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
Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W., Bermudan option valuation under state-dependent models, in: Springer Proceedings in Mathematics and Statistics, Springer New York LLC, 2017, 214, pp. 127 - 138 (atti di: 2nd International Congress on Actuarial Science and Quantitative Finance, ICASQF 2016, Colombie, 2016) [Contribution to conference proceedings]Open Access
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea, Explicit implied volatilities for multifactor local-stochastic volatility models, «MATHEMATICAL FINANCE», 2017, 27, pp. 926 - 960 [Scientific article]Open Access
Pagliarani, S; Pascucci, A.; Pignotti, M., Intrinsic expansions for averaged diffusion processes, «STOCHASTIC PROCESSES AND THEIR APPLICATIONS», 2017, 127, pp. 2560 - 2585 [Scientific article]
Leung, Tim; Lorig, Matthew; Pascucci, Andrea, LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS, «MATHEMATICAL FINANCE», 2017, 27, pp. 1035 - 1068 [Scientific article]Open Access
Lanconelli, Alberto; Pascucci, Andrea, Nash Estimates and Upper Bounds for Non-homogeneous Kolmogorov Equations, «POTENTIAL ANALYSIS», 2017, 47, pp. 461 - 483 [Scientific article]
Borovykh, A.; Pascucci, A.; Oosterlee, C.W., Pricing Bermudan options under local Lévy models with default, «JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS», 2017, 450, pp. 929 - 953 [Scientific article]Open Access
Pagliarani, Stefano; Pascucci, Andrea, The exact Taylor formula of the implied volatility, «FINANCE AND STOCHASTICS», 2017, 21, pp. 661 - 718 [Scientific article]Open Access
Andrea Mazzon; Andrea Pascucci, The forward smile in local-stochastic volatility models, «THE JOURNAL OF COMPUTATIONAL FINANCE», 2017, 20, pp. 1 - 29 [Scientific article]
Andrea Pascucci; Stefano Pagliarani; Michele Pignotti, Intrinsic Taylor formula for Kolmogorov-type homogeneous groups, «JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS», 2016, 435, pp. 1054 - 1087 [Scientific article]
Lorig M; Pagliarani S.; Pascucci A., A family of density expansions for Lévy-type processes with default, «THE ANNALS OF APPLIED PROBABILITY», 2015, 25, pp. 235 - 267 [Scientific article]Open Access
