Sfoglia per Autore PAGLIARANI, Stefano
Analytical approximation of the transition density in a local volatility model
2012-01-01 Pagliarani, S; Pascucci, A
Local stochastic volatility with jumps: analytical approximations
2013-01-01 Pagliarani, S; Pascucci, A
Adjoint expansions in local Lévy models
2013-01-01 Pagliarani, S; Pascucci, A; Riga, C
Approximations for Asian options in local volatility models
2013-01-01 Foschi, P; Pagliarani, S; Pascucci, A
A Taylor series approach to pricing and implied volatility for local–stochastic volatility models
2014-01-01 Lorig, M; Pagliarani, S; Pascucci, A
Pricing vulnerable claims in a Lévy-driven model
2014-01-01 Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano
Portfolio optimization in a defaultable Lévy-driven market model
2014-01-01 Pagliarani, Stefano; Vargiolu, Tiziano
Asymptotic expansions for degenerate parabolic equations
2014-01-01 Pagliarani, S; Pascucci, A
Pricing approximations and error estimates for local Lévy-type models with default
2015-01-01 Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
Asymptotics for d-dimensional Lévy-type processes
2015-01-01 Lorig, M; Pagliarani, S; Pascucci, A
Analytical approximations of BSDEs with non-smooth driver
2015-01-01 Gobet, Emmanuel; Pagliarani, Stefano
A family of density expansions for Lévy-type processes
2015-01-01 Lorig, M; Pagliarani, S; Pascucci, A
Analytical expansions for parabolic equations
2015-01-01 Lorig, M; Pagliarani, S; Pascucci, A
Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
2016-01-01 Pagliarani, Stefano; Pascucci, Andrea; Pignotti, Michele
Intrinsic expansions for averaged diffusion processes
2017-01-01 Pagliarani, S; Pascucci, A.; Pignotti, M.
The exact Taylor formula of the implied volatility
2017-01-01 Pagliarani, Stefano; Pascucci, Andrea
Explicit implied volatilities for multifactor local-stochastic volatility models
2017-01-01 Lorig, M; Pagliarani, S; Pascucci, A
The Short-Time Behaviour of VIX Implied Volatilities in a Multifactor Stochastic Volatility Framework
2018-01-01 Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano
Analytical approximations of non-linear SDEs of McKean–Vlasov type
2018-01-01 Gobet, Emmanuel; Pagliarani, Stefano
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