A. Pascucci; W. Runggaldier, Financial Mathematics -
Theory and Problems for Multi-period Models, MILANO, Springer, 2012, pp. 288 (UNITEXT). [Research monograph]
Pascucci A.; Runggaldier W.J., Interest rates, in: UNITEXT - La Matematica per il 3 piu 2, Milano, Springer-Verlag Italia s.r.l., 2012, pp. 223 - 285 (COLLANA UNITEXT, LA MATEMATICA PER IL 3+2) [Chapter or essay]
Pascucci A.; M. Suarez-Taboada; C. Vazquez, Mathematical analysis and numerical methods for a PDE model governing a rachet-cap pricing in the Libor Market Model, «MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES», 2011, 7, pp. 1479 - 1498 [Scientific article]
A. Pascucci, PDE and Martingale methods in option pricing, MILANO, Springer, 2011, pp. 720 (BOCCONI & SPRINGER SERIES). [Research monograph]
K. Nystrom, M. Frentz, S. Polidoro; A. Pascucci, Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options, «MATHEMATISCHE ANNALEN», 2010, 347, pp. 805 - 838 [Scientific article]
A. Pascucci; P. Foschi; F. Corielli, Parametrix approximation of diffusion transition densities, «SIAM JOURNAL ON FINANCIAL MATHEMATICS», 2010, 1, pp. 833 - 867 [Scientific article]
S. Polidoro; K. Nystrom; A. Pascucci, Regularity near the Initial State in the Obstacle Problem for a class of Hypoelliptic Ultraparabolic Operators, «JOURNAL OF DIFFERENTIAL EQUATIONS», 2010, 249, pp. 2044 - 2060 [Scientific article]
S. Polidoro; K. Nystrom; A. Pascucci, Regularity near the Initial State in the Obstacle Problem for a class of Hypoelliptic Ultraparabolic Operators, «JOURNAL OF DIFFERENTIAL EQUATIONS», 2010, 249, pp. 2044 - 2060 [Scientific article]
P. Foschi; A. Pascucci, Calibration of a path-dependent volatility model: empirical tests, «COMPUTATIONAL STATISTICS & DATA ANALYSIS», 2009, 53, pp. 2219 - 2235 [Scientific article]
W. J. Runggaldier; A. Pascucci, Finanza Matematica - Teoria e problemi per modelli multiperiodali, MILANO, Springer, 2009, pp. 264 (Springer Unitext). [Research monograph]
A. Pascucci; S. Polidoro; A. Carciola, Harnack inequality and no-arbitrage bounds for self-financing portfolios, «BOLETIN DE LA SOCIEDAD ESPANOLA DE MATEMATICA APLICADA», 2009, 49, pp. 15 - 27 [Scientific article]
A. Pascucci; L. Monti, Obstacle problem for Arithmetic Asian options, «COMPTES RENDUS MATHÉMATIQUE», 2009, 347, pp. 1443 - 1446 [Scientific article]
Giovanna Citti; Annamaria Montanari; Andrea Pascucci; Sergio Polidoro, Geometric Methods in PDE's: a conference on the occasion of the 65th birthday of Ermanno Lanconelli,
Bologna 27-30 maggio 2008., 2008. [Exhibition]
P. Foschi; A. Pascucci, Path dependent volatility, «DECISIONS IN ECONOMICS AND FINANCE», 2008, 31, pp. 13 - 32 [Scientific article]
C. Cinti; A. Pascucci; S. Polidoro, Pointwise estimates for solutions to a class of non-homogeneous Kolmogorov equations, «MATHEMATISCHE ANNALEN», 2008, 340-2, pp. 237 - 264 [Scientific article]
