Andrea Pascucci

21 papers C 1Journal 20
YearRankTypeTitle / Venue / Authors
2023 J jnl
A Probabilistic Result on Impulsive Noise Reduction in Topological Data Analysis through Group Equivariant Non-Expansive Operators.
Entropy
Patrizio Frosini, Ivan Gridelli, Andrea Pascucci
2023 J jnl
Numerical solution of kinetic SPDEs via stochastic Magnus expansion.
Math. Comput. Simul.
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
2022 J jnl
A probabilistic result on impulsive noise reduction through Group Equivariant Non-Expansive Operators.
CoRR
Patrizio Frosini, Ivan Gridelli, Andrea Pascucci
2022 J jnl
Numerical solution of kinetic SPDEs via stochastic Magnus expansion.
CoRR
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
2021 J jnl
On the Stochastic Magnus Expansion and Its Application to SPDEs.
J. Sci. Comput.
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
2021 J jnl
PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model.
Commun. Nonlinear Sci. Numer. Simul.
María del Carmen Calvo-Garrido, Sidi Diop, Andrea Pascucci, Carlos Vázquez
2019 J jnl
CDS calibration under an extended JDCEV model.
Int. J. Comput. Math.
Marco Di Francesco, Sidy Diop, Andrea Pascucci
2019 C conf
Recurrent Neural Networks Applied to GNSS Time Series for Denoising and Prediction.
TIME
Elena Loli Piccolomini, Stefano Gandolfi, Luca Poluzzi, Luca Tavasci, Pasquale Cascarano, Andrea Pascucci
2018 J jnl
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models.
SIAM J. Financial Math.
Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee
2017 J jnl
The exact Taylor formula of the implied volatility.
Finance Stochastics
Stefano Pagliarani, Andrea Pascucci
2015 J jnl
Analytical Expansions for Parabolic Equations.
SIAM J. Appl. Math.
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
2015 J jnl
Dynamic credit investment in partially observed markets.
Finance Stochastics
Agostino Capponi, José E. Figueroa-López, Andrea Pascucci
2015 J jnl
Pricing approximations and error estimates for local Lévy-type models with default.
Comput. Math. Appl.
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
2013 J jnl
Adjoint Expansions in Local Lévy Models.
SIAM J. Financial Math.
Stefano Pagliarani, Andrea Pascucci, Candia Riga
2013 J jnl
Approximations for Asian options in local volatility models.
J. Comput. Appl. Math.
Paolo Foschi, Stefano Pagliarani, Andrea Pascucci
2013 J jnl
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement.
SIAM J. Appl. Math.
María del Carmen Calvo-Garrido, Andrea Pascucci, Carlos Vázquez
2010 J jnl
Parametrix Approximation of Diffusion Transition Densities.
SIAM J. Financial Math.
Francesco Corielli, Paolo Foschi, Andrea Pascucci
2009 J jnl
Calibration of a path-dependent volatility model: Empirical tests.
Comput. Stat. Data Anal.
Paolo Foschi, Andrea Pascucci
2008 J jnl
Free boundary and optimal stopping problems for American Asian options.
Finance Stochastics
Andrea Pascucci
2006 J jnl
Analysis of an uncertain volatility model.
Adv. Decis. Sci.
Marco Di Francesco, Paolo Foschi, Andrea Pascucci
2003 J jnl
On the Cauchy Problem for a Nonlinear Kolmogorov Equation.
SIAM J. Math. Anal.
Andrea Pascucci, Sergio Polidoro