Andrea Pascucci

University of Bologna - Department of Mathematics

Piazzadi Porta San Donato, 5

Bologna, 40126

Italy

http://www.dm.unibo.it/~pascucci

SCHOLARLY PAPERS

20

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CITATIONS
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14

Scholarly Papers (20)

1.

Local Stochastic Volatility with Jumps: Analytical Approximations

Int. J. Theor. Appl. Finan. 16, 1350050, 2013, DOI: org/10.1142/S0219024913500507
Number of pages: 38 Posted: 05 Jun 2012 Last Revised: 19 Nov 2016
Stefano Pagliarani and Andrea Pascucci
DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 586 (44,158)

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local stochastic volatility, Lévy process, analytical approximation, characteristic function, partial integro-differential equation, Fourier methods

2.

Approximations for Asian Options in Local Volatility Models

Foschi P., Pagliarani S., Pascucci A., Journal of Computational and Applied Mathematics, Volume 237, Issue 1, 1 January 2013, Pages 442-459. DOI:10.1016/j.cam.2012.06.015
Number of pages: 30 Posted: 31 Jul 2011 Last Revised: 17 Nov 2016
Paolo Foschi, Stefano Pagliarani and Andrea Pascucci
University of Bologna - Department of Statistics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 514 (52,174)
Citation 3

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Asian option, analytic approximation, hypoelliptic PDE

Explicit Implied Volatilities for Multifactor Local-Stochastic Volatility Models

Number of pages: 36 Posted: 25 Jun 2013 Last Revised: 28 Nov 2014
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 456 (60,000)

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local-stochastic volatility, implied volatility, Heston, CEV, SABR

Explicit Implied Volatilities for Multifactor Local‐Stochastic Volatility Models

Mathematical Finance, Vol. 27, Issue 3, pp. 926-960, 2017
Number of pages: 35 Posted: 15 Jun 2017
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 1 (664,576)
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implied volatility, local‐stochastic volatility, CEV, Heston, SABR

4.

Analytical Approximation of the Transition Density in a Local Volatility Model

Pagliarani, S. & Pascucci, A. centr.eur.j.math. (2012) 10: 250. doi:10.2478/s11533-011-0115-y
Number of pages: 27 Posted: 04 Jun 2011 Last Revised: 17 Nov 2016
Andrea Pascucci and Stefano Pagliarani
University of Bologna - Department of Mathematics and DEAMS, Università di Trieste
Downloads 389 (73,333)
Citation 4

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option pricing, analytical approximation, local volatility

Leveraged ETF Implied Volatilities from ETF Dynamics

Mathematical Finance, Forthcoming
Number of pages: 32 Posted: 28 Apr 2014 Last Revised: 16 Dec 2015
Tim Leung, Matthew Lorig and Andrea Pascucci
University of Washington - Department of Applied Math, University of Washington - Applied Mathematics and University of Bologna - Department of Mathematics
Downloads 283 (104,290)

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implied volatility, leveraged ETF, moneyness scaling, local stochastic volatility

Leveraged ETF Implied Volatilities from ETF Dynamics

Mathematical Finance, Vol. 27, Issue 4, pp. 1035-1068, 2017
Number of pages: 34 Posted: 19 Sep 2017
Tim Leung, Matthew Lorig and Andrea Pascucci
University of Washington - Department of Applied Math, University of Washington - Applied Mathematics and University of Bologna - Department of Mathematics
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implied volatility, local‐stochastic volatility, leveraged exchange‐traded fund, implied volatility scaling

6.

Adjoint Expansions in Local Lévy Models

Pagliarani S., Pascucci, A., Riga C., SIAM J. Finan. Math., 4(1), 265–296. DOI:10.1137/110858732
Number of pages: 36 Posted: 04 Oct 2011 Last Revised: 17 Nov 2016
Stefano Pagliarani, Andrea Pascucci and Candia Riga
DEAMS, Università di Trieste, University of Bologna - Department of Mathematics and Scuola Normale Superiore di Pisa
Downloads 271 (109,795)
Citation 4

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Lévy process, local volatility, analytical approximation, partial integro-differential equation, Fourier methods

7.

The Exact Taylor Formula of the Implied Volatility

Number of pages: 44 Posted: 14 Oct 2015 Last Revised: 07 Oct 2016
Stefano Pagliarani and Andrea Pascucci
DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 234 (127,624)

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implied volatility, local diffusions, Markov processes, asymptotic expansion, local-stochastic volatility

The Forward Smile in Local-Stochastic Volatility Models

Number of pages: 22 Posted: 06 Feb 2015 Last Revised: 10 Feb 2015
Andrea Mazzon and Andrea Pascucci
Gran Sasso Science Institute and University of Bologna - Department of Mathematics
Downloads 178 (165,013)

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forward implied volatility, cliquet option, local volatility, stochastic volatility, analytical approximation, asymptotic expansion

The Forward Smile in Local–Stochastic Volatility Models

Journal of Computational Finance, Forthcoming
Number of pages: 29 Posted: 10 Aug 2016
Andrea Mazzon and Andrea Pascucci
Gran Sasso Science Institute and University of Bologna - Department of Mathematics
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forward implied volatility, cliquet option, local volatility, stochastic volatility, analytical approximation

9.

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

Number of pages: 19 Posted: 06 Feb 2012
University of Bologna - Department of Mathematics, University of Coruña - Department of Mathematics and University of Coruña - Department of Mathematics
Downloads 125 (220,983)

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retirement plans, options pricing, Kolmogorov equations, complementarity problem, numerical methods, augmented Lagrangian formulation

10.

Dynamic Credit Investment in Partially Observed Markets

Finance Stochastics, Forthcoming
Number of pages: 38 Posted: 02 Jun 2014
Columbia University, Purdue University and University of Bologna - Department of Mathematics
Downloads 105 (250,823)

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Default risk, Hidden Markov Chain, Partial information, Filtering, Risk sensitive control

11.

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

Number of pages: 25 Posted: 18 Oct 2016 Last Revised: 20 Aug 2018
University of Bologna - Department of Mathematics, University of Bologna - Department of Mathematics and Center for Mathematics and Computer Science (CWI)
Downloads 92 (273,695)

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Fast Fourier Transform, CVA, XVA, BSDE, Characteristic Function

12.

Pricing Approximations and Error Estimates for Local Levy-Type Models with Default

Annals of Applied Probability, 2014, Forthcoming
Number of pages: 43 Posted: 29 Dec 2013 Last Revised: 28 Nov 2014
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 82 (293,967)

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13.

Pricing Bermudan Options Under Local Lévy Models with Default

Number of pages: 26 Posted: 29 Apr 2016
University of Bologna - Department of Mathematics, University of Bologna - Department of Mathematics and Center for Mathematics and Computer Science (CWI)
Downloads 79 (300,510)

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Bermudan option, local Lévy model, defaultable asset, asymptotic expansion, Fourier-cosine expansion

14.

A Taylor Series Approach to Pricing and Implied Vol for LSV Models

Number of pages: 10 Posted: 24 Aug 2013
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 75 (309,757)

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15.

A Family of Density Expansions for Lévy-Type Processes

Pagliarani, S., A. Pascucci, and C. Riga (2013). Adjoint expansions in local lévy models. SIAM J. Finan. Math. 4(1), 265–296.
Number of pages: 30 Posted: 07 Apr 2013 Last Revised: 28 Dec 2013
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 54 (366,893)
Citation 2

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Local volatility, Lévy-type process, Asymptotic expansion, Pseudo-differential calculus, Defaultable asset

16.

Asymptotic Expansions for Degenerate Parabolic Equations

Number of pages: 7 Posted: 29 May 2014 Last Revised: 28 Nov 2014
Stefano Pagliarani and Andrea Pascucci
DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 41 (411,003)

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asymptotic expansion, degenerate parabolic, PDE, option pricing, analytical approximation, short cylinders, asymptotic convergence, error estimates

17.

Analytical Expansions for Parabolic Equations

Number of pages: 24 Posted: 14 Dec 2013 Last Revised: 28 Nov 2014
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 31 (451,942)
Citation 1

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parabolic PDE, asymptotic expansion, singular perturbation, analytical approximation

18.

Asymptotics for d-Dimensional Levy-Type Processes

Number of pages: 20 Posted: 12 Apr 2014 Last Revised: 28 Nov 2014
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 28 (466,202)

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Levy-type

19.

Sovereign CDS Calibration under a Hybrid Sovereign Risk Model

Applied Mathematical Finance, Forthcoming
Number of pages: 28 Posted: 09 Dec 2018
UnipolSai Assicurazioni SpA, UnipolSai Assicurazioni SpA, University of Bologna and University of Bologna - Department of Mathematics
Downloads 16 (532,335)

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credit default swap; hybrid credit-equity model; Constant Elasticity of Variance model; asymptotic expansion; Foreign exchange rate

20.

A Taylor Series Approach to Pricing and Implied Volatility for Local–Stochastic Volatility Models

Journal of Risk, Vol. 17, No. 2, 2014
Number of pages: 18 Posted: 09 Jun 2016
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Downloads 0 (650,323)
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Taylor series, local–stochastic volatility, time-dependent drift, diffusion coefficients