Functional Itô Calculus - modeling path dependence

Yuri F. Saporito (VIDEO)

​Research in Options, December 2018, Búzios, RJ, Brazil (Honoring Bruno Dupire's 60th birthday)

Bate-Papo FGV: Inovações em Data Science (in Portuguese)

Yuri F. Saporito

Fundação Getulio Vargas, Rio de Janeiro, Brazil.

Stochastic Control and Differential Games with Path-Dependent Controls

Yuri F. Saporito

CNMAC 2018, Unicamp, Campinas, São Paulo, Brazil.

Stochastic Control and Differential Games with Path-Dependent Controls

Yuri F. Saporito

Bachelier 10th World Congress, 2018, Trinity College, Dublin, Ireland.

Stochastic Control and Differential Games with Path-Dependent Controls

Yuri F. Saporito (VIDEO)

​Research in Options, December 2017, IMPA, RJ, Brazil.

Stochastic Control and Differential Games with Path-Dependent Controls

Yuri F. Saporito

III Congresso Nacional de Matemática Aplicada à Industria, 2017, FGV EMAp, Rio de Janeiro, Brazil.

Stochastic Control and Differential Games with Path-Dependent Controls

Yuri F. Saporito

10th Anniversary of CFMAR, 2017,UCSB, Santa Barbara, USA.

Functional Itô Calculus, Path-Dependence and the Computation of Greeks

Samy Jazaerli, Yuri F. Saporito (VIDEO)

Research in Options, December 2016, IMPA, RJ, Brazil.

Functional Itô Calculus, Path-Dependence and the Computation of Greeks

Samy Jazaerli, Yuri F. Saporito

SIAM Conference on Financial Mathematics & Engineering, November 2016, Austin, Texas, USA.

Functional Itô Calculus, Path-Dependence and the Computation of Greeks

Samy Jazaerli, Yuri F. Saporito

Encontro Brasileiro de Finanças, July 2016, PUC, RJ, Brazil.

Functional Itô Calculus, Path-Dependence and the Computation of Greeks

Samy Jazaerli, Yuri F. Saporito

SAET, July 2016, IMPA, RJ, Brazil.

Multiscale Stochastic Volatility Model for Joint Calibration of S&P 500 and VIX Options

Yuri F. Saporito

Research in Options, December 2015, IMPA, RJ, Brazil

Finanças Quantitativas - Teoria e Prática (in Portuguese)

Yuri F. Saporito

Sextas Matemáticas, March 2015, Rio de Janeiro, RJ, Brazil

Recent Developments on Functional Itô Calculus: Lie Bracket and Tanaka Formula

Yuri F. Saporito

Research in Options, December 2014, Búzios, RJ, Brazil

Functional Itô Calculus, Path-Dependence and the Computation of Greeks

Samy Jazaerli, Yuri F. Saporito

Research in Options, December 2013, Búzios, RJ, Brazil.

Functional Itô Calculus and the Computation of Greeks

Samy Jazaerli, Yuri F. Saporito

The Fifth WCMF, May 2013, Stanford University, CA, USA

Cálculo Funcional de Itô (in Portuguese)

Yuri F. Saporito

Notícias do Front em Matemática Aplicada, December 2012, Universidade Federal do Rio de Janeiro, Brazil

Multiscale Stochastic Volatility Model for Options on Futures

Jean-Pierre Fouque, Yuri F. Saporito, Jorge P. Zubelli

Research In Options, December 2012, Búzios, RJ, Brazil

Multi-Factor Stochastic Volatility Models for Options and Options on Variance

Jean-Pierre Fouque, Yuri F. Saporito

SIAM Conference on Financial Mathematics & Engineering, July 2012, Minneapolis, Minnesota, USA.

Multiscale Stochastic Volatility Model for Options on Futures

Jean-Pierre Fouque, Yuri F. Saporito, Jorge P. Zubelli

Workshop on Probability and Statistics in Finance, May 2012, University of California, Berkeley, USA.

Functional Itô's Weights for Greeks

Samy Jazaerli, Yuri F. Saporito

CRFMS Seminar, May 2012, University of California, Santa Barbara, USA.

Functional Itô's Calculus a la Dupire

Yuri F. Saporito

 CRFMS Seminar, May 2011, University of California, Santa Barbara, USA.

Hedging in Incomplete Markets Using Fourier Series Method (Poster)

Yuri F. Saporito, Rodrigo dos S. Targino, Milan Merkle

Research in Options, November 2009, Búzios, RJ, Brazil.

Estimation of the Heston Model by Fourier Series Method

Yuri F. Saporito, Rodrigo dos S. Targino, Milan Merkle

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)

Yuri F. Saporito, Rodrigo dos S. Targino, Milan Merkle

Research In Options, November 2008, Angra dos Reis, RJ, Brazil.

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