Yuri Saporito
Yuri Saporito
Assistant Professor, School of Applied Mathematics (EMAp), Fundação Getúlio Vargas (FGV)
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Solving nonlinear and high-dimensional partial differential equations via deep learning
A Al-Aradi, A Correia, D Naiff, G Jardim, Y Saporito
arXiv preprint arXiv:1811.08782, 2018
Extensions of the deep Galerkin method
A Al-Aradi, A Correia, G Jardim, D de Freitas Naiff, Y Saporito
Applied Mathematics and Computation 430, 127287, 2022
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
JP Fouque, YF Saporito
Quantitative Finance 18 (6), 1003-1016, 2018
Functional Itô calculus, path-dependence and the computation of Greeks
S Jazaerli, YF Saporito
Stochastic Processes and their Applications 127 (12), 3997-4028, 2017
Path-dependent deep Galerkin method: a neural network approach to solve path-dependent partial differential equations
YF Saporito, Z Zhang
SIAM Journal on Financial Mathematics 12 (3), 912-940, 2021
The calibration of stochastic local-volatility models: An inverse problem perspective
YF Saporito, X Yang, JP Zubelli
Computers & Mathematics with Applications 77 (12), 3054-3067, 2019
Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost
YF Saporito
SIAM Journal on Control and Optimization 57 (2), 1312-1327, 2019
Stochastic control with delayed information and related nonlinear master equation
YF Saporito, J Zhang
SIAM Journal on Control and Optimization 57 (1), 693-717, 2019
Optimal trading with signals and stochastic price impact
JP Fouque, S Jaimungal, YF Saporito
SIAM Journal on Financial Mathematics 13 (3), 944-968, 2022
The functional Meyer-Tanaka formula
YF Saporito
Stochastics and Dynamics, 1850030, 2014
Multiscale stochastic volatility model for derivatives on futures
JP Fouque, YF Saporito, JP Zubelli
International Journal of Theoretical and Applied Finance 17 (07), 1450043, 2014
Price formation in financial markets: a game-theoretic perspective
D Evangelista, Y Saporito, Y Thamsten
arXiv preprint arXiv:2202.11416, 2022
On stochastic Kaczmarz type methods for solving large scale systems of ill-posed equations
JC Rabelo, YF Saporito, A Leitão
Inverse Problems 38 (2), 025003, 2021
KrigHedge: Gaussian process surrogates for delta hedging
M Ludkovski, Y Saporito
Applied Mathematical Finance 28 (4), 330-360, 2021
Functional classification of bitcoin addresses
M Febrero-Bande, W González-Manteiga, B Prallon, YF Saporito
Computational Statistics & Data Analysis 181, 107687, 2023
Optimal trading in automatic market makers with deep learning
S Jaimungal, Y Saporito, MO Souza, Y Thamsten
Available at SSRN, 2023
Avoiding zero probability events when computing Value at Risk contributions
T Koike, Y Saporito, R Targino
Insurance: Mathematics and Economics 106, 173-192, 2022
Forecasting the term structure of commodities future prices using machine learning
M Figueiredo, YF Saporito
Digital Finance 5 (1), 57-90, 2023
Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods
M Merkle, YF Saporito, RS Targino
Statistics & Probability Letters 156, 108600, 2020
Statistical Learning and Inverse Problems: A Stochastic Gradient Approach
YR Fonseca, YF Saporito
Advances in Neural Information Processing Systems 2022, 2022
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