Parametrix approximation of diffusion transition densities F Corielli, P Foschi, A Pascucci Preprint, 2009 | 65 | 2009 |
A comparative study of algorithms for solving seemingly unrelated regressions models P Foschi, DA Belsley, EJ Kontoghiorghes Computational Statistics & Data Analysis 44 (1-2), 3-35, 2003 | 43 | 2003 |
Approximations for Asian options in local volatility models P Foschi, S Pagliarani, A Pascucci Journal of Computational and Applied Mathematics 237 (1), 442-459, 2013 | 41 | 2013 |
Path dependent volatility P Foschi, A Pascucci Decisions in Economics and Finance 31, 13-32, 2008 | 41 | 2008 |
Seemingly unrelated regression model with unequal size observations: computational aspects P Foschi, EJ Kontoghiorghes Computational statistics & data analysis 41 (1), 211-229, 2002 | 39 | 2002 |
Estimation of var models computational aspects P Foschi, EJ Kontoghiorghes Computational Economics 21, 3-22, 2003 | 29 | 2003 |
Analysis of an uncertain volatility model M Di Francesco, P Foschi, A Pascucci Journal of Applied Mathematics & Decision Sciences 2006, 1-17, 2006 | 24 | 2006 |
Algorithms for computing the QR decomposition of a set of matrices with common columns P Yanev, P Foschi, EJ Kontoghiorghes Algorithmica 39, 83-93, 2004 | 22 | 2004 |
Kolmogorov equations arising in finance: direct and inverse problems P Foschi, A Pascucci Lect. Notes of Seminario Interdisciplinare di Matematica. Universita degli …, 2007 | 15 | 2007 |
Black-Scholes formulae for Asian options in local volatility models P Foschi, S Pagliarani, A Pascucci Dipartimento di Scienze Statistiche" Paolo Fortunati", Alma Mater Studiorum …, 2011 | 14 | 2011 |
Calibration of the Hobson&Rogers model: empirical tests P Foschi, A Pascucci | 14 | 2005 |
Estimating seemingly unrelated regression models with vector autoregressive disturbances P Foschi, EJ Kontoghiorghes Journal of Economic Dynamics and Control 28 (1), 27-44, 2003 | 13 | 2003 |
Calibration of a path-dependent volatility model: Empirical tests P Foschi, A Pascucci Computational statistics & data analysis 53 (6), 2219-2235, 2009 | 8 | 2009 |
A computationally efficient method for solving SUR models with orthogonal regressors P Foschi, EJ Kontoghiorghes Linear algebra and its applications 388, 193-200, 2004 | 8 | 2004 |
Numerical and computational strategies for solving seemingly unrelated regression models P Foschi, L Garin, EJ Kontoghiorghes Computational Methods in Decision-Making, Economics and Finance, 405-427, 2002 | 6 | 2002 |
Numerical methods for estimating linear econometric models P Foschi Université de Neuchâtel, 2004 | 4 | 2004 |
Duality in conjugate gradient methods CG Broyden, P Foschi Numerical Algorithms 22, 113-128, 1999 | 3 | 1999 |
Parametrix approximations for non constant coefficient parabolic PDEs P Foschi, L Pieressa, S Polidoro | 2 | 2008 |
Computationally E. cient Methods for Solving SURE Models EJ Kontoghiorghes, P Foschi International Conference on Numerical Analysis and Its Applications, 490-498, 2000 | 2 | 2000 |
The geometry of PLS shrinkages P Foschi University of Bologna, 2015 | 1 | 2015 |