Yuri F. Saporito

Finance · 2017

A researcher in the Science corpus: 1 paper; trusts 7 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

Whom Yuri F. Saporito trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. A. Sepp
  2. Jan Baldeaux
  3. Andrew Papanicolaou
  4. Ronnie Sircar
  5. Jean-Pierre Fouque 3
  6. Alexander Badran

Papers from Yuri F. Saporito's perspective

Ordered by how strongly the researchers Yuri F. Saporito trusts endorse each paper. Same corpus, a different order for every researcher.

  1. A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES
  2. Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives: Introduction to Stochastic Volatility Models
  3. VIX Option Pricing in a Jump-Diffusion Model
  4. A Tale of Two Indices
  5. The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (Management Sciences)
  6. Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
  7. Smiling twice: The Heston++ model (Journal of Banking & Finance)
  8. A regime-switching Heston model for VIX and S&P 500 implied volatilities
  9. Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility
  10. Brownian Motion and Stochastic Calculus

Their papers