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Andrea Pascucci
Researcher at University of Bologna
Publications - 142
Citations - 2222
Andrea Pascucci is an academic researcher from University of Bologna. The author has contributed to research in topics: Local volatility & Implied volatility. The author has an hindex of 25, co-authored 135 publications receiving 1987 citations.
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PDE and Martingale Methods in Option Pricing
TL;DR: In this article, an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing is presented, along with an analysis of the classic arbitrage theory in a Markovian setting.
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On a class of degenerate parabolic equations of Kolmogorov type
TL;DR: In this paper, the Levi's parametrix method is used to prove existence, estimates and qualitative properties of a global fundamental solution to ultraparabolic partial differential equations of Kolmogorov type.
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The moser's iterative method for a class of ultraparabolic equations
Andrea Pascucci,Sergio Polidoro +1 more
TL;DR: In this article, the authors adapt the iterative scheme by Moser, to prove that the weak solutions to an ultraparabolic equation, with measurable coefficients, are locally bounded functions, which differs from the classical one in that it is based on some ad hoc Sobolev type inequalities for solutions.
Posted Content
Explicit implied volatilities for multifactor local-stochastic volatility models
TL;DR: In this paper, the authors consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities.
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Pointwise estimates for a class of non-homogeneous Kolmogorov equations
TL;DR: In this article, the authors consider a class of ultraparabolic differential equations that satisfy the Hormander's hypoellipticity condition and prove that the weak solutions to the equation with measurable coefficients are locally bounded functions.