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PDE and Martingale Methods in Option Pricing

Pascucci, Andrea

2nd ed., 2011

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Teoria Della Probabilità: Variabili Aleatorie e Distribuzioni

Pascucci, Andrea

1a Edition 2020, 2020

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On the Stochastic Magnus Expansion and Its Application to SPDEs

Journal of scientific computing, 2021-12, Vol.89 (3), p.56, Article 56

2021

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A Probabilistic Result on Impulsive Noise Reduction in Topological Data Analysis through Group Equivariant Non-Expansive Operators

Entropy (Basel, Switzerland), 2023-07, Vol.25 (8), p.1150

2023

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Teoria Della Probabilità: Processi e Calcolo Stocastico

Pascucci, Andrea

1, 2024

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Approximations for Asian options in local volatility models

Journal of computational and applied mathematics, 2013-01, Vol.237 (1), p.442-459

2013

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Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

SIAM journal on financial mathematics, 2018-01, Vol.9 (1), p.251-273

2018

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On stochastic Langevin and Fokker-Planck equations: The two-dimensional case

Journal of Differential Equations, 2022-02, Vol.310, p.443-483

2022

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Sobolev embeddings for kinetic Fokker-Planck equations

Journal of functional analysis, 2024-04, Vol.286 (7), p.110344, Article 110344

2024

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Probability Theory II: Stochastic Calculus

Pascucci, Andrea

1, 2024

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Analytical approximation of the transition density in a local volatility model

Central European journal of mathematics, 2012-02, Vol.10 (1), p.250-270

2012

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Free boundary and optimal stopping problems for American Asian options

Finance and stochastics, 2008-01, Vol.12 (1), p.21-41

Pascucci, Andrea

2008

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The parametrix method for parabolic SPDEs

Stochastic processes and their applications, 2020-10, Vol.130 (10), p.6226-6245

2020

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Kolmogorov Operators and Their Applications

1, 2024

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EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS

Mathematical finance, 2017-07, Vol.27 (3), p.926-960

2017

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Calcolo stocastico per la finanza

Pascucci, Andrea

2008 edition., 2008

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The exact Taylor formula of the implied volatility

Finance and stochastics, 2017-07, Vol.21 (3), p.661-718

2017

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Numerical solution of kinetic SPDEs via stochastic Magnus expansion

Mathematics and computers in simulation, 2023-05, Vol.207, p.189-208

2023

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The obstacle problem for a class of hypoelliptic ultraparabolic equations

Proceedings of the Royal Society. A, Mathematical, physical, and engineering sciences, 2008-01, Vol.464 (2089), p.155-176

2008

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Nash Estimates and Upper Bounds for Non-homogeneous Kolmogorov Equations

Potential analysis, 2017-11, Vol.47 (4), p.461-483

2017

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Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators

Transactions of the American Mathematical Society, 2006-11, Vol.358 (11), p.4873-4893

2006

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Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients

Journal of evolution equations, 2020-12, Vol.20 (4), p.1399-1417

2020

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Intrinsic Taylor formula for Kolmogorov-type homogeneous groups

Journal of mathematical analysis and applications, 2016-03, Vol.435 (2), p.1054-1087

2016

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Hölder regularity for a Kolmogorov equation

Transactions of the American Mathematical Society, 2003-03, Vol.355 (3), p.901-924

Pascucci, Andrea

2003

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On the complete model with stochastic volatility by Hobson and Rogers

Proceedings of the Royal Society. A, Mathematical, physical, and engineering sciences, 2004-11, Vol.460 (2051), p.3327-3338

2004

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PDE and Martingale Methods in Option Pricing

Teoria Della Probabilità: Variabili Aleatorie e Distribuzioni

On the Stochastic Magnus Expansion and Its Application to SPDEs

A Probabilistic Result on Impulsive Noise Reduction in Topological Data Analysis through Group Equivariant Non-Expansive Operators

Teoria Della Probabilità: Processi e Calcolo Stocastico

Approximations for Asian options in local volatility models

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

On stochastic Langevin and Fokker-Planck equations: The two-dimensional case

Sobolev embeddings for kinetic Fokker-Planck equations

Probability Theory II: Stochastic Calculus

Analytical approximation of the transition density in a local volatility model

Free boundary and optimal stopping problems for American Asian options

The parametrix method for parabolic SPDEs

Kolmogorov Operators and Their Applications

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS

Calcolo stocastico per la finanza

The exact Taylor formula of the implied volatility

Numerical solution of kinetic SPDEs via stochastic Magnus expansion

The obstacle problem for a class of hypoelliptic ultraparabolic equations

Nash Estimates and Upper Bounds for Non-homogeneous Kolmogorov Equations

Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators

Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients

Intrinsic Taylor formula for Kolmogorov-type homogeneous groups

Hölder regularity for a Kolmogorov equation

On the complete model with stochastic volatility by Hobson and Rogers

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