Vinicius Viana Luiz Albani

Computational Science Center - University of Vienna

Visiting Researcher

Oskar Morgenstern-Platz 1

Vienna, Vienna 1090

Austria

SCHOLARLY PAPERS

4

DOWNLOADS

126

CITATIONS

0

Scholarly Papers (4)

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 (267,106)

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 (348,632)

Abstract:

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

3.

Local Volatility Models in Commodity Markets and Online Calibration

Journal of Computational Finance, Forthcoming
Number of pages: 33 Posted: 22 Aug 2017
Vinicius Viana Luiz Albani, Uri M. Ascher and Jorge P. Zubelli
Computational Science Center - University of Vienna, University of British Columbia (UBC) and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 0 (569,182)
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Abstract:

commodity future options, local volatility calibration, online approach, inverse problem, Tikhonov-type regularization

4.

On the Choice of the Tikhonov Regularization Parameter and the Discretization Level: A Discrepancy-Based Strategy

Number of pages: 28 Posted: 10 Jul 2017
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 0 (532,408)

Abstract:

Tikhonov Regularization, Discrete Setting, Regularization Convergence Rates, Discrepancy Principles.