Vinicius Viana Luiz Albani

Computational Science Center - University of Vienna

Visiting Researcher

Oskar Morgenstern-Platz 1

Vienna, Vienna 1090

Austria

SCHOLARLY PAPERS

2

DOWNLOADS

116

CITATIONS

0

Scholarly Papers (2)

1.

Convex Regularization of Local Volatility Estimation in a Discrete Setting

Number of pages: 29 Posted: 11 Aug 2013 Last Revised: 24 Feb 2016
Vinicius Viana Luiz Albani, Adriano De Cezaro and Jorge P. Zubelli
Computational Science Center - University of Vienna, Federal University Foundation of Rio Grande (FURG) and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 45 (266,231)

Abstract:

Convex regularization, local volatility surfaces, regularization convergence rates, numerical methods for volatility calibration

2.

Online Local Volatility Calibration by Convex Regularization

Applicable Analysis and Discrete Mathematics, Vol. 8 (2014) Doi:10.2298/AADM140811012A
Number of pages: 23 Posted: 03 Nov 2012 Last Revised: 27 Aug 2014
Vinicius Viana Luiz Albani and Jorge P. Zubelli
Computational Science Center - University of Vienna and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 40 (343,445)

Abstract:

Local Volatility Calibration, Convex Regularization, Online Estimation, Morozov's Principle, Convergence Rates