Foto del docente

Andrea Pascucci

Full Professor

Department of Mathematics

Academic discipline: MAT/06 Probability and Statistics

Publications

Ruolo editoriale nella rivista «Journal of Computational Finance»

Pascucci A.; Pesce A., On stochastic Langevin and Fokker-Planck equations: The two-dimensional case, «JOURNAL OF DIFFERENTIAL EQUATIONS», 2022, 310, pp. 443 - 483 [Scientific article]

Silvia Benvenuti, Alessia Cattabriga, Mirella Manaresi, Andrea Pascucci, PLS per la formazione di futuri docenti e docenti in servizio: le esperienze del Dipartimento di Matematica dell'Università di Bologna, in: Professione insegnante - Quali strategie per la formazione?, Napoli, Guida Editori Srl, 2022, Tomo I, pp. 775 - 780 (atti di: Professione insegnante: quali strategie per la formazione?, Napoli, 15-17 giugno 2020) [Contribution to conference proceedings]

Kamm, Kevin; Pagliarani, Stefano; Pascucci, Andrea, On the Stochastic Magnus Expansion and Its Application to SPDEs, «JOURNAL OF SCIENTIFIC COMPUTING», 2021, 89, pp. 1 - 31 [Scientific article]Open Access

Carmen Calvo-Garrido, M.; Diop, Sidi; Pascucci, Andrea; Vázquez, Carlos, PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model, «COMMUNICATIONS IN NONLINEAR SCIENCE & NUMERICAL SIMULATION», 2021, 102, Article number: 105914 , pp. 1 - 12 [Scientific article]Open Access

Coordination of a Research Project: Valuation Adjustments for Improved Risk Management - ABC-EU-XVA.

Lanconelli A.; Pascucci A.; Polidoro S., Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients, «JOURNAL OF EVOLUTION EQUATIONS», 2020, 20, pp. 1399 - 1417 [Scientific article]Open Access

Lanconelli A.; Pagliarani S.; Pascucci A., Local densities for a class of degenerate diffusions, «ANNALES DE L'INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES», 2020, 56, pp. 1440 - 1464 [Scientific article]Open Access

pascucci, Teoria della Probabilità - Variabili aleatorie e distribuzioni, Milano, Springer-Verlag Italia, 2020, pp. 356 (UNITEXT). [Research monograph]

Pascucci A.; Pesce A., The parametrix method for parabolic SPDEs, «STOCHASTIC PROCESSES AND THEIR APPLICATIONS», 2020, 130, pp. 6226 - 6245 [Scientific article]Open Access

Di Francesco M.; Diop S.; Pascucci A., CDS calibration under an extended JDCEV model, «INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS», 2019, 96, pp. 1735 - 1751 [Scientific article]Open Access

Elena Loli Piccolomini, Stefano Gandolfi, Luca Poluzzi, Luca Tavasci, Pasquale Cascarano, Andrea Pascucci, Recurrent Neural Networks Applied to GNSS Time Series for Denoising and Prediction, in: 26th International Symposium on Temporal Representation and Reasoning (TIME 2019), Schloss Dagstuhl--Leibniz-Zentrum fuer Informatik, 2019, 147, pp. 1 - 12 (atti di: 26th International Symposium on Temporal Representation and Reasoning (TIME 2019), Malaga, 16-19 October 2019) [Contribution to conference proceedings]

andrea pascucci; anastasia borovykh; cornelis w. oosterlee, Efficient Computation of Various Valuation Adjustments Under Local Lévy Models, «SIAM JOURNAL ON FINANCIAL MATHEMATICS», 2018, 9, pp. 251 - 273 [Scientific article]Open Access

Diop, Sidy; Pascucci, Andrea*; Di Francesco, Marco; De Marchi, Gian Luca, Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model, «APPLIED MATHEMATICAL FINANCE», 2018, 25, pp. 336 - 360 [Scientific article]Open Access

Borovykh, Anastasia; Pascucci, Andrea; La Rovere, Stefano*, Systemic risk in a mean-field model of interbank lending with self-exciting shocks, «IISE TRANSACTIONS», 2018, 50, pp. 806 - 819 [Scientific article]Open Access