http://foschip.wordpress.com Mon, 15 Nov 2010 14:14:59 +0000 en hourly 1 http://wordpress.com/ http://s2.wp.com/i/buttonw-com.png http://foschip.wordpress.com http://foschip.wordpress.com/2010/11/15/48/ http://foschip.wordpress.com/2010/11/15/48/#comments Mon, 15 Nov 2010 14:13:24 +0000 foschip http://foschip.wordpress.com/?p=48 ]]> F. Corielli, P. Foschi and A. Pascucci Parametrix Approximation of Diffusion Transition Densities SIAM Juornal on Financial Mathematics, Vol. 1, pp. 833-867 2010.

]]> http://foschip.wordpress.com/2010/11/15/48/feed/ 0 foschip http://foschip.wordpress.com/2010/09/22/new-articles-on-sis-magazine/ http://foschip.wordpress.com/2010/09/22/new-articles-on-sis-magazine/#comments Wed, 22 Sep 2010 10:14:46 +0000 foschip http://foschip.wordpress.com/?p=39 ]]> A couple of articles have been published on the Italian Statistics Society online magazine. See

• http://www.sis-statistica.it/magazine/spip.php?article182
• http://www.sis-statistica.it/magazine/spip.php?article183

]]> http://foschip.wordpress.com/2010/09/22/new-articles-on-sis-magazine/feed/ 0 foschip http://foschip.wordpress.com/2008/01/08/play-with-gqrds/ http://foschip.wordpress.com/2008/01/08/play-with-gqrds/#comments Tue, 08 Jan 2008 15:14:17 +0000 foschip http://foschip.wordpress.com/2008/01/08/play-with-gqrds/ ]]> I’ve made a little toy to interactively compute the GQRD of two matrices by means of sequences of Givens rotations.

• Here is the matlab program: VisualGqrd.zip
• and the screenshot:

]]> http://foschip.wordpress.com/2008/01/08/play-with-gqrds/feed/ 0 foschip visual gqrd screenshot http://foschip.wordpress.com/2007/07/27/some-past-talks/ http://foschip.wordpress.com/2007/07/27/some-past-talks/#comments Fri, 27 Jul 2007 09:30:00 +0000 foschip http://foschip.wordpress.com/2007/07/27/some-past-talks/ ]]> Some talks given at various conferences:

• Non-constant volatility models: a comparisonComputing in Economics and Finance 2006 
• Non-constant volatility models: a comparisonErcim WG Matrix Computationa and Statistics 2006 
• Analysis of an uncertain volatility model. Numerical methodsComputational Management Science 2004 
• GLS Estimation of Panel Data models 
• Algorithms for solving SUR models: a comparative studyErcim WG Matrix Computationa and Statistics 2002 
• PhD Thesis Public PresentationNeuchatel 2003 
• Numerical Estimation of VAR modelsComputing in Economics and Finance 2000

]]> http://foschip.wordpress.com/2007/07/27/some-past-talks/feed/ 0 foschip http://foschip.wordpress.com/2007/07/23/im-online/ http://foschip.wordpress.com/2007/07/23/im-online/#comments Mon, 23 Jul 2007 16:06:17 +0000 foschip http://foschip.wordpress.com/2007/07/23/im-online/ ]]> My web site has moved to wordpress.Now I’m online.

]]> http://foschip.wordpress.com/2007/07/23/im-online/feed/ 0 foschip