Vinícius Albani
Research Interests:
Regularization of Ill-Posed Inverse Problems
Financial Mathematics
Computational and Mathematical Modelling
Upcoming Events
1. 12th Bachelier World Congress of the Bachelier Finance Society, Fundação Getúlio Vargas, Rio de Janeiro. 8 to 12 July 2024.
Working Papers
2. On Augmented Lagrangian Techniques and Tikhonov-type Regularization (with A. De Cezaro), 2023.
1. On Block Descent Strategies in Tikhonov-type Regularization, (with A. De Cezaro and A.J. Silva Neto), 2023.
Submitted Manuscripts
1. Short-term Forecasting of Forward Prices in the Brazilian Electricity Market with a Hybrid Stochastic-Neural Network Model (with R. T. Marcavillaca, M. Geremia, R. Piovesan, E. Sica, H. Calogeras, E. Santos, B. Ecker, and S. L. Avila), submitted, 2024.
2. A Numerical Evaluation of the Economic Tradeoff of Vaccination Against Chikungunya Virus in Brazil (with E. Massad), submitted (pdf) 2024.
3. Bayesian Tricks and Maximum Entropy Densities for Option Pricing and Local Volatility Calibration (with L. Sarmanho and J.P. Zubelli), submitted (pdf) 2024.
Accepted Peer Reviewed Articles
25. Estimating the Number of Atmospheric Releases and other Parameters by Bayesian Inference, (with R. Albani, H.S. Migon, L.E.G. Silva, and A.J. Silva Neto), Air Quality, Atmosphere & Health, 2024 (doi).
24. Stochastic Transmission in Epidemiological Models (with J.P. Zubelli), Journal of Mathematical Biology, 88(25), 2024 (pdf,doi).
23. Time-Dependent Vaccine Efficacy Estimation Quantified by a Mathematical Model (with J. Loria, F.A.B. Coutinho, D.T. Covas, C. Struchiner, E. Massad and J.P. Zubelli), PloS ONE, 18(5), e0285466, 2023 (doi).
22. Short- and long-term forecasting for building energy consumption considering IPMVP recommendations, WEO and COP27 scenarios, (with G.S. Fereira, D.M. dos Santos, S.L. Avila, G.C. Orsi, P.C.C. Vieira, and R.N. Rodrigues), Applied Energy, 339, 120980, 2023 (doi).
21. Bayesian Inference and Wind Field Statistical Modeling Applied to Multiple Source Estimation, (with R. Albani, H.S. Migon, L.E.G. Silva, and A.J. Silva Neto), Environmental Pollution, 321, 121061, 2023 (doi).
20. The Interplay Between COVID-19 and the Economy in Canada, (with M. Grasselli, W. Pang, and J.P. Zubelli), Journal of Risk and Financial Management, 15(10), 476, 2022 (doi).
19. On the Role of Financial Support Programs in Mitigating the Sars-CoV-2 Spread in Brazil, (with R. Albani, N. Bobko, E. Massad and J.P. Zubelli), BMC Public Heath, 22, 1781, 2022 (doi,pdf).
18. Nowcasting and Forecasting COVID-19 Waves: The Recursive and Stochastic Nature of Transmission, (with R. Albani, E. Massad and J.P. Zubelli), Royal Society Open Science, 9(8), 220489, 2022 (doi,pdf).
17. COVID-19 Underreporting and its Impact on Vaccination Strategies, (with J. Loria, E. Massad and J.P. Zubelli), BMC Infectious Diseases, 21, 1111, 2021 (doi,pdf).
16. The Impact of COVID-19 Vaccination Delay: A Data-Driven Modelling Analysis for Chicago and New York City, (with J. Loria, E. Massad and J.P. Zubelli), Vaccine, 39(41), 6088--6094, 2021 (doi, pdf).
15. Tracking Covid-19 Spread using an Epidemiological Model and Maximum a Posteriori Estimation, (with R. Albani, A.J. Silva Neto and J.P. Zubelli). To appear in Anais da Academia Cearense de Matemática, 2021 (pdf).
14. Uncertainty Quantification and Atmospheric Source Estimation with a Discrepancy-Based and a State-Dependent Adaptative MCMC, (with R. Albani, H.S. Migon and A.J. Silva Neto). Environmental Pollution, 290, 118039, 2021 (doi).
13. Estimating, Monitoring, and Forecasting the Covid-19 Epidemics: A Spatio-Temporal Approach Applied to NYC Data, (with R.M. Velho and J.P. Zubelli). Scientific Reports, 11, 9089, 2021 (doi,pdf).
12. Source Characterization of Airborne Pollutant Emissions by Hybrid Metaheuristic-Gradient-based Optimization Techniques (with R. Albani and A.J. Silva Neto), Environmental Pollution, 267, 115618, 2020 (doi).
11. An Accurate Strategy to Retrieve Multiple Source Emissions in the Atmosphere (with R. Albani),
Atmospheric Environment, 233, 117579, 2020 (doi).
10. A Splitting Strategy for the Calibration of Jump-Diffusion Models (with J.P. Zubelli),
Finance and Stochastics, 24, 677-722, 2020 (pdf, doi).
9. Tikhonov-Type Regularization and the Finite Element Method Applied to Point Source Estimation in the Atmosphere (with R. Albani). Atmospheric Environment, 211(15), 69-78, 2019 (pdf,doi).
8. A Connection Between Uniqueness of Minimizers and Morozov-like Discrepancy Principles in Tikhonov-type Regularization (with A. De Cezaro), Inverse Problems and Imaging, 13(1), 211-229, 2019 (doi).
7. Local Volatility Models in Commodity Markets and Online Calibration (with U. Ascher and J.P. Zubelli),
Journal of Computational Finance, 21(5), 63-95, 2018 (pdf, doi).
6. Data driven recovery of local volatility surfaces (with U. Ascher, X. Yang, and J.P. Zubelli),
Inverse Problems and Imaging, 11(5), 799-823, 2017 (pdf,doi).
5. Convex Regularization of Local Volatility Estimation (with A. De Cezaro and J.P. Zubelli),
International Journal of Theoretical and Applied Finance, 20(1), 1750006, 2017 (pdf, doi).
4. Optimal Convergence Rates Results for Linear Inverse Problems in Hilbert Spaces (with P. Elbau, M.V. de Hoop and O. Scherzer), Numerical Functional Analysis and Optimization, 37(5), 521-540, 2016 (pdf, doi).
3. On the Choice of the Tikhonov Regularization Parameter and the Discretization Level: A Discrepancy-Based Strategy (with A. De Cezaro and J.P. Zubelli), Inverse Problems and Imaging, 10(1), 1-25, 2016 (pdf, doi).
2. Online Local volatility Calibration by Convex Regularization (with J.P. Zubelli).
Appl. Anal. Discrete Math., 8(2), 243-268, 2014 (pdf, doi).
1. Differential Density Statistics of the Galaxy Distribution and the Luminosity Function (with A.S. Iribarrem, M.B. Ribeiro and W.R. Stoeger). The Astrophysical Journal, v. 657, p. 760-772, 2007 (pdf, doi).
Conference Papers
14. Multipenalty and Composed Merit Functions in Tikhonov-type Regularization Applied to Atmospheric Source Identification Problems, (with R. Albani and A.J. Silva Neto), in Proceedings of XXIV Encontro Nacional de Modelagem Computacional, 2023 (doi).
13. On Coordinate-Descent-like Strategies to Solve Inverse Problems, (with A.J. Silva Neto), in Proceedings of XXIV Encontro Nacional de Modelagem Computacional, 2023 (doi).
12. Multiple Source Estimation of Atmospheric Emissions Using RANS K-Epsilon Model and Particle Swarm Optimization Technique, (with R. Albani and A.J. Silva Neto), in Proceedings of XXIV Encontro Nacional de Modelagem Computacional, 2023 (doi).
11. Estimation of Pollution Sources With Physics-Informed Neural Networks, (with R. Mamud, H.S. Migon, and A.J. Silva Neto), in Proceedings of 19th Brazilian Congress of Thermal Sciences and Engineering - ENCIT 2022, 2022 (pdf).
10. A Bayesian Inference Model for the Estimation of Time-Dependent Pollutant Emissions, (with R. Albani, H.S. Migon, and A.J. Silva Neto), in Proceedings of XLI Congresso Nacional de Matemática Aplicada e Computacional - XLI CNMAC, 2022 (pdf).
9. Estimation of the Deposition Rates of Atmospheric Pollutants Using Particle Swarm Optimization, (with R. Albani, A. Gamboa, D. Moreira, and A.J. Silva Neto), in Proceedings of 19th Brazilian Congress of Thermal Sciences and Engineering - ENCIT 2022, 2022 (pdf).
8. A Bayesian Inference Technique Combined with a Stochastic Wind Modeling to Improve Multiple Source Parameters Estimation in the Atmosphere, (with R. Albani, H.S. Migon, L.E.G. Silva, and A.J. Silva Neto), in Proceedings of 21st International Conference on Harmonisation within Atmospheric Dispersion Modelling for Regulatory Purposes - HARMO 2022, 2022 (pdf).
7. Estimation of Atmospheric Emissions by an Adaptive Monte Carlo Chain Method, (with R. Albani, H.S. Migon, and A.J. Silva Neto), in Proceedings of 26th ABCM International Congress of Mechanical Engineering - COBEM 2021, 2021 (pdf).
6. A Bayesian Inference Approach for the Identification of Multiple Atmospheric Emissions with Uncertainty Quantification, (with R. Albani, H.S. Migon, and A.J. Silva Neto), in Proceedings of XXIV Encontro Nacional de Modelagem Computacional, 2021 (pdf).
5. Genetic Algorithm Optimization Applied to Pollution Source Estimation in the Atmosphere, (with R. Albani and A.J. Silva Neto),
in Proceedings of 18th Brazilian Congress of Thermal Sciences and Engineering, 2020 (pdf).
4. Atmospheric Source Reconstruction Using Particle Swarm Optimization, (with R. Albani and A.J. Silva Neto),
in Proceedings of XXIII Encontro Nacional de Modelagem Computacional, 2020 (pdf).
3. Tracking Covid-19 Spread using an Epidemiological Model and Maximum a Posteriori Estimation,
in Proceedings of XXIII Encontro Nacional de Modelagem Computacional, 2020.
2. Structured Models for Cell Populations: Direct and Inverse Problems (with J.P. Zubelli),
in Proceedings of Multi-scale and hybrid modelling in cell biology (March, 2015), (pdf, doi)
1. Backwardation in Commodity Markets: Schwartz-Smith Model and CBOT Soybean Futures (with N. Sykora),
in Proceedings of IV Conferência em Gestão de Risco e Comercialização de Commodities - BMF&Bovespa (November, 2014) (pdf).
PhD Thesis
Volatility Calibration in Equity and Commodity Markets by Convex Regularization, IMPA, 2012 (pdf).
Lecture Notes
Uma Introdução aos Métodos Matemáticos em Finanças, Minicurso ministrado no ERMAC Blumenau, 2019 (pdf).
Past Events
3. Research in Options 2023 (RiO2023), Fundação Getúlio Vargas, Rio de Janeiro. 9 to 13 December 2023.
2. Research in Options 2022 (RiO2022), Fundação Getúlio Vargas, Rio de Janeiro. 20 to 25 August 2022.
1. Research in Options 2021 (RiO2021), Online. 21 to 24 November 2021.
Selected Talks
14. Problemas Inversos: O que são e para que servem? (in Portuguese),
in Seminários EMAp, EMAp/FGV-RJ, Rio de Janeiro, Brazil, 2021 (YouTube).
13. A Splitting Strategy for the Calibration of Jump-Diffusion Models,
in 9th International Congress on Industrial and Applied Mathematics, Valencia, Spain, 2019.
12. Two applications of Inverse Problems Techniques,
in First Sirius Scientific Computing Workshop, Campinas, Brazil, 2018 (slides)
11. On the simulation and calibration of jump-diffusion models in finance,
in 4th Brazil-China Symposium on Applied and Computational Mathematics, Foz do Iguaçu, Brazil, 2018 (slides)
10. General Public Lecture Options and Derivatives,
in The Mathematics of Games in the Applied Sciences, Niterói, Brazil, 2018 (slides)
9. Calibration of Jump-Diffusion Parameters in Mathematical Finance,
in XXXVIII Congresso Nacional de Matemática Aplicada e Computacional, São José dos Campos, Brazil, 2018 (slides)
8. Optimal Convergence Rates Results for Linear Inverse Problems in Hilbert Spaces,
in Chemnitz Symposium on Inverse Problems on Tour, Rio de aneiro, Brazil, 2017.
7. Optimal Convergence Rates Results for Linear Inverse Problems in Hilbert Spaces,
in 8th Iternational Conference Inverse Problems: Modelling and Simulation, Öludeniz, Turkey, 2016 (slides)
6. Local Volatility Calibration in Commodity Markets and Practical Simplifications,
in 8th International Congress on Industrial and Applied Mathematics, Beijing , China, 2015 (slides)
5. Local Volatility Models in Commodity Markets and Online Calibration,
in 8th World Congress of the Bachelier Finance Society, Brussels, Belgium, 2014 (slides)
4. Local Volatility Calibration in Commodity Markets,
in Research in Options 2013, Armação dos Búzios, Brazil, 2013 (slides)
3. Online Local Volatility Calibration,
in Research in Options 2012, Angra dos Reis, Brazil, 2012.
2. Calibrating Volatility Surfaces for Commodity Derivatives,
in SIAM Conference on Financial Mathematics & Engineering, Minneapolis, USA, 2012 (slides).
1. Non-quadratic Regularization of the Inverse Problem Associated to the Black-Scholes PDE,
in Mathematical Modelling and Calibration in Commodities and Energy, Rio de Janeiro, Brazil, 2011.
Collaborators
Roseane Albani - IPRJ/UERJ (Brazil).
Uri M. Ascher - University of British Columbia (Canada).
Sergio Avila - IFSC (Brazil).
Adriano De Cezaro - IMEF/FURG (Brazil).
Peter Elbau - University of Vienna (Austria).
Jennifer Loria - IMPA (Brazil).
Eduardo Massad - EMAp-FGV (Brazil).
Helio S. Migon - IM/UFRJ and IPRJ/UERJ (Brazil).
Marcelo B. Ribeiro - IF/UFRJ (Brazil).
Otmar Scherzer - University of Vienna (Austria).
Antonio J. Silva Neto - IPRJ/UERJ (Brazil).
Jorge P. Zubelli - Khalifa University (UAE).
Last Modified : 16.06.2021