Lorig M.; Pagliarani S.; Pascucci A., Analytical expansions for parabolic equations, «SIAM JOURNAL ON APPLIED MATHEMATICS», 2015, 75, pp. 468 - 491 [Scientific article]
Lorig M.; Pagliarani S.; Pascucci A., Asymptotics for d-dimensional lévy-type processes, in: Springer Proceedings in Mathematics and Statistics, New York, Springer New York LLC, 2015, pp. 321 - 343 (SPRINGER PROCEEDINGS IN MATHEMATICS & STATISTICS) [Chapter or essay]
Pascucci, Andrea; Agostino Capponi; José E. Figueroa-López, Dynamic Credit Investment in Partially Observed Markets, «FINANCE AND STOCHASTICS», 2015, 19, pp. 891 - 939 [Scientific article]
Pascucci Andrea; Stefano Pagliarani; Matthew Lorig, Pricing approximations and error estimates for local Lévy-type models with default, «COMPUTERS & MATHEMATICS WITH APPLICATIONS», 2015, 69, pp. 1189 - 1219 [Scientific article]
Pascucci Andrea; Stefano Pagliarani; Matthew Lorig, Pricing approximations and error estimates for local Lévy-type models with default, «COMPUTERS & MATHEMATICS WITH APPLICATIONS», 2015, 69, pp. 1189 - 1219 [Scientific article]
Bonfiglioli, Andrea; Citti, Giovanna; Cupini, Giovanni; Manfredini, Maria; Montanari, Annamaria; Morbidelli, Daniele; Pascucci, Andrea; Uguzzoni, Francesco; Polidoro Sergio, The Role of Fundamental Solution in Potential and Regularity Theory for Subelliptic PDE, in: Geometric Methods in PDE, Springer, 2015, 13, pp. 341 - 373 (atti di: Geometric methods in PDEs, Cortona, 27-31 maggio 2013) [Contribution to conference proceedings]Open Access
Matthew Lorig; Stefano Pagliarani; Andrea Pascucci, A Taylor series approach to pricing and implied volatility for local–stochastic volatility models, «THE JOURNAL OF RISK», 2014, 17, pp. 3 - 19 [Scientific article]
Andrea Pascucci; Stefano Pagliarani, Asymptotic expansions for degenerate parabolic equations, «COMPTES RENDUS MATHÉMATIQUE», 2014, 352, pp. 1011 - 1016 [Scientific article]
A. Pascucci; C. Riga; S. Pagliarani, Adjoint expansions in local Levy models, «SIAM JOURNAL ON FINANCIAL MATHEMATICS», 2013, 4, pp. 265 - 296 [Scientific article]
P. Foschi; A. Pascucci; S. Pagliarani, Approximations for Asian options in local volatility models, «JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS», 2013, 237, pp. 442 - 459 [Scientific article]
A. Pascucci; S. Pagliarani, Local stochastic volatility with jumps: analytical approximations, «INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE», 2013, 16, Article number: 1350050 , pp. 1 - 35 [Scientific article]
Pascucci A.; M. Suarez-Taboada; C. Vazquez, Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem, «JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS», 2013, 403, pp. 38 - 53 [Scientific article]
A. Pascucci; C. Vázquez Cendón; M.C. Calvo-Garrido, Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement, «SIAM JOURNAL ON APPLIED MATHEMATICS», 2013, 73, pp. 1747 - 1767 [Scientific article]
Pascucci A.; Runggaldier W.J., American options, in: UNITEXT - La Matematica per il 3 piu 2, Berlino, Springer-Verlag Italia s.r.l., 2012, pp. 165 - 221 (COLLANA UNITEXT, LA MATEMATICA PER IL 3+2) [Chapter or essay]
A. Pascucci; S. Pagliarani, Analytical approximation of the transition density in a local volatility model, «CENTRAL EUROPEAN JOURNAL OF MATHEMATICS», 2012, 10-1, pp. 250 - 270 [Scientific article]
