Stefano Pagliarani

12 papers Journal 12
YearRankTypeTitle / Venue / Authors
2023 J jnl
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent.
CoRR
Ankush Agarwal, Andrea Amato, Gonçalo Dos Reis, Stefano Pagliarani
2023 J jnl
Numerical solution of kinetic SPDEs via stochastic Magnus expansion.
Math. Comput. Simul.
Kevin Kamm, Stefano Pagliarani, 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
2017 J jnl
The exact Taylor formula of the implied volatility.
Finance Stochastics
Stefano Pagliarani, Andrea Pascucci
2015 J jnl
Analytical Approximations of BSDEs with Nonsmooth Driver.
SIAM J. Financial Math.
Emmanuel Gobet, Stefano Pagliarani
2015 J jnl
Analytical Expansions for Parabolic Equations.
SIAM J. Appl. Math.
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
2015 J jnl
Portfolio optimization in a defaultable Lévy-driven market model.
OR Spectr.
Stefano Pagliarani, Tiziano Vargiolu
2015 J jnl
Pricing approximations and error estimates for local Lévy-type models with default.
Comput. Math. Appl.
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
2014 J jnl
Pricing vulnerable claims in a Lévy-driven model.
Finance Stochastics
Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu
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