Piazzadi Porta San Donato, 5
Bologna, 40126
Italy
http://www.dm.unibo.it/~pascucci
University of Bologna - Department of Mathematics
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local stochastic volatility, Lévy process, analytical approximation, characteristic function, partial integro-differential equation, Fourier methods
Asian option, analytic approximation, hypoelliptic PDE
local-stochastic volatility, implied volatility, Heston, CEV, SABR
option pricing, analytical approximation, local volatility
implied volatility, leveraged ETF, moneyness scaling, local stochastic volatility
Lévy process, local volatility, analytical approximation, partial integro-differential equation, Fourier methods
implied volatility, local diffusions, Markov processes, asymptotic expansion, local-stochastic volatility
forward implied volatility, cliquet option, local volatility, stochastic volatility, analytical approximation, asymptotic expansion
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forward implied volatility, cliquet option, local volatility, stochastic volatility, analytical approximation
retirement plans, options pricing, Kolmogorov equations, complementarity problem, numerical methods, augmented Lagrangian formulation
Fast Fourier Transform, CVA, XVA, BSDE, Characteristic Function
Default risk, Hidden Markov Chain, Partial information, Filtering, Risk sensitive control
Bermudan option, local Lévy model, defaultable asset, asymptotic expansion, Fourier-cosine expansion
asymptotic expansion, degenerate parabolic, PDE, option pricing, analytical approximation, short cylinders, asymptotic convergence, error estimates
Local volatility, Lévy-type process, Asymptotic expansion, Pseudo-differential calculus, Defaultable asset
parabolic PDE, asymptotic expansion, singular perturbation, analytical approximation
Levy-type
credit default swap; hybrid credit-equity model; Constant Elasticity of Variance model; asymptotic expansion; Foreign exchange rate
File name: SSRN-id2791417.pdf Size: 517K
Taylor series, local–stochastic volatility, time-dependent drift, diffusion coefficients