Andrea Pascucci

Finance · 2004–2013

A researcher in the Science corpus: 7 papers; trusts 7 researchers and is trusted by 12 researchers here, as inferred from the citation graph.

Subfields

• Finance — 26 citations into it; #8,894 of 10,518 by trust here, #7,251 by citations
• Applied Mathematics — 6 citations into it; #1,928 of 7,620 by trust here, #3,589 by citations
• Economics and Econometrics — 6 citations into it

Whom Andrea Pascucci trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Emilio Barucci
2. Marco Di Francesco
3. Sergio Polidoro
4. Mark H. A. Davis
5. Roger Lee

Who trusts Andrea Pascucci overall

1. C. Imbert
2. Francesca Anceschi
3. Sergio Polidoro
4. C. Cinti
5. Lanconelli Ermanno
6. François Golse
7. Paolo Foschi
8. Luis Silvestre
9. Pascucci Andrea
10. Marco Di Francesco

Papers from Andrea Pascucci's perspective

Ordered by how strongly the researchers Andrea Pascucci trusts endorse each paper. Same corpus, a different order for every researcher.

1. Some Results on Partial Differential Equations and Asian Options
2. Option Pricing
3. Linear and nonlinear ultraparabolic equations of Kolmogorov type arising in diffusion theory and in finance
4. THE MOSER'S ITERATIVE METHOD FOR A CLASS OF ULTRAPARABOLIC EQUATIONS
5. Influence of cultivation temperature on the ligninolytic activity of selected fungal strains
6. The Pricing of Options and Corporate Liabilities
7. Pricing Derivative Securities
8. Complete–market models of stochastic volatility (Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences)
9. On the trend to global equilibrium in spatially inhomogeneous entropy‐dissipating systems: The linear Fokker‐Planck equation
10. MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

Their papers

• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (2013) — 73 citations
• PDE and Martingale Methods in Option Pricing (2010) — 238 citations
• Path dependent volatility (2008) — 56 citations
• Pointwise estimates for a class of non-homogeneous Kolmogorov equations (2008) — 48 citations
• On a class of degenerate parabolic equations of Kolmogorov type (2005) — 107 citations
• THE MOSER'S ITERATIVE METHOD FOR A CLASS OF ULTRAPARABOLIC EQUATIONS (2004) — 90 citations
• On the complete model with stochastic volatility by Hobson and Rogers (2004) — 53 citations