| Solving nonlinear and high-dimensional partial differential equations via deep learning A Al-Aradi, A Correia, D Naiff, G Jardim, Y Saporito arXiv preprint arXiv:1811.08782, 2018 | 85 | 2018 |
| Extensions of the deep Galerkin method A Al-Aradi, A Correia, G Jardim, D de Freitas Naiff, Y Saporito Applied Mathematics and Computation 430, 127287, 2022 | 54* | 2022 |
| Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options JP Fouque, YF Saporito Quantitative Finance 18 (6), 1003-1016, 2018 | 45 | 2018 |
| Functional Itô calculus, path-dependence and the computation of Greeks S Jazaerli, YF Saporito Stochastic Processes and their Applications 127 (12), 3997-4028, 2017 | 32 | 2017 |
| The calibration of stochastic local-volatility models: An inverse problem perspective YF Saporito, X Yang, JP Zubelli Computers & Mathematics with Applications 77 (12), 3054-3067, 2019 | 29 | 2019 |
| Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost YF Saporito SIAM Journal on Control and Optimization 57 (2), 1312-1327, 2019 | 29 | 2019 |
| Path-dependent deep Galerkin method: a neural network approach to solve path-dependent partial differential equations YF Saporito, Z Zhang SIAM Journal on Financial Mathematics 12 (3), 912-940, 2021 | 28* | 2021 |
| Stochastic control with delayed information and related nonlinear master equation YF Saporito, J Zhang SIAM Journal on Control and Optimization 57 (1), 693-717, 2019 | 23 | 2019 |
| Optimal trading with signals and stochastic price impact JP Fouque, S Jaimungal, YF Saporito SIAM Journal on Financial Mathematics 13 (3), 944-968, 2022 | 21 | 2022 |
| The functional Meyer-Tanaka formula YF Saporito Stochastics and Dynamics, 1850030, 2014 | 14* | 2014 |
| Multiscale stochastic volatility model for derivatives on futures JP Fouque, YF Saporito, JP Zubelli International Journal of Theoretical and Applied Finance 17 (07), 1450043, 2014 | 10 | 2014 |
| Price formation in financial markets: a game-theoretic perspective D Evangelista, Y Saporito, Y Thamsten arXiv preprint arXiv:2202.11416, 2022 | 9 | 2022 |
| On stochastic Kaczmarz type methods for solving large scale systems of ill-posed equations JC Rabelo, YF Saporito, A Leitão Inverse Problems 38 (2), 025003, 2021 | 9 | 2021 |
| KrigHedge: Gaussian process surrogates for delta hedging M Ludkovski, Y Saporito Applied Mathematical Finance 28 (4), 330-360, 2021 | 8 | 2021 |
| Functional classification of bitcoin addresses M Febrero-Bande, W González-Manteiga, B Prallon, YF Saporito Computational Statistics & Data Analysis 181, 107687, 2023 | 7 | 2023 |
| Optimal trading in automatic market makers with deep learning S Jaimungal, Y Saporito, MO Souza, Y Thamsten Available at SSRN 4410089, 2023 | 6 | 2023 |
| Avoiding zero probability events when computing Value at Risk contributions T Koike, Y Saporito, R Targino Insurance: Mathematics and Economics 106, 173-192, 2022 | 6* | 2022 |
| Forecasting the term structure of commodities future prices using machine learning M Figueiredo, YF Saporito Digital Finance 5 (1), 57-90, 2023 | 4 | 2023 |
| Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods M Merkle, YF Saporito, RS Targino Statistics & Probability Letters 156, 108600, 2020 | 4 | 2020 |
| Risk Budgeting Allocation for Dynamic Risk Measures S Jaimungal, SM Pesenti, YF Saporito, RS Targino arXiv preprint arXiv:2305.11319, 2023 | 3 | 2023 |
Jean-Pierre FouqueUniversity of California Santa Barbara在 pstat.ucsb.edu 的电子邮件经过验证
