8
H index
4
i10 index
152
Citations
Andrea Pascucci : Citation Profile
| RESEARCH PRODUCTION: 16 Articles 24 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (2005 - 2025). 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:
| Cites to:
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Main data
Where Andrea Pascucci has published?
| Journals with more than one article published | # docs |
|---|---|
| Finance and Stochastics | 3 |
| Stochastic Processes and their Applications | 3 |
| Mathematical Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 13 |
| MPRA Paper / University Library of Munich, Germany | 6 |
| Finance / University Library of Munich, Germany | 3 |
Recent works citing Andrea Pascucci (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | From elephant to goldfish (and back): memory in stochastic Volterra processes. (2025). Bonesini, Ofelia ; Grasselli, Martino ; Callegaro, Giorgia ; Pages, Gilles. In: Papers. RePEc:arx:papers:2306.02708. Full description at Econpapers || Download paper |
| 2024 | On the Guyon-Lekeufack Volatility Model. (2024). Nutz, Marcel ; Valdevenito, Andr'Es Riveros. In: Papers. RePEc:arx:papers:2307.01319. Full description at Econpapers || Download paper |
| 2024 | Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility. (2024). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2308.15672. Full description at Econpapers || Download paper |
| 2025 | Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue. In: Papers. RePEc:arx:papers:2401.03776. Full description at Econpapers || Download paper |
| 2024 | Short-maturity asymptotics for option prices with interest rates effects. (2024). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2402.14161. Full description at Econpapers || Download paper |
| 2025 | On short-time behavior of implied volatility in a market model with indexes. (2025). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509. Full description at Econpapers || Download paper |
| 2024 | Short-maturity asymptotics for VIX and European options in local-stochastic volatility models. (2024). Wang, Xiaoyu ; Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2407.16813. Full description at Econpapers || Download paper |
| 2025 | Efficient simulation of the SABR model. (2024). Kwok, Yue Kuen ; Hu, Lilian ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2408.01898. Full description at Econpapers || Download paper |
| 2025 | Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2025). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431. Full description at Econpapers || Download paper |
| 2025 | Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851. Full description at Econpapers || Download paper |
| 2025 | Making Leveraged Exchange-Traded Funds Work for your Portfolio. (2025). Forsyth, Peter ; van Staden, Pieter ; Li, Yuying. In: Papers. RePEc:arx:papers:2506.19200. Full description at Econpapers || Download paper |
| 2025 | The impact of volatility regime dynamics on option pricing. (2025). Liu, Shican ; Fan, Siqi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002778. Full description at Econpapers || Download paper |
| 2025 | Implied local volatility models. (2025). Li, Chenxu ; Xu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001014. Full description at Econpapers || Download paper |
| 2024 | On the Guyon–Lekeufack volatility model. (2024). Nutz, Marcel ; Valdevenito, Andres Riveros. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00544-2. Full description at Econpapers || Download paper |
| 2025 | Propagation of Chaos for Point Processes Induced by Particle Systems with Mean-Field Drift Interaction. (2025). Zhang, Zeyu ; Larsson, Martin ; Kolliopoulos, Nikolaos. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:38:y:2025:i:1:d:10.1007_s10959-024-01397-3. Full description at Econpapers || Download paper |
| 2024 | Robust long-term growth rate of expected utility for leveraged ETFs. (2024). Yeo, Heejun ; Park, Hyungbin ; Leung, Tim. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:4:d:10.1007_s11579-024-00371-1. Full description at Econpapers || Download paper |
Works by Andrea Pascucci:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | Obstacle problem for Arithmetic Asian options In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Dynamic Credit Investment in Partially Observed Markets In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2015 | Dynamic credit investment in partially observed markets.(2015) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2014 | Pricing approximations and error estimates for local L\evy-type models with default In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Explicit implied volatilities for multifactor local-stochastic volatility models In: Papers. [Full Text][Citation analysis] | paper | 32 |
| 2017 | EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS.(2017) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
| 2013 | A Taylor series approach to pricing and implied vol for LSV models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Analytical expansions for parabolic equations In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | A family of density expansions for L\evy-type processes In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Asymptotics for $d$-dimensional L\evy-type processes In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Leveraged {ETF} implied volatilities from {ETF} dynamics In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2016 | Pricing Bermudan options under local L\evy models with default In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Systemic risk in a mean-field model of interbank lending with self-exciting shocks In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2018 | Systemic risk in a mean-field model of interbank lending with self-exciting shocks.(2018) In: IISE Transactions. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2019 | PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Efficient Computation of Various Valuation Adjustments Under Local L\evy Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS In: Mathematical Finance. [Full Text][Citation analysis] | article | 6 |
| 2011 | Black-Scholes formulae for Asian options in local volatility models In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 5 |
| 2009 | Calibration of a path-dependent volatility model: Empirical tests In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2023 | Numerical solution of kinetic SPDEs via stochastic Magnus expansion In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 0 |
| 2017 | Intrinsic expansions for averaged diffusion processes In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 2 |
| 2020 | The parametrix method for parabolic SPDEs In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2025 | McKean–Vlasov stochastic equations with Hölder coefficients In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2009 | Harnack inequality and no-arbitrage bounds for self-financing portfolios In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Analytical approximation of the transition density in a local volatility model In: MPRA Paper. [Full Text][Citation analysis] | paper | 11 |
| 2011 | Expansion formulae for local Lévy models In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Mathematical analysis and numerical methods for pricing pension plans allowing early retirement In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Free boundary and optimal stopping problems for American Asian options In: MPRA Paper. [Full Text][Citation analysis] | paper | 8 |
| 2008 | Free boundary and optimal stopping problems for American Asian options.(2008) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2006 | Path dependent volatility In: MPRA Paper. [Full Text][Citation analysis] | paper | 11 |
| 2008 | Path dependent volatility.(2008) In: Decisions in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| The forward smile in local€“stochastic volatility models In: Journal of Computational Finance. [Full Text][Citation analysis] | article | 0 | |
| A Taylor series approach to pricing and implied volatility for local€“stochastic volatility models In: Journal of Risk. [Full Text][Citation analysis] | article | 0 | |
| 2006 | Degenerate Kolmogorov equations in option pricing In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 2017 | The exact Taylor formula of the implied volatility In: Finance and Stochastics. [Full Text][Citation analysis] | article | 8 |
| 2018 | Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2005 | On the complete model with stochastic volatility by Hobson and Rogers In: Finance. [Full Text][Citation analysis] | paper | 4 |
| 2005 | On the viscosity solutions of a stochastic differential utility problem In: Finance. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Calibration of the Hobson&Rogers model: empirical tests In: Finance. [Full Text][Citation analysis] | paper | 5 |
| 2013 | LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 7 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team