Publications

Papers in Referred Journals

1. C.G. Broyden and P. Foschi. Duality in conjugate gradient methods. Numerical Algorithms, 22(2):113-128, 1999.
2. P. Foschi and E.J. Kontoghiorghes. Estimation of VAR(p) models: computational aspects. Computational Economics, 21(1):3-22, 2003.
3. P. Foschi and E.J. Kontoghiorghes. Seemingly unrelated regression models with unequal size of observations. Computational Statistics & Data Analysis, 41(1):211-229, 2002.
4. P. Foschi and E.J. Kontoghiorghes. A computationally efficient method for solving SUR models with orthogonal regressors. Linear Algebra and its Applications, 388(1):193-200, 2004.
5. P. Foschi and E.J. Kontoghiorghes. Estimating seemingly unrelated regression models with vector autoregressive disturbances. Journal of Economic Dynamics and Control, 28(1):27-44, 2003.
6. P. Foschi, D.A. Belsley and E.J. Kontoghiorghes. A comparative study of algorithms for solving seemingly unrelated regressions models . Computational Statistic & Data Analysis, 44(1-2):3-35, 2003.
7. P.I. Yanev, P. Foschi and E.J. Kontoghiorghes Algorithms for computing the the QRDs of a set of matrices having common columns. Algoritmica, 30(1):83-93, 2004.
8. M. Di Francesco, P. Foschi and A. Pascucci Analysis of an uncertain volatility model. Journal of Applied Mathematics and Decision Sciences, 2006.
9. P. Foschi and A. Pascucci Kolmogorov equations arising in finance: direct and inverse problems. Lecture Notes of Seminario Interdisciplinare di Matematica, Universita' degli Studi della Basilicata, VI:145-156, 2007
10. P. Foschi and A. Pascucci Path dependent volatility. Decisions in Economics and Finance, 2008
11. P. Foschi and A. Pascucci Calibration of the Hobson&Rogers model: empirical tests Computational Statistic & Data Analysis, 2008 (in press).

Papers in Referred Books

12. P. Foschi, L. Garin, and E.J. Kontoghiorghes. 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.
13. E.J. Kontoghiorghes and P. Foschi. Computationally Efficient Methods for Solving SURE Models. Lecture Notes in Computer Science, 1988:490-497. Springer Verlag, 2000.

Technical Reports

• F. Corielli, P. Foschi and A. Pascucci Anlytical approximations for financial derivatives preprint AMS Acta, Universita' di Bologna, 2008 (submitted to Comptes Rendus Mathematique)
• P. Foschi and A. Pascucci Calibration of the Hobson&Rogers model: empirical tests preprint AMS Acta, Universita' di Bologna, 2005 (submitted)
• P. Foschi On the estimation of regressions and seemingly unrelated regressions with error component disturbances. preprint Munich Personal RePEc Archive (nr. 1424), 2007.
• A. Pascucci and P. Foschi Path dependent volatility preprint AMS Acta, Universita' di Bologna, 2006
• P. Foschi and A. Pascucci Kolmogorov equations arising in finance: direct and inverse problems preprint AMS Acta, Universita' di Bologna, 2005
• M. Di Francesco, P. Foschi and A. Pascucci Analysis of an uncertain volatility model preprint AMS Acta, Universita' di Bologna, 2004