Andrea Pascucci : Citation Profile


Are you Andrea Pascucci?

8

H index

4

i10 index

144

Citations

RESEARCH PRODUCTION:

13

Articles

24

Papers

RESEARCH ACTIVITY:

   18 years (2005 - 2023). See details.
   Cites by year: 8
   Journals where Andrea Pascucci has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 19 (11.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa185
   Updated: 2024-11-04    RAS profile: 2024-02-07    
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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 (9)

Vargiolu, Tiziano (5)

Oosterlee, Cornelis (3)

Iori, Giulia (2)

Foschi, Paolo (2)

Tedeschi, Gabriele (2)

Basdekidou, Vasiliki (2)

Choi, Jaehyuk (2)

Ait-Sahalia, Yacine (1)

Birge, John (1)

Sevcovic, Daniel (1)

Cites to:

Jacquier, Antoine (11)

Oosterlee, Cornelis (10)

Benhamou, Eric (9)

Fang, Fang (7)

Rogers, Leonard (6)

Foschi, Paolo (4)

Chen, Zhiwu (3)

Vargiolu, Tiziano (3)

Cao, Charles (3)

Ang, Andrew (2)

Mele, Antonio (2)

Main data


Where Andrea Pascucci has published?


Journals with more than one article published# docs
Finance and Stochastics3
Stochastic Processes and their Applications2
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 (2024 and 2023)


YearTitle of citing document
2023Option 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

2023From 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

2024On the Guyon-Lekeufack Volatility Model. (2023). Valdevenito, Andr'Es Riveros ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2307.01319.

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2024Asymptotics 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.

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2023Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs. (2023). Yeo, Heejun ; Park, Hyungbin ; Leung, Tim. In: Papers. RePEc:arx:papers:2310.02084.

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2024Short-maturity asymptotics for option prices with interest rates effects. (2024). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2402.14161.

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2024On 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.

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2023Interbank 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.

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2023Optimal 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.

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2023A 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.

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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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paper9
2015Dynamic credit investment in partially observed markets.(2015) In: Finance and Stochastics.
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This paper has nother version. Agregated cites: 9
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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paper30
2017EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS.(2017) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 30
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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paper11
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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paper5
2018Systemic 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
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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article5
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
2023Numerical solution of kinetic SPDEs via stochastic Magnus expansion In: Mathematics and Computers in Simulation (MATCOM).
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article0
2017Intrinsic expansions for averaged diffusion processes In: Stochastic Processes and their Applications.
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article2
2020The parametrix method for parabolic SPDEs In: Stochastic Processes and their Applications.
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article0
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8
article
2006Path dependent volatility In: MPRA Paper.
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paper10
2008Path dependent volatility.(2008) In: Decisions in Economics and Finance.
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This paper has nother version. Agregated cites: 10
article
2006Degenerate Kolmogorov equations in option pricing In: Computing in Economics and Finance 2006.
[Citation analysis]
paper0
2017The exact Taylor formula of the implied volatility In: Finance and Stochastics.
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article8
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).
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article7

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