| EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS M Lorig, S Pagliarani, A Pascucci Mathematical Finance, 2015 | 84 | 2015 |
| Analytical approximation of the transition density in a local volatility model S Pagliarani, A Pascucci Open Mathematics 10 (1), 250-270, 2012 | 64 | 2012 |
| Analytical expansions for parabolic equations M Lorig, S Pagliarani, A Pascucci SIAM Journal on Applied Mathematics 75 (2), 468-491, 2015 | 54 | 2015 |
| Adjoint expansions in local Lévy models S Pagliarani, A Pascucci, C Riga SIAM Journal on Financial Mathematics 4 (1), 265-296, 2013 | 51 | 2013 |
| Approximations for Asian options in local volatility models P Foschi, S Pagliarani, A Pascucci Journal of Computational and Applied Mathematics 237 (1), 442-459, 2013 | 41 | 2013 |
| Intrinsic Taylor formula for Kolmogorov-type homogeneous groups S Pagliarani, A Pascucci, M Pignotti Journal of Mathematical Analysis and Applications 435 (2), 1054-1087, 2016 | 34 | 2016 |
| A family of density expansions for Lévy-type processes M Lorig, S Pagliarani, A Pascucci | 34 | 2015 |
| The parabolic Taylor formula of the implied volatility S Pagliarani, A Pascucci Preprint, available at http://arxiv. org/abs/1510.06084, 2016 | 29* | 2016 |
| Analytical approximations of BSDEs with nonsmooth driver E Gobet, S Pagliarani SIAM Journal on Financial Mathematics 6 (1), 919-958, 2015 | 26 | 2015 |
| Analytical approximations of non-linear SDEs of McKean–Vlasov type E Gobet, S Pagliarani Journal of Mathematical Analysis and Applications 466 (1), 71-106, 2018 | 25 | 2018 |
| Asymptotic expansions for degenerate parabolic equations S Pagliarani, A Pascucci Comptes Rendus Mathematique 352 (12), 1011-1016, 2014 | 21 | 2014 |
| On the stochastic Magnus expansion and its application to SPDEs K Kamm, S Pagliarani, A Pascucci Journal of Scientific Computing 89 (3), 56, 2021 | 20 | 2021 |
| The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework A Barletta, E Nicolato, S Pagliarani Mathematical Finance 29 (3), 928-966, 2019 | 19 | 2019 |
| A Taylor series approach to pricing and implied volatility for local–stochastic volatility models M Lorig, S Pagliarani, A Pascucci Journal of Risk 17 (2), 2014 | 17 | 2014 |
| Pricing vulnerable claims in a Lévy-driven model A Capponi, S Pagliarani, T Vargiolu Finance and Stochastics 18, 755-789, 2014 | 16 | 2014 |
| Local stochastic volatility with jumps: analytical approximations S Pagliarani, A Pascucci International Journal of Theoretical and Applied Finance 16 (08), 1350050, 2013 | 16 | 2013 |
| Black-Scholes formulae for Asian options in local volatility models P Foschi, S Pagliarani, A Pascucci Dipartimento di Scienze Statistiche" Paolo Fortunati", Alma Mater Studiorum …, 2011 | 14 | 2011 |
| Local densities for a class of degenerate diffusions A Lanconelli, S Pagliarani, A Pascucci | 12 | 2020 |
| Intrinsic expansions for averaged diffusion processes S Pagliarani, A Pascucci, M Pignotti Stochastic Processes and their Applications 127 (8), 2560-2585, 2017 | 12 | 2017 |
| A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps A Agarwal, S Pagliarani Stochastics 93 (4), 592-624, 2021 | 10 | 2021 |
Andrea PascucciUniversity of Bologna在 unibo.it 的电子邮件经过验证
