Yuri F. Saporito

Available identifiers

zbMath Open saporito.yuri-fMaRDI QIDQ1679473

List of research outcomes

Publication	Date of Publication	Type
Functional classification of bitcoin addresses	2023-07-11	Paper
A mathematical framework for dynamical social interactions with dissimulation	2022-12-08	Paper
Avoiding zero probability events when computing value at risk contributions	2022-09-14	Paper
Optimal Trading with Signals and Stochastic Price Impact	2022-08-22	Paper
KrigHedge: Gaussian Process Surrogates for Delta Hedging	2022-07-26	Paper
Extensions of the deep Galerkin method	2022-06-21	Paper
On stochastic Kaczmarz type methods for solving large scale systems of ill-posed equations	2022-01-11	Paper
Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations	2021-09-08	Paper
Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation	2020-11-07	Paper
The calibration of stochastic local-volatility models: an inverse problem perspective	2020-10-02	Paper
Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods	2020-01-20	Paper
Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost	2019-04-23	Paper
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options	2018-11-14	Paper
The functional Meyer–Tanaka formula	2018-08-29	Paper
FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT	2018-06-07	Paper
Functional Itô calculus, path-dependence and the computation of Greeks	2017-11-09	Paper
MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES	2015-01-21	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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