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Andrea Pascucci
Università di Bologna
Andrea Pascucci is Full Professor of Probability and Statistical Mathematics at the University of Bologna. His activity focuses on several aspects of the theory of stochastic differential equations for diffusions and jump processes, of deterministic degenerate partial differential equations and of the applications to mathematical finance. He wrote 4 books and more than 50 papers on the following topics: linear and non-linear Kolmogorov-Fokker-Plank equations; asymptotic and global estimates of the transition density of multi-dimensional diffusions and jump processes; free boundary, optimal stopping problems and applications to American style financial derivatives; Asian/path-dependent options and volatility modelling. He was invited speaker in more than 40 international conferences.
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Articles by Andrea Pascucci
The forward smile in local–stochastic volatility models
The Authors introduce a closed-form approximation for the forward implied volatilities.