8
H index
4
i10 index
144
Citations
Andrea Pascucci : Citation Profile
| RESEARCH PRODUCTION: 13 Articles 24 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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18 years (2005 - 2023). 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 |
| Mathematical Finance | 2 |
| Stochastic Processes and their Applications | 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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Option pricing under the normal SABR model with Gaussian quadratures. (2023). Ki, Byoung ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2301.02797. Full description at Econpapers || Download paper |
| 2023 | From elephant to goldfish (and back): memory in stochastic Volterra processes. (2023). Pages, Gilles ; Grasselli, Martino ; Callegaro, Giorgia ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2306.02708. Full description at Econpapers || Download paper |
| 2024 | On the Guyon-Lekeufack Volatility Model. (2023). Valdevenito, Andr'Es Riveros ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2307.01319. Full description at Econpapers || Download paper |
| 2024 | Asymptotics for Short Maturity Asian Options in a Jump-Diffusion model with Local Volatility. (2023). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2308.15672. Full description at Econpapers || Download paper |
| 2023 | Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs. (2023). Yeo, Heejun ; Park, Hyungbin ; Leung, Tim. In: Papers. RePEc:arx:papers:2310.02084. 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 |
| 2024 | On short-time behavior of implied volatility in a market model with indexes. (2024). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509. Full description at Econpapers || Download paper |
| 2023 | Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. (2023). Dugdale, Julie ; Reaidy, Paul J ; Madies, Philippe ; Alaeddini, Morteza. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:573-654. Full description at Econpapers || Download paper |
| 2024 | The shortâ€time behavior of VIXâ€implied volatilities in a multifactor stochastic volatility framework. (2019). Pagliarani, Stefano ; Nicolato, Elisa ; Barletta, Andrea. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:3:p:928-966. Full description at Econpapers || Download paper |
| 2023 | Optimal investment and consumption strategies for pooled annuity with partial information. (2023). Li, Danping ; Qian, Linyi ; Chen, LV ; Xie, Lin ; Yang, Zhixin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:129-155. Full description at Econpapers || Download paper |
| 2023 | A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03. 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 | 30 |
| 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: 30 | 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 | 11 |
| 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 | 5 |
| 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: 5 | 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 | 5 |
| 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 |
| 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 | 10 |
| 2008 | Path dependent volatility.(2008) In: Decisions in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 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 November, 3 2024. Contact: CitEc Team