Stefano Pagliarani

According to our database, Stefano Pagliarani authored at least 11 papers between 2013 and 2023.

Collaborative distances:

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

2023

Numerical solution of kinetic SPDEs via stochastic Magnus expansion.

Kevin Kamm, Stefano Pagliarani, Andrea Pascucci

Math. Comput. Simul., May, 2023

Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent.

Ankush Agarwal, Andrea Amato, Gonçalo Dos Reis, Stefano Pagliarani

CoRR, 2023

2021

On the Stochastic Magnus Expansion and Its Application to SPDEs.

Kevin Kamm, Stefano Pagliarani, Andrea Pascucci

J. Sci. Comput., 2021

2017

The exact Taylor formula of the implied volatility.

Stefano Pagliarani, Andrea Pascucci

Finance Stochastics, 2017

2015

Analytical Approximations of BSDEs with Nonsmooth Driver.

Emmanuel Gobet, Stefano Pagliarani

SIAM J. Financial Math., 2015

Analytical Expansions for Parabolic Equations.

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci

SIAM J. Appl. Math., 2015

Portfolio optimization in a defaultable Lévy-driven market model.

Stefano Pagliarani, Tiziano Vargiolu

OR Spectr., 2015

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

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci

Comput. Math. Appl., 2015

2014

Pricing vulnerable claims in a Lévy-driven model.

Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu

Finance Stochastics, 2014

2013

Adjoint Expansions in Local Lévy Models.

Stefano Pagliarani, Andrea Pascucci, Candia Riga

SIAM J. Financial Math., 2013

Approximations for Asian options in local volatility models.

Paolo Foschi, Stefano Pagliarani, Andrea Pascucci

J. Comput. Appl. Math., 2013