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Yuri F. Saporito

Personal Details

First Name:Yuri
Middle Name:
Last Name:F. Saporito
Suffix:
RePEc Short-ID:pfs6
http://www.yurisaporito.com

Affiliation

Fundação Getulio Vargas (FGV) / Escola de Matemática Aplicada (EMAp) (Getulio Vargas Foundation, School of Applied Mathematics)

http://emap.fgv.br/
Rio de Janeiro, Brazil

Research output

as
Jump to: Working papers Articles

Working papers

  1. Yuri F. Saporito & Xu Yang & Jorge P. Zubelli, 2017. "The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective," Papers 1711.03023, arXiv.org.
  2. Jean-Pierre Fouque & Yuri F. Saporito, 2017. "Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options," Papers 1706.00873, arXiv.org.
  3. Yuri F. Saporito, 2017. "First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment," Papers 1712.07320, arXiv.org.
  4. Samy Jazaerli & Yuri F. Saporito, 2013. "Functional Ito Calculus, Path-dependence and the Computation of Greeks," Papers 1311.3881, arXiv.org, revised Jun 2018.

Articles

  1. J.-P. Fouque & Y. F. Saporito, 2018. "Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options," Quantitative Finance, Taylor & Francis Journals, vol. 18(6), pages 1003-1016, June.
  2. Jean-Pierre Fouque & Yuri F. Saporito & Jorge P. Zubelli, 2014. "Multiscale Stochastic Volatility Model For Derivatives On Futures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(07), pages 1-31.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Yuri F. Saporito & Xu Yang & Jorge P. Zubelli, 2017. "The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective," Papers 1711.03023, arXiv.org.

    Cited by:

    1. Dmitri Goloubentcev & Evgeny Lakshtanov, 2019. "Remarks on stochastic automatic adjoint differentiation and financial models calibration," Papers 1901.04200, arXiv.org.

  2. Samy Jazaerli & Yuri F. Saporito, 2013. "Functional Ito Calculus, Path-dependence and the Computation of Greeks," Papers 1311.3881, arXiv.org, revised Jun 2018.

    Cited by:

    1. Yuri F. Saporito, 2018. "First-Order Asymptotics Of Path-Dependent Derivatives In Multiscale Stochastic Volatility Environment," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-22, May.
    2. Yuri F. Saporito, 2017. "First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment," Papers 1712.07320, arXiv.org.

Articles

  1. Jean-Pierre Fouque & Yuri F. Saporito & Jorge P. Zubelli, 2014. "Multiscale Stochastic Volatility Model For Derivatives On Futures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(07), pages 1-31.

    Cited by:

    1. Jean-Pierre Fouque & Yuri F. Saporito, 2017. "Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options," Papers 1706.00873, arXiv.org.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (3) 2013-11-22 2017-06-11 2018-01-08. Author is listed
  2. NEP-FMK: Financial Markets (1) 2017-06-11. Author is listed
  3. NEP-SEA: South East Asia (1) 2018-01-08. Author is listed

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