Building upon the ideas introduced in their previous book, Derivatives in Financial Markets
with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives …

Multiscale stochastic volatility models have been developed as an efficient way to capture
the principal effects on derivative pricing and portfolio optimization of randomly varying …

We are concerned with investment decisions when the spanning asset that correlates with
the investment value undergoes a stochastic volatility dynamics. The project value in this …

Multiscale stochastic volatility models have been developed as an efficient way to capture
the principle effects on derivative pricing and portfolio optimization of randomly varying …

Multiple Scale Asymptotics of Fast Mean Reversion Stochastic Volatility Models Page 1 Multiple
Scale Asymptotics of Fast Mean Reversion Stochastic Volatility Models Max O. Souza & Jorge …

The present paper deals with several aspects and procedures of identification in a financial
market model with time-dependent volatility function and mean reverting stochastic drift term …

Option-price based calibration of stochastic volatility models under fast mean reversion
poses quite challenging inverse problems. Nevertheless, in this note we remark that by an …

O uso de métodos cada vez mais sofisticados no estudo de Finanças Quantitativas vem
crescendo de forma constante nos últimos anos. De um lado, os resultados e técnicas …

O início da SBMAC esta bastante ligado à Modelagem e à Análise Convexa. Várias das
Escolas do LCC, depois LNCC, foram dedicadas a esses temas. Um delas, intitulada VI …

Entendendo por computaçao tudo o que os computadores podem realizar, entao é
necesário definir precisamente o que é um computador. Essa resposta poderia ser dada em …