Concepedia

Paolo Foschi

PF

Statistics

Publications

10

Citations

253

H-Index

10

Active since

2002

Affiliations

University of Neuchâtel(Current)

University of Bologna

Paolo Foschi is an author at University of Neuchâtel specializing in engineering, business, and statistics.

Top concepts

EngineeringBusinessStatisticsAsset PricingOption PricingVolatility ModelingApproximation TheoryRegressionData ScienceEconometrics

Publications per year

2002–2012

10

Publications

10

Parametrix Approximation of Diffusion Transition Densities

Francesco Corielli, Paolo Foschi, Andrea Pascucci · SIAM Journal on Financial Mathematics · 2010 · 48 citations

Numerical Analysis, Engineering, Stochastic Analysis +16

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 comparative study of algorithms for solving seemingly unrelated regressions models

Paolo Foschi, David A. Belsley, Erricos John Kontoghiorghes · Computational Statistics & Data Analysis · 2003 · 33 citations · Full text

Mathematical Programming, Engineering, Data Science +10

Path dependent volatility

Paolo Foschi, Andrea Pascucci · Decisions in Economics and Finance · 2007 · 31 citations

Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +4

Seemingly unrelated regression model with unequal size observations: computational aspects

Paolo Foschi, Erricos John Kontoghiorghes · Computational Statistics & Data Analysis · 2002 · 28 citations · Full text

Engineering, High-dimensional Method, Data Science +7

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