2022

Functional Itô Calculus: theory, applications and numerical methods. II Workshop On control Theory and partial differential equations, October 2022, Rio de Janeiro, Brazil.

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Functional Itô Calculus: theory, applications and numerical methods. Semi-plenary at CNMAC, September 2022, Campinas, Brazil.

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Gradient Boosting for Solving PDEs. Machine learning for PDEs workshop, September 2022, London, England.

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PDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations. Research in Options, August 2022, Rio de Janeiro, Brazil.

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2021

Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost. Seminário científico MATH AmSud, November 2021, online.

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Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost. Seminário de EDP e Matemática Aplicada, November 2021, online.

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PDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations. Mathematical Congress of the Americas, July 2021, online.

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Extensions of the Deep Galerkin Method: Fokker-Planck, Hamilton-Jacobi-Bellman and Path-Dependent. Numerics for Evolutive Problems and Applications, February 2021, online.

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Extensions of the Deep Galerkin Method: Fokker-Planck, Hamilton-Jacobi-Bellman and Path-Dependent. Colóquio do Departamento de Matemática UFSC, January 2021, Florianopolis, Brazil.

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PDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations. Bachelier Finance Society One World Seminars Online, January 2021.

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2019

Stochastic Control and Differential Games with Path-Dependent Controls. SIAM Conference on Financial Mathematics & Engineering, June 2019, Toronto, Canada.

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Functional Itô Calculus: the Deterministic Case with Application to Optimal Control. Workshop on Optimal Control & Mean-Field Games, 2019, Rio de Janeiro, RJ, Brazil.

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Functional Itô Calculus and Applications to Stochastic Control. Workshop in Stochastic Analysis and Applications, 2019, Campinas, SP, Brazil.

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Gradient Boosting for Inverse Problems. Workshop on Data Science, 2019, Rio de Janeiro, RJ, Brazil.

 

2018

Functional Itô Calculus - modeling path dependence. Research in Options, December 2018, Rio de Janeiro, RJ, Brazil.
    

Stochastic Control and Differential Games with Path-Dependent Controls. Bachelier 10th World Congress, July 2018, Dublin, Ireland.
 

2017
Stochastic Control and Differential Games with Path-Dependent Controls. Research in Options, December 2017, Rio de Janeiro, RJ, Brazil. 
    
Stochastic Control and Differential Games with Path-Dependent Controls. 10th Anniversary of CFMAR, May 2017, Santa Barbara, CA, USA.    
 

2016
Functional Itô Calculus, Path-Dependence and the Computation of Greeks. Research in Options, November 2016, Rio de Janeiro, RJ, Brazil.
    
Functional Itô Calculus, Path-Dependence and the Computation of Greeks. SIAM Conference on Financial Mathematics & Engineering, November 2016, Austin, Texas, USA.
    
Functional Itô Calculus, Path-Dependence and the Computation of Greeks. Encontro Brasileiro de Finanças, July 2016, Rio de Janeiro, RJ, Brazil.
    
Functional Itô Calculus, Path-Dependence and the Computation of Greeks. SAET, July 2016, Rio de Janeiro, RJ, Brazil.
    
Functional Itô Calculus, Path-Dependence and the Computation of Greeks. CFMAR Seminar, April 2016, University of California, Santa Barbara, USA.

 

Functional Itô Calculus, Path-Dependence and the Computation of Greeks. Mathematical Finance Colloquium at USC, April 2016, University of Southern California, USC.
 

2008-2015

Multiscale Stochastic Volatility Model for Joint Calibration of S&P 500 and VIX Options. Research in Options, December 2015, Rio de Janeiro, RJ, Brazil.

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Recent Developments on Functional Itô Calculus: Lie Bracket and Tanaka Formula. Research in Options, December 2014, Búzios, RJ, Brazil.

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Functional Itô Calculus, Path-Dependence and the Computation of Greeks. Research in Options, December 2013, Búzios, RJ, Brazil.

 

Functional Itô Calculus and the Computation of Greeks. The Fifth WCMF, May 2013, Stanford, CA, USA.

 

Multiscale Stochastic Volatility Model for Options on Futures. Research In Options, December 2012, Búzios, RJ, Brazil.

 

Multi-Factor Stochastic Volatility Models for Options and Options on Variance. SIAM Conference on Financial Mathematics & Engineering, July 2012, Minneapolis, Minnesota, USA.

 

Multiscale Stochastic Volatility Model for Options on Futures. Workshop on Probability and Statistics in Finance, May 2012, University of California, Berkeley, USA.

 

Functional Itô's Weights for Greeks. CRFMS Seminar, May 2012, University of California, Santa Barbara, USA.

 

Functional Itô's Calculus a la Dupire. CRFMS Seminar, May 2011, University of California, Santa Barbara, USA.

 

Hedging in Incomplete Markets Using Fourier Series Method (Poster). Research in Options, November 2009, Búzios, RJ, Brazil.

 

Calibration of the Heston model by Fourier series method. Fourth Brazilian Conference on Statistical Modelling in Insurance and Finance, April 2009, Maresias, SP, Brazil.

 

Bayesian selection for Heston models with volatilities determined by Fourier series method (Poster). Research In Options, November 2008, Angra dos Reis, RJ, Brazil.