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Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning

- A. Al-Aradi, Adolfo Correia, Danilo Naiff, Gabriel Jardim, Yuri F. Saporito
- Computer Science, Economics
- 21 November 2018

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Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost

- Yuri F. Saporito
- Mathematics, Computer Science
- SIAM J. Control. Optim.
- 2 November 2016

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Functional Ito Calculus, Path-dependence and the Computation of Greeks

- Samy Jazaerli, Yuri F. Saporito
- Mathematics, Economics
- 15 November 2013

Dupire's functional It\^o calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices.… Expand

Multiscale Stochastic Volatility Model For Derivatives On Futures

- J. Fouque, Yuri F. Saporito, J. Zubelli
- Economics
- 17 November 2013

In this paper, we present a new method for computing the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility studied in Fouque et al.… Expand

The functional Meyer–Tanaka formula

- Yuri F. Saporito
- Mathematics, Computer Science
- 19 August 2014

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Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations

- A. Al-Aradi, Adolfo Correia, Danilo Naiff, Gabriel Jardim, Yuri F. Saporito
- Mathematics, Economics
- 30 November 2019

We extend the Deep Galerkin Method (DGM) introduced in Sirignano and Spiliopoulos (2018) to solve a number of partial differential equations (PDEs) that arise in the context of optimal stochastic… Expand

Stochastic control and differential games with path-dependent controls

- Yuri F. Saporito
- Mathematics
- 5 March 2017

In this paper we consider the functional Ito calculus framework to find a path-dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems with path-dependence in the… Expand

FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT

- Yuri F. Saporito
- Mathematics, Economics
- 19 December 2017

In this paper, we extend the first-order asymptotics analysis of Fouque et al. to general path-dependent financial derivatives using Dupire's functional Ito calculus. The main conclusion is that the… Expand

The calibration of stochastic local-volatility models: An inverse problem perspective

- Yuri F. Saporito, X. Yang, J. Zubelli
- Mathematics, Computer Science
- Comput. Math. Appl.
- 8 November 2017

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Stochastic Control with Delayed Information and Related Nonlinear Master Equation

- Yuri F. Saporito, Jianfeng Zhang
- Mathematics, Computer Science
- SIAM J. Control. Optim.
- 16 October 2017

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