Adriano De Cezaro

Federal University Foundation of Rio Grande (FURG)

Rio Grande, Rio Grande do Sul

Brazil

SCHOLARLY PAPERS

2

DOWNLOADS

121

SSRN CITATIONS

0

CROSSREF CITATIONS

1

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 Albani, Adriano De Cezaro and Jorge P. Zubelli
Federal University of Santa Catarina, Federal University Foundation of Rio Grande (FURG) and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 108 (316,537)
Citation 2

Abstract:

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

2.

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 Albani, Adriano De Cezaro and Jorge P. Zubelli
Federal University of Santa Catarina, Federal University Foundation of Rio Grande (FURG) and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 13 (700,909)
Citation 1

Abstract:

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