Full Professor of Probability and Statistics Email: andrea.pascucci [at ]unibo.it Alma Mater Studiorum - Università di Bologna Office +39 051 2094428Dipartimento di Matematica Webpage at UniboPiazza di Porta san Donato, 5Bologna, ITALY
Research interests
Stochastic partial differential equations of degenerate parabolic type. Kolmogorov equations. Applications to mathematical finance. American options. Asian/path-dependent options and volatility modelling.
Specialties
Free boundary and optimal stopping problems. Analytic approximation of financial derivatives.
