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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
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)