Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: a Malliavin Representation
To appear in SIAM Journal on Financial Mathematics (2020)
 Avoiding zero probability events when computing Value at Risk contributions: a Malliavin calculus approach
Yuri Saporito and Rodrigo S. Targino
 PDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations
Yuri Saporito and Zhaoyu Zhang
 Extensions of the Deep Galerkin Method
Ali Al-Aradi, Adolfo Correia, Danilo de Frietas Naiff, Gabriel Jardim, Yuri Saporito
 Bayesian Approach for Parameter Estimation of Continuous-Time Stochastic Volatility Models using Fourier Transform Methods
Milan Merkle, Yuri F. Saporito and Rodrigo S. Targino
Statistics & Probability Letters, 156, 2020,
Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning
Ali Al-Aradi, Adolfo Correia, Danilo Naiff, Gabriel Jardim and Yuri Saporito
Report of the winning team of the FMTC-BR 2018.
 The Impact of the Freedom of the Press on Risk
Diogo Duarte, Yuri F. Saporito and Rodrigo Targino
 Endogenous Asymmetric Money Illusion
Diogo Duarte and Yuri F. Saporito
Journal of Banking and Finance, 109, 2019.
 Vanishing Contagion Spreads
Diogo Duarte, Rodolfo Prieto, Marcel Rindisbacher and Yuri F. Saporito
 First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment
Yuri F. Saporito
International Journal of Theoretical and Applied Finance (IJTAF), 21 (3), 2018.
 The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective
Yuri F. Saporito, Xu Yang and Jorge P. Zubelli
Computers and Mathematics with Applications, 77(12), 2019.
 Stochastic Control with Delayed Information and Related Nonlinear Master Equation
Yuri F. Saporito and Jianfeng Zhang
SIAM Journal on Control and Optimization, 57 (1), 2019.
 Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options
Jean-Pierre Fouque and Yuri F. Saporito
Quantitative Finance, 18 (6), 2018.
 Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost
SIAM Journal on Control and Optimization, 57 (2), 2019.
 Functional Meyer-Tanaka Formula
Stochastics and Dynamics (SD), 18 (4), 2018.
 Functional Itô Calculus, Path-dependence and the Computation of Greeks
Samy Jazaerli and Yuri F. Saporito
Stochastic Processes and their Applications (SPA), 127 (12), 2017.
 Multiscale Stochastic Volatility Model for Derivatives on Futures
Jean-Pierre Fouque, Yuri F. Saporito, Jorge P. Zubelli
International Journal of Theoretical and Applied Finance (IJTAF), 17 (7), 2014