Andrea Pascucci : Citation Profile


Are you Andrea Pascucci?

7

H index

3

i10 index

128

Citations

RESEARCH PRODUCTION:

11

Articles

24

Papers

RESEARCH ACTIVITY:

   14 years (2005 - 2019). See details.
   Cites by year: 9
   Journals where Andrea Pascucci has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 18 (12.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa185
   Updated: 2022-11-19    RAS profile: 2020-08-20    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrea Pascucci.

Is cited by:

Leung, Tim (8)

Vargiolu, Tiziano (5)

Oosterlee, Cornelis (3)

Choi, Jaehyuk (2)

Foschi, Paolo (2)

Tedeschi, Gabriele (2)

Carr, Peter (2)

Iori, Giulia (2)

Basdekidou, Vasiliki (2)

Sevcovic, Daniel (1)

Dai, Min (1)

Cites to:

Jacquier, Antoine (11)

Oosterlee, Cornelis (10)

Benhamou, Eric (9)

Fang, Fang (7)

Carr, Peter (6)

Rogers, Leonard (6)

Foschi, Paolo (4)

Cao, Charles (3)

Vargiolu, Tiziano (3)

Chiarella, Carl (3)

Chen, Zhiwu (3)

Main data


Where Andrea Pascucci has published?


Journals with more than one article published# docs
Finance and Stochastics3
Mathematical Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org13
MPRA Paper / University Library of Munich, Germany6
Finance / University Library of Munich, Germany3

Recent works citing Andrea Pascucci (2022 and 2021)


YearTitle of citing document
2021Closed-form expansions with respect to the mixing solution for option pricing under stochastic volatility. (2019). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:1812.07803.

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2021The Averaging Principle for Non-autonomous Slow-fast Stochastic Differential Equations and an Application to a Local Stochastic Volatility Model. (2021). de Feo, Filippo. In: Papers. RePEc:arx:papers:2012.09082.

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2021Options on Bonds: Implied Volatilities from Affine Short-Rate Dynamics. (2021). Suaysom, Natchanon ; Lorig, Matthew. In: Papers. RePEc:arx:papers:2106.04518.

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2021Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions. (2021). Lorig, Matthew ; Lee, Roger ; Carr, Peter. In: Papers. RePEc:arx:papers:2107.00554.

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2022Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes. (2022). Maurice, Anne-Claire ; Gobet, Emmanuel ; Echenim, Mnacho. In: Papers. RePEc:arx:papers:2207.02989.

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2021Robust replication of volatility and hybrid derivatives on jump diffusions. (2021). Lorig, Matthew ; Lee, Roger ; Carr, Peter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1394-1422.

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2021Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. (2021). Yang, Nian ; Wan, Xiangwei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s016518892100018x.

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2021The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (2021). Wu, Lixin ; Choi, Jaehyuk. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000786.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2021The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. (2021). Iori, Giulia ; Ouellette, Michelle S ; Tedeschi, Gabriele ; Recchioni, Maria Cristina. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:336-360.

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2022.

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2022Options on bonds: implied volatilities from affine short-rate dynamics. (2022). Suaysom, Natchanon ; Lorig, Matthew. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:2:d:10.1007_s10436-022-00407-w.

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2022Optimal Liquidity Control and Systemic Risk in an Interbank Network with Liquidity Shocks and Regime-dependent Interconnectedness. (2022). Watewai, Thaisiri ; Charoensom, Chotipong. In: PIER Discussion Papers. RePEc:pui:dpaper:175.

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2022Reinforcement learning and stochastic optimisation. (2022). Jaimungal, Sebastian. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00467-2.

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Works by Andrea Pascucci:


YearTitleTypeCited
2009Obstacle problem for Arithmetic Asian options In: Papers.
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paper1
2014Dynamic Credit Investment in Partially Observed Markets In: Papers.
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paper8
2015Dynamic credit investment in partially observed markets.(2015) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 8
article
2014Pricing approximations and error estimates for local L\evy-type models with default In: Papers.
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paper0
2014Explicit implied volatilities for multifactor local-stochastic volatility models In: Papers.
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paper26
2017EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS.(2017) In: Mathematical Finance.
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This paper has another version. Agregated cites: 26
article
2013A Taylor series approach to pricing and implied vol for LSV models In: Papers.
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paper1
2014Analytical expansions for parabolic equations In: Papers.
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paper9
2013A family of density expansions for L\evy-type processes In: Papers.
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paper4
2014Asymptotics for $d$-dimensional L\evy-type processes In: Papers.
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paper1
2015Leveraged {ETF} implied volatilities from {ETF} dynamics In: Papers.
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paper10
2016Pricing Bermudan options under local L\evy models with default In: Papers.
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paper2
2018Systemic risk in a mean-field model of interbank lending with self-exciting shocks In: Papers.
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paper4
2018Systemic risk in a mean-field model of interbank lending with self-exciting shocks.(2018) In: IISE Transactions.
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This paper has another version. Agregated cites: 4
article
2019PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model In: Papers.
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paper0
2019Efficient Computation of Various Valuation Adjustments Under Local L\evy Models In: Papers.
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paper1
2017LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS In: Mathematical Finance.
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article3
2011Black-Scholes formulae for Asian options in local volatility models In: Quaderni di Dipartimento.
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paper5
2009Calibration of a path-dependent volatility model: Empirical tests In: Computational Statistics & Data Analysis.
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article1
2017Intrinsic expansions for averaged diffusion processes In: Stochastic Processes and their Applications.
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article3
2009Harnack inequality and no-arbitrage bounds for self-financing portfolios In: MPRA Paper.
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paper1
2011Analytical approximation of the transition density in a local volatility model In: MPRA Paper.
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paper11
2011Expansion formulae for local Lévy models In: MPRA Paper.
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paper2
2012Mathematical analysis and numerical methods for pricing pension plans allowing early retirement In: MPRA Paper.
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paper0
2007Free boundary and optimal stopping problems for American Asian options In: MPRA Paper.
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paper8
2008Free boundary and optimal stopping problems for American Asian options.(2008) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 8
article
2006Path dependent volatility In: MPRA Paper.
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paper7
2008Path dependent volatility.(2008) In: Decisions in Economics and Finance.
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This paper has another version. Agregated cites: 7
article
2006Degenerate Kolmogorov equations in option pricing In: Computing in Economics and Finance 2006.
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paper0
2017The exact Taylor formula of the implied volatility In: Finance and Stochastics.
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article5
2018Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model In: Applied Mathematical Finance.
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article0
2005On the complete model with stochastic volatility by Hobson and Rogers In: Finance.
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paper4
2005On the viscosity solutions of a stochastic differential utility problem In: Finance.
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paper1
2005Calibration of the Hobson&Rogers model: empirical tests In: Finance.
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paper5
2013LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article5

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