Jorge P. Zubelli

Instituto de Matematica Pura e Aplicada (IMPA)

Estrada Dona Castorina 110

Jardim Botanico

Rio de Janeiro, 22460

Brazil

SCHOLARLY PAPERS

6

DOWNLOADS

685

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (6)

1.

Real Option Pricing with Mean-Reverting Investment and Project Value

Jaimungal, Sebastian, Max O. De Souza, and Jorge P. Zubelli. "Real option pricing with mean-reverting investment and project value." The European Journal of Finance 19.7-8 (2013): 625-644.
Number of pages: 28 Posted: 17 Oct 2010 Last Revised: 27 Apr 2015
Sebastian Jaimungal, Max O. Souza and Jorge P. Zubelli
University of Toronto - Department of Statistics, UFF - Universidade Federal Fluminense - Instituto de Matemática e Estatística and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 402 (92,633)

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Real Options, Mean-Reverting, Investment under Uncertainty, Uncertain Costs

2.

A Liquidation Risk Adjustment for Value at Risk and Expected Shortfall

Number of pages: 17 Posted: 03 Jan 2018
Lakshithe Wagalath and Jorge P. Zubelli
IESEG School of Management and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 113 (303,084)
Citation 1

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liquidation risk, fire sales, value at risk, expected shortfall, risk management, price impact

3.

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 (312,797)
Citation 2

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

4.

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 Albani and Jorge P. Zubelli
Federal University of Santa Catarina and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 49 (483,445)

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

5.

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 (694,005)
Citation 1

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

6.

Local Volatility Models in Commodity Markets and Online Calibration

Journal of Computational Finance, Forthcoming
Number of pages: 33 Posted: 22 Aug 2017
Vinicius Albani, Uri Ascher and Jorge P. Zubelli
Federal University of Santa Catarina, University of British Columbia (UBC) and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 0 (810,065)
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Abstract:

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