Foto del docente

Andrea Pascucci

Full Professor

Department of Mathematics

Academic discipline: MAT/06 Probability and Statistics

Publications

M. Di Francesco; A. Pascucci, A continuous dependence result for ultraparabolic equations in option pricing, «JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS», 2007, 336, pp. 1026 - 1041 [Scientific article]

A. Pascucci, Calcolo Stocastico per la Finanza, MILANO, Springer, 2007, pp. 520 (Unitext). [Research monograph]

A. Pascucci, Free boundary and optimal stopping problems for American Asian options, «FINANCE AND STOCHASTICS», 2007, XII (Issue 1), pp. 21 - 41 [Scientific article]

P. Foschi; A. Pascucci, Kolmogorov equations arising in finance: direct and inverse problems, in: AAVV, Lecture Notes of Seminario Interdisciplinare di Matematica, Università degli Studi della Basilicata, VI, S.N., s.n, 2007, pp. 145 - 156 (atti di: Meeting and subelliptic PDEs and applications to geometry and finance http://www.subelliptic2006.dm.unibo.it/, Cortona, 12-17 giugno 2006) [Contribution to conference proceedings]

M. Di Francesco; A. Pascucci; S. Polidoro, The obstacle problem for a class of hypoelliptic ultraparabolic equations, «PROCEEDINGS OF THE ROYAL SOCIETY OF LONDON. SERIES A», 2007, 464, pp. 155 - 176 [Scientific article]

M. Di francesco; P. Foschi; A. Pascucci, Analysis of an uncertain volatility model, «JOURNAL OF APPLIED MATHEMATICS & DECISION SCIENCES», 2006, 2006, pp. 1 - 17 [Scientific article]Open Access

A. Pascucci ; S. Polidoro, Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators, «TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY», 2006, 358-11, pp. 4873 - 4893 [Scientific article]

Andrea Pascucci, Kolmogorov Equations in Physics and in Finance, in: BANDLE, C.; BERESTYCKI, H.; BRIGHI, B.; BRILLARD, A.; CHIPOT, M.; CORON, J.-M.; SBORDONE, C.; SHAFRIR, I.; VALENTE, V.; VERGARA CAFFARELLI, G., Progress in Nonlinear Differential Equations and Their Applications, VERLAG BASEL, Birkhauser, 2005, 63, pp. 313 - 324 (atti di: Elliptic and parabolic problems. A special tribute to the work of Haim Brezis., Gaeta (Italy), May 30–June 3, 2004) [Contribution to conference proceedings]

Di Francesco M.; Pascucci A.;, On a class of degenerate parabolic equations of Kolmogorov type, «APPLIED MATHEMATICAL RESEARCH EXPRESS», 2005, 3, pp. 77 - 116 [Scientific article]

DI FRANCESCO MARCO; PASCUCCI A., On the complete model with stochastic volatility by Hobson and Rogers, «PROCEEDINGS OF THE ROYAL SOCIETY OF LONDON. SERIES A», 2005, 460, pp. 3327 - 3338 [Scientific article]

Pascucci, Andrea; Polidoro, Sergio, On the cauchy problem for a nonlinear Kolmogorov equation, «SIAM JOURNAL ON MATHEMATICAL ANALYSIS», 2004, 35, pp. 579 - 595 [Scientific article]

PASCUCCI A.; POLIDORO S., On the Harnack inequality for a class of hypoelliptic evolution equations, «TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY», 2004, 356, pp. 4383 - 4394 [Scientific article]

PASCUCCI A.; POLIDORO SERGIO, The Moser's iterative method for a class of ultraparabolic equations, «COMMUNICATIONS IN CONTEMPORARY MATHEMATICS», 2004, 6, pp. 395 - 417 [Scientific article]

Pascucci A.; Polidoro S., A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations, «JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS», 2003, 282, pp. 396 - 409 [Scientific article]

Manfredini M.; Pascucci A., A priori estimates for quasilinear degenerate parabolic equations, «PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY», 2003, 131, pp. 1115 - 1120 [Scientific article]