Yuri F. Saporito

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Functional classification of bitcoin addresses Computational Statistics and Data Analysis	2023-07-11	Paper
A mathematical framework for dynamical social interactions with dissimulation Journal of Nonlinear Science	2022-12-08	Paper
Avoiding zero probability events when computing value at risk contributions Insurance Mathematics & Economics	2022-09-14	Paper
Optimal trading with signals and stochastic price impact SIAM Journal on Financial Mathematics	2022-08-22	Paper
Krighedge: Gaussian process surrogates for delta hedging Applied Mathematical Finance	2022-07-26	Paper
Extensions of the deep Galerkin method Applied Mathematics and Computation	2022-06-21	Paper
On stochastic Kaczmarz type methods for solving large scale systems of ill-posed equations Inverse Problems	2022-01-11	Paper
Path-dependent deep Galerkin method: a neural network approach to solve path-dependent partial differential equations SIAM Journal on Financial Mathematics	2021-09-08	Paper
Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation SIAM Journal on Financial Mathematics	2020-11-07	Paper
The calibration of stochastic local-volatility models: an inverse problem perspective Computers & Mathematics with Applications	2020-10-02	Paper
Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods Statistics & Probability Letters	2020-01-20	Paper
Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost SIAM Journal on Control and Optimization	2019-04-23	Paper
Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options Quantitative Finance	2018-11-14	Paper
The functional Meyer–Tanaka formula Stochastics and Dynamics	2018-08-29	Paper
First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment International Journal of Theoretical and Applied Finance	2018-06-07	Paper
Functional Itô calculus, path-dependence and the computation of Greeks Stochastic Processes and their Applications	2017-11-09	Paper
Multiscale stochastic volatility model for derivatives on futures International Journal of Theoretical and Applied Finance	2015-01-21	Paper

Research outcomes over time

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