Andrea Pascucci

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Andrea Pascucci is Professor of Probability and Statistics at the University of Bologna. His activity focuses on several aspects of stochastic analysis for diffusions and jump processes, partial differential equations, stochastic filtering and applications in particular to quantitative finance. He wrote 8 books and more than 80 papers on the following topics: linear and non-linear Kolmogorov-Fokker-Plank and McKean-Vlasov equations; asymptotics and global estimates of transition densities of multi-dimensional diffusion and jump processes; free boundary, optimal stopping problems and volatility modelling. He was invited speaker in more than 50 international conferences. He is Associate Editor of the Journal of Computational Finance and SeMA Journal.

He is director of the post-graduate programme in Mathematical Finance of the University of Bologna.