Stefano Pagliarani

DEAMS, Università di Trieste

Assistent Professor (RTDA)

Via Valerio n. 4/1

Trieste

Italy

http://www.cmap.polytechnique.fr/~pagliarani/

SCHOLARLY PAPERS

17

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CITATIONS
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15

Scholarly Papers (17)

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 472 (39,594)

Abstract:

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 416 (44,126)
Citation 3

Abstract:

Asian option, analytic approximation, hypoelliptic PDE

3.

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 321 (64,583)
Citation 4

Abstract:

option pricing, analytical approximation, local volatility

4.

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 284 (60,775)

Abstract:

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

5.

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 229 (96,527)
Citation 4

Abstract:

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

6.

Pricing Vulnerable Claims in a Lévy Driven Model

Finance and Stochastics, Forthcoming
Number of pages: 45 Posted: 18 Nov 2012 Last Revised: 15 Feb 2014
Agostino Capponi, Stefano Pagliarani and Tiziano Vargiolu
Columbia University, DEAMS, Università di Trieste and University of Padua - Department of Pure and Applied Mathematics
Downloads 127 (152,932)
Citation 1

Abstract:

default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function

7.

Portfolio Optimization in a Defaultable Lévy Driven Market Model

Number of pages: 40 Posted: 29 May 2014
Stefano Pagliarani and Tiziano Vargiolu
DEAMS, Università di Trieste and University of Padua - Department of Pure and Applied Mathematics
Downloads 67 (244,677)

Abstract:

default, additive processes, logarithmic utility, consumption, terminal wealth, contagion, portfolio optimization, growth-optimal portfolio, HJB, linear programming, verification theorem

8.

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 48 (279,845)

Abstract:

9.

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 44 (248,446)

Abstract:

10.

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 44 (312,714)
Citation 2

Abstract:

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

11.

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 25 (345,858)

Abstract:

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

12.

Analytical Approximations of BSDEs with Non-Smooth Driver

Gobet E., Pagliarani S., SIAM J. Finan. Math., 6(1), 919–958. DOI:10.1137/14100021X,
Number of pages: 40 Posted: 12 Jun 2014 Last Revised: 17 Nov 2016
Emmanuel Gobet and Stefano Pagliarani
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and DEAMS, Università di Trieste
Downloads 22 (324,199)

Abstract:

backward stochastic differential equation, asymptotic expansion

13.

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 17 (415,413)

Abstract:

Levy-type

14.

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 17 (410,410)
Citation 1

Abstract:

parabolic PDE, asymptotic expansion, singular perturbation, analytical approximation

15.

Analytical Approximations of Non-Linear SDEs of McKean-Vlasov Type

Number of pages: 34 Posted: 15 Nov 2016
Emmanuel Gobet and Stefano Pagliarani
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and DEAMS, Università di Trieste
Downloads 0 (440,949)

Abstract:

Nonlinear SDE in the McKean sense, small time/noise approximations, interacting random processes, nonlinear parabolic equations

16.

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 (532,463)

Abstract:

Taylor series, local–stochastic volatility, time-dependent drift, diffusion coefficients

17.

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 0 (138,100)

Abstract:

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