Concepedia

Stefano Pagliarani

SP

Statistics

Publications

16

Citations

409

H-Index

13

Active since

2011

Affiliations

University of Bologna(Current)

École Polytechnique

University of Padua

University of Washington Applied Physics Laboratory

University of Trieste

Stefano Pagliarani is an author at University of Bologna specializing in engineering, business, and multivariate stochastic volatility.

Top concepts

EngineeringBusinessAsset PricingOption PricingVolatility ModelingMultivariate Stochastic VolatilityFinanceNumerical AnalysisStochastic CalculusApproximation Theory

Publications per year

2011–2018

16

Publications

16

Explicit implied volatilities for multifactor local-stochastic volatility models

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci · Institutional Research Information System (University of Udine) · 2017 · 76 citations

Analytical expansions for parabolic equations

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci · Institutional Research Information System (University of Udine) · 2015 · 48 citations

Numerical Analysis, Engineering, Riemann-hilbert Problem +9

Adjoint Expansions in Local Lévy Models

Stefano Pagliarani, Andrea Pascucci, Candia Riga · SIAM Journal on Financial Mathematics · 2013 · 43 citations

Spectral Theory, Option Pricing, Multivariate Stochastic Volatility +14

Approximations for Asian options in local volatility models

Paolo Foschi, Stefano Pagliarani, Andrea Pascucci · Journal of Computational and Applied Mathematics · 2012 · 38 citations

Numerical Analysis, Option Pricing, Volatility Modeling +5

A family of density expansions for Levy-type processes with default

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci · Archivio istituzionale della ricerca (Alma Mater Studiorum Università di Bologna) · 2015 · 32 citations · Full text

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