Yuri Fahham Saporito
Formação:
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University of California Santa Barbara
Mathematical Finance | Doutorado | 2010 - 2014
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Universidade Federal do Rio de Janeiro
Matemática Aplicada | Mestrado | 2007 - 2009
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Universidade Federal do Rio de Janeiro
Matemática Aplicada | Graduação | 2004 - 2008
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Colégio São Vicente de Paulo
| Ensino Médio (2o grau) | 2001 - 2003
Laboratórios:
Nenhum laboratório cadastrado
Nuvens de Palavras:
Artigos:
(100.00% artigos com DOI)
| Titulo | DOI | Ano |
|---|---|---|
| Functional Classification of Bitcoin Addresses | 10.1016/j.csda.2022.107687 | 2023 |
| Forecasting the term structure of commodities future prices using machine learning | 10.1007/s42521-022-00069-3 | 2023 |
| A Mathematical Framework for Dynamical Social Interactions with Dissimulation | 10.1007/s00332-022-09867-w | 2023 |
| Vanishing Contagion Spreads | 10.1287/mnsc.2020.3868 | 2022 |
| KrigHedge: Gaussian Process Surrogates for Delta Hedging | 10.1080/1350486X.2022.2039250 | 2022 |
| Extensions of the deep Galerkin method | 10.1016/j.amc.2022.127287 | 2022 |
| Optimal Trading with Signals and Stochastic Price Impact | 10.1137/21M1394473 | 2022 |
| Avoiding zero probability events when computing Value at Risk contributions | 10.1016/j.insmatheco.2022.06.004 | 2022 |
| On stochastic Kaczmarz type methods for solving large scale systems of ill-posed equations | 10.1088/1361-6420/ac3f80 | 2022 |
| Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations | 10.1137/20M1329597 | 2021 |
| Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods | 10.1016/j.spl.2019.108600 | 2020 |
| Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation | 10.1137/20M1347334 | 2020 |
| Stochastic Control with Delayed Information and Related Nonlinear Master Equation | 10.1137/17M1154746 | 2019 |
| The calibration of stochastic local-volatility models: An inverse problem perspective | 10.1016/j.camwa.2019.01.029 | 2019 |
| Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost | 10.1137/18M1186186 | 2019 |
| Endogenous asymmetric money illusion | 10.1016/j.jbankfin.2019.105681 | 2019 |
| Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options | 10.1080/14697688.2017.1412493 | 2018 |
| First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment | 10.1142/S0219024918500243 | 2018 |
| Functional Itô calculus, path-dependence and the computation of Greeks | 10.1016/j.spa.2017.03.015 | 2017 |
| The functional Meyer-Tanaka formula | 10.1142/s0219493718500302 | 2017 |
| MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES | 10.1142/s0219024914500435 | 2014 |
Eventos:
Nenhum evento cadastrado