Paolo Foschi
Group Member:

Paolo Foschi
[ Associate Professor (Unibo) ]

paolo.foschi2@unibo.it

http://www3.csr.unibo.it/~foschip


Publications:

[1] Foschi P., Pagliarani S., Pascucci A.,
Black-Scholes formulae for Asian options in local volatility models
J. Comput. Appl. Math., 237, pp. 442-459, 2013

[2] Foschi P., Pascucci A., Corielli F.,
Parametrix approximation of diffusion transition densities
SIAM J. Financial Math., vol.1 pp.833-867, 2010

[3] Foschi P., Pascucci A.,
Calibration of a path-dependent volatility model: empirical tests
Comput. Statist. Data Anal., Volume 53, pp.2219-2235, 2009

[4] Foschi P.,
On the estimation of regressions and seemingly unrelated regressions with error component disturbances
Munich Personal RePEc Archive (nr. 1424), 2007

[5] Foschi P., Pascucci A.,
Kolmogorov equations arising in finance: direct and inverse problems
Lecture Notes of Seminario Interdisciplinare di Matematica, Universita' degli Studi della Basilicata, VI, pp.145-156, 2007

[6] Foschi P., Pascucci A.,
Path dependent volatility
Decis. Econ. Finance, Vol.31 n.1, pp.1-20, 2007

[7] Di Francesco M., Foschi P., Pascucci A.,
Analysis of an uncertain volatility model
J. Appl. Math. Decis. Sci., vol. 2006, Article ID 15609, 17 pages, 2006

[8] Foschi P., Kontoghiorghes E. J.,
Estimation of VAR(p) models: computational aspects
Computational Economics, 21(1):3-22, 2003

[9] Foschi P., Kontoghiorghes E. J.,
Estimating seemingly unrelated regression models with vector autoregressive disturbances
Journal of Economic Dynamics and Control, 2003

[10] Belsley D.A., Foschi P., Kontoghiorghes E. J.,
A comparative study of algorithms for solving seemingly unrelated regressions models
Computational Statistic & Data Analysis, 2003

[11] Foschi P., Kontoghiorghes E. J.,
Estimating SUR models with orthogonal regressors: computational aspects
Linear Algebra and its Applications, 2002

[12] Foschi P., Kontoghiorghes E. J.,
Solution of seemingly unrelated regression models with unequal size of observations
Computational Statistics & Data Analysis, 41(1):211-229, 2002

[13] Foschi P., Garin L., Kontoghiorghes E. J.,
Numerical and computational methods for solving sur models
In E.J. Kontoghiorghes, B. Rustem and S.Siokos editors, Computational Methods in Decision-Making, Economics and Finance, Applied Optimization. Kluwer Academic Publishers, 2002

[14] Foschi P., Kontoghiorghes E. J.,
Numerical estimation of seemingly unrelated regression models
In E.J. Kontoghiorghes, editor, Handbook of Parallel Computing and Statistics, Statistics: Textbooks and Monograph Series. Marcel Dekker Inc., 2002

[15] Foschi P., Kontoghiorghes E. J.,
Algorithms for solving SURE models
Lecture Notes in Computer Science, 1988:490-497. Springer Verlag, 2000

[16] Broyden C. G., Foschi P.,
Duality in conjugate gradient methods
Numerical Algorithms, 22(2):113-128, 1999


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