Andrea Pascucci

Publication Activity (10 Years)

Years Active: 2003-2023
Publications (10 Years): 10

Top Topics

Impulsive Noise

Recurrent Neural Networks

Edge Enhancement

Top Venues

Finance Stochastics

Math. Comput. Simul.

Comput. Math. Appl.

Publications

Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
Numerical solution of kinetic SPDEs via stochastic Magnus expansion. Math. Comput. Simul. 207 (2023)
Patrizio Frosini, Ivan Gridelli, Andrea Pascucci
A Probabilistic Result on Impulsive Noise Reduction in Topological Data Analysis through Group Equivariant Non-Expansive Operators. Entropy 25 (8) (2023)
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
Numerical solution of kinetic SPDEs via stochastic Magnus expansion. CoRR (2022)
Patrizio Frosini, Ivan Gridelli, Andrea Pascucci
A probabilistic result on impulsive noise reduction through Group Equivariant Non-Expansive Operators. CoRR (2022)
María del Carmen Calvo-Garrido, Sidi Diop, Andrea Pascucci, Carlos Vázquez
PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model. Commun. Nonlinear Sci. Numer. Simul. 102 (2021)
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
On the Stochastic Magnus Expansion and Its Application to SPDEs. J. Sci. Comput. 89 (3) (2021)
Elena Loli Piccolomini, Stefano Gandolfi, Luca Poluzzi, Luca Tavasci, Pasquale Cascarano, Andrea Pascucci
Recurrent Neural Networks Applied to GNSS Time Series for Denoising and Prediction. TIME (2019)
Marco Di Francesco, Sidy Diop, Andrea Pascucci
CDS calibration under an extended JDCEV model. Int. J. Comput. Math. 96 (9) (2019)
Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models. SIAM J. Financial Math. 9 (1) (2018)
Stefano Pagliarani, Andrea Pascucci
The exact Taylor formula of the implied volatility. Finance Stochastics 21 (3) (2017)
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
Pricing approximations and error estimates for local Lévy-type models with default. Comput. Math. Appl. 69 (10) (2015)
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
Analytical Expansions for Parabolic Equations. SIAM J. Appl. Math. 75 (2) (2015)
Agostino Capponi, José E. Figueroa-López, Andrea Pascucci
Dynamic credit investment in partially observed markets. Finance Stochastics 19 (4) (2015)
Stefano Pagliarani, Andrea Pascucci, Candia Riga
Adjoint Expansions in Local Lévy Models. SIAM J. Financial Math. 4 (1) (2013)
Paolo Foschi, Stefano Pagliarani, Andrea Pascucci
Approximations for Asian options in local volatility models. J. Comput. Appl. Math. 237 (1) (2013)
María del Carmen Calvo-Garrido, Andrea Pascucci, Carlos Vázquez
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement. SIAM J. Appl. Math. 73 (5) (2013)
Francesco Corielli, Paolo Foschi, Andrea Pascucci
Parametrix Approximation of Diffusion Transition Densities. SIAM J. Financial Math. 1 (1) (2010)
Paolo Foschi, Andrea Pascucci
Calibration of a path-dependent volatility model: Empirical tests. Comput. Stat. Data Anal. 53 (6) (2009)
Andrea Pascucci
Free boundary and optimal stopping problems for American Asian options. Finance Stochastics 12 (1) (2008)
Marco Di Francesco, Paolo Foschi, Andrea Pascucci
Analysis of an uncertain volatility model. Adv. Decis. Sci. 2006 (2006)
Andrea Pascucci, Sergio Polidoro
On the Cauchy Problem for a Nonlinear Kolmogorov Equation. SIAM J. Math. Anal. 35 (3) (2003)