Details about Yuri F. Saporito

Access statistics for papers by Yuri F. Saporito.

Last updated 2018-12-20. Update your information in the RePEc Author Service.

Short-id: pfs6

Working Papers

2018

1. Functional Ito Calculus, Path-dependence and the Computation of Greeks
   Papers, arXiv.org View citations (2)

2017

2. First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment
   Papers, arXiv.org View citations (2)
3. Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options
   Papers, arXiv.org View citations (1)
   See also Journal Article Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options, Quantitative Finance, Taylor & Francis Journals (2018) View citations (25) (2018)
4. The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective
   Papers, arXiv.org View citations (4)

Journal Articles

2018

1. Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
   Quantitative Finance, 2018, 18, (6), 1003-1016 View citations (25)
   See also Working Paper Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options, Papers (2017) View citations (1) (2017)

2014

2. MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES
   International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (07), 1-31 View citations (5)