Access Statistics for Yuri F. Saporito

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment 0 0 0 10 0 0 3 7
Functional Ito Calculus, Path-dependence and the Computation of Greeks 0 0 0 15 1 1 5 57
Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options 0 1 1 40 1 5 13 30
The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective 0 0 1 4 0 0 2 7
Total Working Papers 0 1 2 69 2 6 23 101


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options 0 0 0 2 0 2 9 15
MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES 0 1 4 5 0 1 6 11
Total Journal Articles 0 1 4 7 0 3 15 26


Statistics updated 2020-09-04