Andrea Pascucci

According to our database, Andrea Pascucci authored at least 20 papers between 2003 and 2023.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2023

A Probabilistic Result on Impulsive Noise Reduction in Topological Data Analysis through Group Equivariant Non-Expansive Operators.

Patrizio Frosini, Ivan Gridelli, Andrea Pascucci

Entropy, August, 2023

Numerical solution of kinetic SPDEs via stochastic Magnus expansion.

Kevin Kamm, Stefano Pagliarani, Andrea Pascucci

Math. Comput. Simul., May, 2023

2022

A probabilistic result on impulsive noise reduction through Group Equivariant Non-Expansive Operators.

Patrizio Frosini, Ivan Gridelli, Andrea Pascucci

CoRR, 2022

2021

On the Stochastic Magnus Expansion and Its Application to SPDEs.

Kevin Kamm, Stefano Pagliarani, Andrea Pascucci

J. Sci. Comput., 2021

PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model.

María del Carmen Calvo-Garrido, Sidi Diop, Andrea Pascucci, Carlos Vázquez

Commun. Nonlinear Sci. Numer. Simul., 2021

2019

CDS calibration under an extended JDCEV model.

Marco Di Francesco, Sidy Diop, Andrea Pascucci

Int. J. Comput. Math., 2019

Recurrent Neural Networks Applied to GNSS Time Series for Denoising and Prediction.

Elena Loli Piccolomini, Stefano Gandolfi, Luca Poluzzi, Luca Tavasci, Pasquale Cascarano, Andrea Pascucci

Proceedings of the 26th International Symposium on Temporal Representation and Reasoning, 2019

2018

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models.

Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee

SIAM J. Financial Math., 2018

2017

The exact Taylor formula of the implied volatility.

Stefano Pagliarani, Andrea Pascucci

Finance Stochastics, 2017

2015

Analytical Expansions for Parabolic Equations.

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci

SIAM J. Appl. Math., 2015

Dynamic credit investment in partially observed markets.

Agostino Capponi, José E. Figueroa-López, Andrea Pascucci

Finance Stochastics, 2015

Pricing approximations and error estimates for local Lévy-type models with default.

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci

Comput. Math. Appl., 2015

2013

Adjoint Expansions in Local Lévy Models.

Stefano Pagliarani, Andrea Pascucci, Candia Riga

SIAM J. Financial Math., 2013

Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement.

María del Carmen Calvo-Garrido, Andrea Pascucci, Carlos Vázquez

SIAM J. Appl. Math., 2013

Approximations for Asian options in local volatility models.

Paolo Foschi, Stefano Pagliarani, Andrea Pascucci

J. Comput. Appl. Math., 2013

2010

Parametrix Approximation of Diffusion Transition Densities.

Francesco Corielli, Paolo Foschi, Andrea Pascucci

SIAM J. Financial Math., 2010

2009

Calibration of a path-dependent volatility model: Empirical tests.

Paolo Foschi, Andrea Pascucci

Comput. Stat. Data Anal., 2009

2008

Free boundary and optimal stopping problems for American Asian options.

Andrea Pascucci

Finance Stochastics, 2008

2006

Analysis of an uncertain volatility model.

Marco Di Francesco, Paolo Foschi, Andrea Pascucci

Adv. Decis. Sci., 2006

2003

On the Cauchy Problem for a Nonlinear Kolmogorov Equation.

Andrea Pascucci, Sergio Polidoro

SIAM J. Math. Anal., 2003