My name is Yuri F. Saporito and I am currently an Assistant Professor at the School of Applied Mathematics at Fundação Getulio Vargas (FGV EMAp). I am also the director of undergraduate studies for the Data Science program.
My main research interests are Functional Itô Calculus and Quantitative Finance in general. I am interested in applications of Machine Learning techniques to Applied Mathematics and Finance.
I have graduated with a Ph.D. in Financial Mathematics from the Statistics and Applied Probability Department at UCSB, where I was sponsored by CAPES and Fulbright. My advisor was Professor Jean-Pierre Fouque, the director of the CFMAR.
During the summers of my Ph.D, I interned at Bloomberg LP under the supervision of Dr. Bruno Dupire. Moreover, after concluding my Ph.D, I was a Quant Developer at SPX Capital.