[1] Pascucci A., Rondelli A.,
McKean-Vlasov stochastic equations with Holder coefficients
Stochastic Process. Appl. Volume 182, April 2025, 104564, 2025

[2] Pascucci A., Rondelli A.,
Well-posedness of McKean-Vlasov kinetic equations by inversion
Preprint ArXiv, 2025

[3] Pascucci A., Rondelli A., Veretennikov A. Yu.,
Existence and uniqueness results for strongly degenerate McKean-Vlasov equations with rough coefficients
Preprint ArXiv, 2024

[4] Pascucci A., Pesce A.,
Sobolev embeddings for kinetic Fokker-Planck equations
J. Funct. Anal., Vol.286 Issue 7, 2024

[5] Lucertini G., Pagliarani S., Pascucci A.,
Optimal Schauder estimates for kinetic Kolmogorov equations with time measurable coefficients
Preprint ArXiv, 2024

[6] Frosini P., Gridelli I., Pascucci A.,
A probabilistic result on impulsive noise reduction through Group Equivariant Non-Expansive Operators
Entropy 25 (8), 1150, 2023

[7] Kamm K., Pagliarani S., Pascucci A.,
Numerical solution of kinetic SPDEs via stochastic Magnus expansion
Math. Comput. Simulation Volume 207, May 2023, Pages 189-208, 2023

[8] Lucertini G., Pagliarani S., Pascucci A.,
Optimal regularity for degenerate Kolmogorov equations with rough coefficients
J. Evol. Equ. 23:69, 2023

[9] Pascucci A., Pesce A.,
Backward and forward filtering under the weak Hormander condition
Stoch. Partial Differ. Equ. Anal. Comput. (11), pp.177-210 , 2023

[10] Pascucci A., Pesce A.,
On stochastic Langevin and Fokker-Planck equations: the two-dimensional case
J. Differential Equations, Vol. 310 pp.443-483, 2022

[11] Calvo-Garrido M.C., Diop S., Pascucci A., Vazquez C.,
PDE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model
Commun. Nonlinear Sci. Numer. Simul. 102, Paper No. 105914, 2021

[12] Kamm K., Pagliarani S., Pascucci A.,
On the stochastic Magnus expansion and its application to SPDEs
J. Sci. Comput. 89, no. 3, Paper No. 56, 2021

[13] Lanconelli A., Pascucci A., Polidoro S.,
Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients
J. Evol. Equ. 20(4), pp.1399-1417, 2020

[14] Pascucci A., Pesce A.,
The parametrix method for parabolic SPDEs
Stochastic Process. Appl. Volume 130, Issue 10, Pages 6226-6245, 2020

[15] Lanconelli A., Pagliarani S., Pascucci A.,
Local densities for a class of degenerate diffusions
Ann. Inst. H. Poincare Sect. B, Vol. 56, No. 2, pp. 1440-1464, 2020

[16] Pascucci A.,
Teoria della Probabilità
Springer-UNITEXT, 2020

[17] Di Francesco M., Diop S., Pascucci A.,
CDS calibration under an extended JDCEV model
Int. J. Comput. Math. 96, no. 9, 1735-1751, 2019

[18] Loli Piccolomini E., Gandolfi S., Poluzzi L., Tavasci L., Cascarano P., Pascucci A.,
Recurrent Neural Networks Applied to GNSS Time Series for Denoising and Prediction
LIPIcs, Vol. 147, TIME, 2019

[19] Borovykh A., Oosterlee C.W., Pascucci A.,
Efficient XVA computation under local Levy models
SIAM J. Financial Math. 9(1), pp.251-273, 2018

[20] Borovykh A., Pascucci A., La Rovere S.,
Systemic risk in a mean-field model of interbank lending with self-exciting shocks
IISE Transactions 50(9), pp. 806-819, 2018

[21] De Marchi G.L., Di Francesco M., Diop S., Pascucci A.,
Sovereign CDS calibration under a hybrid Sovereign Risk Model
Appl. Math. Finance 25(4), pp.336-360, 2018

[22] Lanconelli A., Pascucci A.,
Nash estimates and upper bounds for non-homogeneous Kolmogorov equations
Potential Anal. 47(4), pp.461-483, 2017

[23] Lorig M., Pagliarani S., Pascucci A.,
Explicit implied volatilities for multifactor local-stochastic volatility models
Math. Finance, Vol. 27 (3) pp.926-960, 2017

[24] Leung T., Lorig M., Pascucci A.,
Leveraged ETF implied volatilities from ETF dynamics
Math. Finance Vol.27 no. 4, pp.1035-1068, 2017

[25] Mazzon A., Pascucci A.,
The forward smile in local-stochastic volatility models
J. Comput. Finance Vol.20 n.3, pp.1-29 , 2017

[26] Pagliarani S., Pascucci A., Pignotti M.,
Intrinsic expansions for averaged diffusion processes
Stochastic Process. Appl., Vol.127 (8) pp.2560-2585, 2017

[27] Pagliarani S., Pascucci A.,
The exact Taylor Formula of the Implied Volatility
Finance Stoch., Vol. 21 (3) pp.661-718, 2017

[28] Borovykh A., Oosterlee C.W., Pascucci A.,
Pricing Bermudan options under local Levy models with default
J. Math. Anal. Appl. Volume 450, Issue 2, Pages 929-953, 2017

[29] Pagliarani S., Pascucci A., Pignotti M.,
Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
J. Math. Anal. Appl. Vol.435-2 , pp.1054-1087, 2016

[30] Lorig M., Pagliarani S., Pascucci A.,
Pricing Approximations and Error Estimates for Local Levy-Type Models with Default
Comput. Math. Appl. Vol.69 pp.1189-1219, 2015

[31] Bonfiglioli A., Citti G., Cupini G., Manfredini M., Montanari A., Morbidelli D., Pascucci A., Polidoro S., Uguzzoni F.,
The role of fundamental solution in Potential and Regularity Theory for subelliptic PDE
Geometric Methods in PDEs, Springer INdAM Series, Vol. 13, pp. 341-373, 2015

[32] Lorig M., Pagliarani S., Pascucci A.,
A family of density expansions for Levy-type processes with default
Annals of Applied Probability, Vol.25 n.1, pp.235-267, 2015

[33] Lorig M., Pagliarani S., Pascucci A.,
Asymptotics for d-Dimensional Levy-Type Processes
Springer Proc. Math. Stat. 110, pp. 321-343, 2015

[34] Capponi A., Figueroa-Lopez J. E., Pascucci A.,
Dynamic credit investment in partially observed markets
Finance Stoch., vol. 19 pp.891-939, 2015

[35] Lorig M., Pagliarani S., Pascucci A.,
Analytical expansions for parabolic equations
SIAM J. Appl. Math., Vol.75 n.2 pp.468-491, 2015

[36] Lorig M., Pagliarani S., Pascucci A.,
A Taylor series approach to pricing and implied volatility for local–stochastic volatility models
Risk, Vol. 17, No 2., pp. 3-19, 2014

[37] Pagliarani S., Pascucci A.,
Asymptotic expansions for degenerate parabolic equations
C. R. Math. Acad. Sci. Paris, Vol.352 n.12, pp.1011-1016, 2014

[38] Pagliarani S., Pascucci A., Riga C.,
Adjoint expansions in local Levy models
SIAM J. Financial Math. 4(1), pp.265-296, 2013

[39] 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

[40] Pascucci A., M. Suarez-Taboada, C. Vazquez,
Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
J. Math. Anal. Appl. 403, pp.38-53, 2013

[41] Pagliarani S., Pascucci A.,
Local stochastic volatility with jumps: analytical approximations
Int. J. Theor. Appl. Finance, 16 (8) (2013) 1350050 (35 pages) DOI: 10.1142/S0219024913500507, 2013

[42] Calvo-Garrido M.C., Pascucci A., Vazquez C.,
Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
SIAM J. Appl. Math., Vol. 73, No. 5, pp. 1747-1767, 2013

[43] Pagliarani S., Pascucci A.,
Analytical approximation of the transition density in a local volatility model
Cent. Eur. J. Math., Vol. 10(1), pp. 250-270, 2012

[44] Pascucci A., Runggaldier W.J.,
Financial Mathematics - Theory and Problems for Multi-period Models
Springer Unitext, 2012

[45] Pascucci A., M. Suarez-Taboada, C. Vazquez,
Mathematical analysis and numerical methods for a PDE model governing a rachet-cap pricing in the Libor Market Model
Math. Models Methods Appl. Sci. (M3AS) 7(21), 2011

[46] Pascucci A.,
PDE and Martingale Methods in Option Pricing
Bocconi&Springer Series, 2011

[47] Nystrom K., Pascucci A., Polidoro S.,
Regularity near the Initial State in the Obstacle Problem for a class of Hypoelliptic Ultraparabolic Operators
J. Differential Equations, 249 pp.2044-2060, 2010

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

[49] Frentz M., Nystrom K., Pascucci A., Polidoro S.,
Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
Math. Ann., Vol. 347, n.4 pp.805-838, 2010

[50] Pascucci A., Runggaldier W.J.,
Finanza Matematica - Teoria e problemi per modelli multiperiodali
Springer Unitext, 2009

[51] Monti L., Pascucci A.,
Obstacle problem for Arithmetic Asian options
C. R. Acad. Sci. Paris, Ser. I, Vol. 347, pp. 1443-1446, 2009

[52] Pascucci A.,
A short course on American options
Notes of the lectures given at the Universities of Daejeon (South Korea) and La Coruna (Spain), 2009

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

[54] Carciola A., Pascucci A., Polidoro S.,
Harnack inequality and no-arbitrage bounds for self-financing portfolios
Bol. Soc. Esp. Mat. Apl. n.49 pp.19-31, 2009

[55] Cinti C., Pascucci A., Polidoro S.,
Pointwise estimates for solutions to a class of non-homogeneous Kolmogorov equations
Math. Ann., Volume 340, n.2, pp.237-264, 2008

[56] Pascucci A.,
Free boundary and optimal stopping problems for American Asian options
Finance Stoch., Volume XII issue 1, pp. 21-41, 2008

[57] Di Francesco M., Pascucci A., Polidoro S.,
The obstacle problem for a class of hypoelliptic ultraparabolic equations
Proc. R. Soc. Lond. A, 464, pp.155-176, 2008

[58] Pascucci A.,
Calcolo Stocastico per la Finanza
Springer Unitext, 2008

[59] 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

[60] Di Francesco M., Pascucci A.,
A continuous dependence result for ultra-parabolic equations in option pricing
J. Math. Anal. Appl., vol. 336, pp. 1026-1041, 2007

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

[62] 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

[63] Pascucci A., Polidoro S.,
Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators
Trans. Amer. Math. Soc., Vol. 358 n.11, 4873-4893, 2006

[64] Pascucci A.,
Kolmogorov Equations in Physics and in Finance
Progress in Nonlinear Differential Equations and Their Applications (Birkhauser), Vol. 63, pp.313-324, 2005

[65] Di Francesco M., Pascucci A.,
On a class of degenerate parabolic equations of Kolmogorov type
AMRX Appl. Math. Res. Express 3, 77-116, 2005

[66] Pascucci A., Polidoro S.,
On the Harnack inequality for a class of hypoelliptic evolution equations
Trans. Amer. Math. Soc. Vol. 356, pp.4383-4394, 2004

[67] Pascucci A., Polidoro S.,
The Moser's iterative method for a class of ultraparabolic equations
Commun. Contemp. Math. Vol.6 n.3, pp.395-417, 2004

[68] Di Francesco M., Pascucci A.,
On the complete model with stochastic volatility by Hobson and Rogers
Proc. R. Soc. Lond. A Vol. 460, pp.3327-3338, 2004

[69] Manfredini M., Pascucci A.,
A priori estimates for quasilinear degenerate parabolic equations
Proc. Amer. Math. Soc. Vol.131, pp.1115-1120, 2003

[70] Pascucci A.,
Hölder regularity for a Kolmogorov equation
Trans. Amer. Math. Soc. Vol.355, pp.901-924, 2003

[71] Pascucci A., Polidoro S.,
A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations
J. Math. Anal. Appl. Vol.282 n.1, pp.396-409, 2003

[72] Pascucci A., Polidoro S.,
On the Cauchy problem for a non linear Kolmogorov equation
SIAM J. Math. Anal. Vol.35 n.3, pp.579-595, 2003

[73] Pascucci A.,
On a convection-diffusion equation with partial diffusivity
Elliptic and parabolic problems (Rolduc/Gaeta, 2001), World Sci. Publishing, River Edge, NJ, pp.204-214, 2002

[74] Antonelli F., Pascucci A.,
On the viscosity solutions of a stochastic differential utility problem
J. Differential Equations Vol.186 n.1, pp.69-87, 2002

[75] Pascucci A., Polidoro S., Lanconelli E.,
Linear and nonlinear ultraparabolic equations of Kolmogorov type arising in diffusion theory and in finance
"Nonlinear Problems in Mathematical Physics and Related Topics Vol. II In Honor of Professor O.A. Ladyzhenskaya" International Mathematical Series, Kluwer Ed. pp.243-265, 2002

[76] Citti G., Pascucci A., Polidoro S.,
On the regularity of solutions to a nonlinear ultraparabolic equation arising in mathematical finance
Differential Integral Equations Vol.14 n.6, pp.701-738, 2001

[77] Citti G., Pascucci A., Polidoro S.,
Regularity properties of viscosity solutions of a non-Hormander degenerate equation
J. Math. Pures Appl. Vol.80 n.9, pp.901-918, 2001

[78] Lanconelli E., Pascucci A.,
Superparabolic functions related to second order hypoelliptic operators
Potential Analysis Vol.11, pp.303-323, 1999

[79] Lanconelli E., Pascucci A.,
On the fundamental solution for hypoelliptic second order partial differential equations with non-negative characteristic form
Ricerche di Matematica Vol. VLVIII n.1, pp.345-357, 1999

[80] Pascucci A.,
Fujita type results for a class of degenerate parabolic operators
Adv. Differential Equations Vol.4 n.5, pp.755-766, 1999

[81] Pascucci A.,
Semilinear equations on nilpotent Lie groups: global existence and blow-up of solutions
Le Matematiche Vol. LIII, Fasc. II, pp.345-357 (1998), 1998