Regularization of Ill-Posed Inverse Problems
1. On Splitting Strategies in Tikhonov-type Regularization, 2019.
2. On Augmented Lagrangian Techniques and Tikhonov-type Regularization (with A. De Cezaro), 2019.
1. A Splitting Strategy for the Calibration of Jump-Diffusion Models (with J.P. Zubelli), submitted, 2019 (pdf).
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).
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).
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).
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).
Volatility Calibration in Equity and Commodity Markets by Convex Regularization, IMPA, 2012 (pdf).
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.
Uri Ascher - University of British Columbia.
Adriano De Cezaro - IMEF/FURG.
Peter Elbau - University of Vienna.
Marcelo B. Ribeiro - IF/UFRJ.
Otmar Scherzer - University of Vienna.
Jorge P. Zubelli - IMPA.