/2207.09776 (2022) - 2021
- [j16]María del Carmen Calvo-Garrido, Sidi Diop, Andrea Pascucci, Carlos Vázquez:
PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model. Commun. Nonlinear Sci. Numer. Simul. 102: 105914 (2021) - [j15]Kevin Kamm, Stefano Pagliarani, Andrea Pascucci:
On the Stochastic Magnus Expansion and Its Application to SPDEs. J. Sci. Comput. 89(3): 56 (2021)
2010 – 2019
- 2019
- [j14]Marco Di Francesco, Sidy Diop, Andrea Pascucci:
CDS calibration under an extended JDCEV model. Int. J. Comput. Math. 96(9): 1735-1751 (2019) - [c1]Elena Loli Piccolomini, Stefano Gandolfi, Luca Poluzzi, Luca Tavasci, Pasquale Cascarano, Andrea Pascucci:
Recurrent Neural Networks Applied to GNSS Time Series for Denoising and Prediction. TIME 2019: 10:1-10:12 - 2018
- [j13]Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee:
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models. SIAM J. Financial Math. 9(1): 251-273 (2018) - 2017
- [j12]Stefano Pagliarani, Andrea Pascucci:
The exact Taylor formula of the implied volatility. Finance Stochastics 21(3): 661-718 (2017) - 2015
- [j11]Matthew Lorig, Stefano Pagliarani, Andrea Pascucci:
Pricing approximations and error estimates for local Lévy-type models with default. Comput. Math. Appl. 69(10): 1189-1219 (2015) - [j10]Agostino Capponi, José E. Figueroa-López, Andrea Pascucci:
Dynamic credit investment in partially observed markets. Finance Stochastics 19(4): 891-939 (2015) - [j9]Matthew Lorig, Stefano Pagliarani, Andrea Pascucci:
Analytical Expansions for Parabolic Equations. SIAM J. Appl. Math. 75(2): 468-491 (2015) - 2013
- [j8]Paolo Foschi, Stefano Pagliarani, Andrea Pascucci:
Approximations for Asian options in local volatility models. J. Comput. Appl. Math. 237(1): 442-459 (2013) - [j7]María del Carmen Calvo-Garrido, Andrea Pascucci, Carlos Vázquez:
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement. SIAM J. Appl. Math. 73(5): 1747-1767 (2013) - [j6]Stefano Pagliarani, Andrea Pascucci, Candia Riga:
Adjoint Expansions in Local Lévy Models. SIAM J. Financial Math. 4(1): 265-296 (2013) - 2010
- [j5]Francesco Corielli, Paolo Foschi, Andrea Pascucci:
Parametrix Approximation of Diffusion Transition Densities. SIAM J. Financial Math. 1(1): 833-867 (2010)
2000 – 2009
- 2009
- [j4]Paolo Foschi, Andrea Pascucci:
Calibration of a path-dependent volatility model: Empirical tests. Comput. Stat. Data Anal. 53(6): 2219-2235 (2009) - 2008
- [j3]Andrea Pascucci:
Free boundary and optimal stopping problems for American Asian options. Finance Stochastics 12(1): 21-41 (2008) - 2006
- [j2]Marco Di Francesco, Paolo Foschi, Andrea Pascucci:
Analysis of an uncertain volatility model. Adv. Decis. Sci. 2006: 15609:1-15609:17 (2006) - 2003
- [j1]Andrea Pascucci, Sergio Polidoro:
On the Cauchy Problem for a Nonlinear Kolmogorov Equation. SIAM J. Math. Anal. 35(3): 579-595 (2003)
Coauthor Index
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