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Pagliarani, Stefano's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
971 |
Total
Citations
5 |
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1.
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Pagliarani, Stefano
University of Padua - Department of Pure and Applied Mathematics Pascucci, Andrea
University of Bologna - Department of Mathematics
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05 Jun 12
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Last Revised:
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06 Sep 12
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300
(48,112)
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local stochastic volatility, Lévy process, analytical approximation, characteristic function, partial integro-differential equation, Fourier methods
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2.
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Paolo Foschi
University of Bologna - Department of Statistics Pagliarani, Stefano
University of Padua - Department of Pure and Applied Mathematics Pascucci, Andrea
University of Bologna - Department of Mathematics
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31 Jul 11
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Last Revised:
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12 Dec 11
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267
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Asian option, analytic approximation, hypoelliptic PDE
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3.
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Pascucci, Andrea
University of Bologna - Department of Mathematics Pagliarani, Stefano
University of Padua - Department of Pure and Applied Mathematics
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222
(67,115)
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option pricing, analytical approximation, local volatility
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4.
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Pagliarani, Stefano
University of Padua - Department of Pure and Applied Mathematics Pascucci, Andrea
University of Bologna - Department of Mathematics Riga, Candia
Scuola Normale Superiore di Pisa
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04 Oct 11
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Last Revised:
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12 Dec 11
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154
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Lévy process, local volatility, analytical approximation, partial integro-differential equation, Fourier methods
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5.
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Capponi, Agostino
Purdue University - School of Industrial Engineering Pagliarani, Stefano
University of Padua - Department of Pure and Applied Mathematics Vargiolu, Tiziano
University of Padua - Department of Pure and Applied Mathematics
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20
(278,416)
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default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function
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6.
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Lorig, Matthew
ORFE Department, Pinceton University Pagliarani, Stefano
University of Padua - Department of Pure and Applied Mathematics Pascucci, Andrea
University of Bologna - Department of Mathematics
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07 Apr 13
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Last Revised:
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02 May 13
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8
(316,294)
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Local volatility, Lévy-type process, Asymptotic expansion, Pseudo-differential calculus, Defaultable asset
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Records 1 -
6
of 6 matches
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