Browsing Documentos indexados pela Scopus by Author "Saporito, Yuri Fahham"

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    • The functional Meyer–Tanaka formula 

      Saporito, Yuri Fahham
      2017
      The functional Itô formula, firstly introduced by Bruno Dupire for continuous semimartingales, might be extended in two directions: different dynamics for the underlying process and/or weaker assumptions on the regularity ...

    • Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options 

      Fouque, Jean-Pierre; Saporito, Yuri Fahham
      2018
      A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al [Multiscale Stochastic Volatility for Equity, ...