1. CDS calibration under an extended JDCEV model. Issue 9 (2nd September 2019) Authors: Di Francesco, Marco; Diop, Sidy; Pascucci, Andrea Journal: International journal of computer mathematics Issue: Volume 96:Issue 9(2019) Page Start: 1735 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
2. Teoria della Probabilità Variabili aleatorie e distribuzioni /: Variabili aleatorie e distribuzioni. (2020) Other Names: Pascucci, Andrea Record Type: Book Extent: 1 online resource View Content: Available online (eLD content is only available in our Reading Rooms) ↗
3. Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model. Issue 4 (4th July 2018) Authors: Diop, Sidy; Pascucci, Andrea; Di Francesco, Marco; De Marchi, Gian Luca Journal: Applied mathematical finance Issue: Volume 25:Issue 4(2018) Page Start: 336 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
4. Analysis of an uncertain volatility model. (19th October 2006) Authors: Di Francesco, Marco; Foschi, Paolo; Pascucci, Andrea Journal: Journal of applied mathematics & decision sciences Issue: Volume 2006(2006) Page Start: Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
5. Systemic risk in a mean-field model of interbank lending with self-exciting shocks. (2nd September 2018) Authors: Borovykh, Anastasia; Pascucci, Andrea; La Rovere, Stefano Journal: IISE transactions Issue: Volume 50:Number 9(2018) Page Start: 806 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
6. Pricing approximations and error estimates for local Lévy-type models with default. (May 2015) Authors: Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea Journal: Computers & mathematics with applications Issue: Volume 69:issue 10(2015) Page Start: 1189 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
7. EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS. (29th September 2015) Authors: Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea Journal: Mathematical finance Issue: Volume 27:Number 3(2017:Jul.) Page Start: 926 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
8. LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS. (19th May 2016) Authors: Leung, Tim; Lorig, Matthew; Pascucci, Andrea Journal: Mathematical finance Issue: Volume 27:Number 4(2017:Oct.) Page Start: 1035 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗