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Yuri Saporito
Yuri Saporito
Assistant Professor, School of Applied Mathematics (EMAp), Fundação Getúlio Vargas (FGV)
Verified email at fgv.br - Homepage
Title
Cited by
Cited by
Year
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
822018
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
49*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
442018
Functional Itô calculus, path-dependence and the computation of Greeks
S Jazaerli, YF Saporito
Stochastic Processes and their Applications 127 (12), 3997-4028, 2017
292017
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
28*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
272019
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
272019
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
212019
Optimal trading with signals and stochastic price impact
JP Fouque, S Jaimungal, YF Saporito
SIAM Journal on Financial Mathematics 13 (3), 944-968, 2022
162022
The functional Meyer-Tanaka formula
YF Saporito
Stochastics and Dynamics, 1850030, 2014
14*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
102014
KrigHedge: Gaussian process surrogates for delta hedging
M Ludkovski, Y Saporito
Applied Mathematical Finance 28 (4), 330-360, 2021
92021
Price formation in financial markets: a game-theoretic perspective
D Evangelista, Y Saporito, Y Thamsten
arXiv preprint arXiv:2202.11416, 2022
82022
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
82021
Functional classification of bitcoin addresses
M Febrero-Bande, W González-Manteiga, B Prallon, YF Saporito
Computational Statistics & Data Analysis 181, 107687, 2023
62023
Optimal trading in automatic market makers with deep learning
S Jaimungal, Y Saporito, MO Souza, Y Thamsten
Available at SSRN, 2023
62023
Avoiding zero probability events when computing Value at Risk contributions
T Koike, Y Saporito, R Targino
Insurance: Mathematics and Economics 106, 173-192, 2022
6*2022
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
42020
Forecasting the term structure of commodities future prices using machine learning
M Figueiredo, YF Saporito
Digital Finance 5 (1), 57-90, 2023
32023
Vanishing Contagion Spreads
D Duarte, R Prieto, M Rindisbacher, YF Saporito
Management Science 68 (1), 740-772, 2022
32022
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