The following pages link to Andrea Pascucci (Q432230):
Displaying 50 items.
- (Q394916) (redirect page) (← links)
- Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem (Q394918) (← links)
- Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
- Approximations for Asian options in local volatility models (Q455879) (← links)
- Expansions asymptotiques pour équations paraboliques dégénérées (Q479939) (← links)
- Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators (Q710528) (← links)
- Dynamic credit investment in partially observed markets (Q889624) (← links)
- Intrinsic Taylor formula for Kolmogorov-type homogeneous groups (Q898831) (← links)
- Free boundary and optimal stopping problems for American Asian options (Q928494) (← links)
- Path dependent volatility (Q940996) (← links)
- Analysis of an uncertain volatility model (Q955456) (← links)
- Calibration of a path-dependent volatility model: empirical tests (Q961413) (← links)
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options (Q976775) (← links)
- PDE and martingale methods in option pricing. (Q986029) (← links)
- Obstacle problem for arithmetic Asian options (Q1046556) (← links)
- A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations (Q1399402) (← links)
- Fujita type results for a class of degenerate parabolic operators (Q1575813) (← links)
- On the fundamental solution for hypoelliptic second order partial differential equations with non-negative characteristic form (Q1576999) (← links)
- Regularity properties of viscosity solutions of a non-Hörmander degenerate equation (Q1606256) (← links)
- Bermudan option valuation under state-dependent models (Q1622628) (← links)
- Nash estimates and upper bounds for non-homogeneous Kolmogorov equations (Q1681863) (← links)
- Superparabolic functions related to second order hypoelliptic operators (Q1819149) (← links)
- On the regularity of solutions to a nonlinear ultraparabolic equation arising in mathematical finance (Q1848302) (← links)
- Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
- Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients (Q2021529) (← links)
- PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model (Q2045957) (← links)
- On stochastic Langevin and Fokker-Planck equations: the two-dimensional case (Q2064317) (← links)
- Local densities for a class of degenerate diffusions (Q2179637) (← links)
- The parametrix method for parabolic SPDEs (Q2196545) (← links)
- A family of density expansions for Lévy-type processes (Q2258531) (← links)
- Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
- A continuous dependence result for ultraparabolic equations in option pricing (Q2381921) (← links)
- Pricing Bermudan options under local Lévy models with default (Q2408753) (← links)
- Pointwise estimates for a class of non-homogeneous Kolmogorov equations (Q2471757) (← links)
- On the stochastic Magnus expansion and its application to SPDEs (Q2666021) (← links)
- On the viscosity solutions of a stochastic differential utility problem (Q2694813) (← links)
- The Role of Fundamental Solution in Potential and Regularity Theory for Subelliptic PDE (Q2800128) (← links)
- Adjoint Expansions in Local Lévy Models (Q2873128) (← links)
- Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement (Q2873873) (← links)
- (Q2897845) (← links)
- On the complete model with stochastic volatility by Hobson and Rogers (Q3024615) (← links)
- MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL (Q3087880) (← links)
- Financial Mathematics (Q3114204) (← links)
- Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators (Q3420347) (← links)
- (Q3602789) (← links)
- Finanza Matematica (Q3639657) (← links)
- (Q4407835) (← links)
- (Q4429188) (← links)
- On the Cauchy Problem for a Nonlinear Kolmogorov Equation (Q4443849) (← links)
- Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (Q4560337) (← links)
