Personal information

Websites & social links

personal

Other IDs

ResearcherID: M-3196-2018

Keywords

Functional Itô Calculus, Quantitative Finance, Multiscale Stochastic Volatility, Stochastic Calculus

Countries

Brazil

Biography

I am currently an Assistant Professor at the Applied Mathematics Department at Fundação Getúlio Vargas (FGV-EMAp).
​
My main research interests are Functional Itô Calculus and Multiscale Stochastic Volatility.

I have graduated with a Ph.D. in Financial Mathematics from the Statistics and Applied Probability Department at UCSB. I was sponsored by CAPES and Fulbright. My advisor was Professor Jean-Pierre Fouque, the director of the CFMAR.

During the summers of my Ph.D, I interned at Bloomberg LP under the supervision of Dr. Bruno Dupire. Moreover, after concluding my Ph.D, I was a Quant Developer at SPX Capital.

I earned my B.Sc. and M.Sc. in Applied Mathematics with an emphasis in Financial Mathematics at UFRJ in Brazil.

Activities

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Employment (1)

Fundação Getúlio Vargas: Rio de Janeiro, RJ, BR

2015-07-01 to present | Professor (Applied Mathematics)
Employment
Source: Self-asserted source
Yuri Fahham Saporito

Education and qualifications (1)

University of California Santa Barbara: Santa Barbara, CA, US

2010-09-01 to 2014-09-01 | PhD (Statistics and Applied Probability)
Education
Source: Self-asserted source
Yuri Fahham Saporito

Works (16)

On projective stochastic-gradient type methods for solving large scale systems of nonlinear ill-posed equations: applications to machine learning

Inverse Problems
2025-03-31 | Journal article
DOI: 10.1088/1361-6420/adb49c
Contributors: J C Rabelo; Y Saporito; A Leitão; A L Madureira
Source: check_circle
Crossref

Risk Budgeting Allocation for Dynamic Risk Measures

Operations Research
2024-12-23 | Journal article
DOI: 10.1287/opre.2023.0299
Contributors: Silvana M. Pesenti; Sebastian Jaimungal; Yuri F. Saporito; Rodrigo S. Targino
Source: check_circle
Crossref

Functional classification of bitcoin addresses

Computational Statistics & Data Analysis
2023-05 | Journal article
DOI: 10.1016/j.csda.2022.107687
Contributors: Manuel Febrero-Bande; Wenceslao González-Manteiga; Brenda Prallon; Yuri F. Saporito
Source: check_circle
Crossref

Forecasting the term structure of commodities future prices using machine learning

Digital Finance
2023-03 | Journal article
DOI: 10.1007/s42521-022-00069-3
Contributors: Mario Figueiredo; Yuri F. Saporito
Source: check_circle
Crossref

Optimal Trading with Signals and Stochastic Price Impact

SIAM Journal on Financial Mathematics
2022-09 | Journal article
DOI: 10.1137/21M1394473
Contributors: Jean-Pierre Fouque; Sebastian Jaimungal; Yuri F. Saporito
Source: check_circle
Crossref

Vanishing Contagion Spreads

Management Science
2022-01 | Journal article
DOI: 10.1287/mnsc.2020.3868
Contributors: Diogo Duarte; Rodolfo Prieto; Marcel Rindisbacher; Yuri F. Saporito
Source: check_circle
Crossref

Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations

SIAM Journal on Financial Mathematics
2021-01 | Journal article
DOI: 10.1137/20M1329597
Contributors: Yuri F. Saporito; Zhaoyu Zhang
Source: check_circle
Crossref

Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods

Statistics & Probability Letters
2020-01 | Journal article
DOI: 10.1016/j.spl.2019.108600
Contributors: Milan Merkle; Yuri F. Saporito; Rodrigo S. Targino
Source: check_circle
Crossref

Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation

SIAM Journal on Financial Mathematics
2020-01 | Journal article
DOI: 10.1137/20M1347334
Contributors: Yuri F. Saporito
Source: check_circle
Crossref

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

SIAM Journal on Control and Optimization
2019-01 | Journal article
DOI: 10.1137/18M1186186
Contributors: Yuri F. Saporito
Source: check_circle
Crossref

Stochastic Control with Delayed Information and Related Nonlinear Master Equation

SIAM Journal on Control and Optimization
2019-01 | Journal article
DOI: 10.1137/17M1154746
Contributors: Yuri F. Saporito; Jianfeng Zhang
Source: check_circle
Crossref

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

Quantitative Finance
2018-06-03 | Journal article
DOI: 10.1080/14697688.2017.1412493
Contributors: J.-P. Fouque; Y. F. Saporito
Source: check_circle
Crossref

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

International Journal of Theoretical and Applied Finance
2018-05 | Journal article
DOI: 10.1142/s0219024918500243
Part of ISSN: 0219-0249
Contributors: YURI F. SAPORITO
Source: Self-asserted source
Yuri Fahham Saporito via Crossref Metadata Search

Functional Itô calculus, path-dependence and the computation of Greeks

Stochastic Processes and their Applications
2017-12 | Journal article
DOI: 10.1016/j.spa.2017.03.015
Contributors: Samy Jazaerli; Yuri F. Saporito
Source: check_circle
Crossref

The functional Meyer–Tanaka formula

Stochastics and Dynamics
2017-08-03 | Journal article
DOI: 10.1142/s0219493718500302
Part of ISSN: 0219-4937
Contributors: Yuri F. Saporito
Source: Self-asserted source
Yuri Fahham Saporito via Crossref Metadata Search
grade
Preferred source (of 2)‎

MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES

International Journal of Theoretical and Applied Finance
2014-11 | Journal article
DOI: 10.1142/s0219024914500435
Part of ISSN: 0219-0249
Contributors: JEAN-PIERRE FOUQUE; YURI F. SAPORITO; JORGE P. ZUBELLI
Source: Self-asserted source
Yuri Fahham Saporito via Crossref Metadata Search

Peer review (4 reviews for 3 publications/grants)

Review activity for Matemática aplicada e computacional (2)
Review activity for Methodology and computing in applied probability. (1)
Review activity for SN Partial Differential Equations and Applications. (1)
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