• Home

  • CV

  • Publications

  • Talks

  • Teaching

  • Events

  • More

    Research

    PDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations
    Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost
    Functional Itô Calculus, Path-Dependence and the Computation of Greeks
    Recent Developments on Functional Itô Calculus: Lie Bracket and Tanaka Formula
    Multiscale Stochastic Volatility Model for Joint Calibration of VIX and S&P 500 Options
    Multiscale Stochastic Volatility Model for Options on Futures
    slides.png

    Expository

    Functional Itô Calculus
    Functional (Itô) Calculus - Deterministic Case
    Solving Partial Differential Equations via Deep Learning (FMTC Brazil 2018 winner team)
    Introduction to Quantitative Finance

    Videos

    RiO 2018 - Functional Itô Calculus: Modeling Path Dependence
    RiO 2017 - Stochastic Control and Differential Games with Path-Dependent Controls
    RiO 2016 - Functional Itô Calculus, Path Dependence and the Computation of Greeks
    Bate-Papo FGV: Inovações em Data Science Parte 2 (in Portuguese)
    Bate-Papo FGV: Inovações em Data Science Parte 1 (in Portuguese)