Stefano Pagliarani

Publication Activity (10 Years)

Years Active: 2013-2023
Publications (10 Years): 5

Top Topics

Finite Element Method

Differential Equations

Top Venues

Finance Stochastics

SIAM J. Financial Math.

Math. Comput. Simul.

Publications

Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
Numerical solution of kinetic SPDEs via stochastic Magnus expansion. Math. Comput. Simul. 207 (2023)
Ankush Agarwal, Andrea Amato, Gonçalo Dos Reis, Stefano Pagliarani
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent. CoRR (2023)
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
Numerical solution of kinetic SPDEs via stochastic Magnus expansion. CoRR (2022)
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
On the Stochastic Magnus Expansion and Its Application to SPDEs. J. Sci. Comput. 89 (3) (2021)
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)
Emmanuel Gobet, Stefano Pagliarani
Analytical Approximations of BSDEs with Nonsmooth Driver. SIAM J. Financial Math. 6 (1) (2015)
Stefano Pagliarani, Tiziano Vargiolu
Portfolio optimization in a defaultable Lévy-driven market model. OR Spectr. 37 (3) (2015)
Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu
Pricing vulnerable claims in a Lévy-driven model. Finance Stochastics 18 (4) (2014)
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)