Zubelli, J. P. : rechercher sur Z-Library

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1

A pairs trading strategy based on linear state space models and the Kalman filter

de Moura, Carlos Eduardo, Pizzinga, Adrian, Zubelli, Jorge

Journal:

Quantitative Finance

Année:

2016

Langue:

english

Fichier:

PDF, 1.11 MB

english, 2016

2

Rational solutions of nonlinear evolution equations, vertex operators, and bispectrality

Jorge P Zubelli

Journal:

Journal of Differential Equations

Année:

1992

Langue:

english

Fichier:

PDF, 1.22 MB

english, 1992

3

ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS

SOUZA, MAX O., ZUBELLI, JORGE P.

Journal:

International Journal of Theoretical and Applied Finance

Année:

2007

Langue:

english

Fichier:

PDF, 249 KB

english, 2007

4

MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES

FOUQUE, JEAN-PIERRE, SAPORITO, YURI F., ZUBELLI, JORGE P.

Journal:

International Journal of Theoretical and Applied Finance

Année:

2014

Langue:

english

Fichier:

PDF, 368 KB

english, 2014

5

A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL

WAGALATH, LAKSHITHE, ZUBELLI, JORGE

Journal:

International Journal of Theoretical and Applied Finance

Année:

2018

Langue:

english

Fichier:

PDF, 591 KB

english, 2018

6

Strategic investment decisions under fast mean-reversion stochastic volatility

Max O. Souza, Jorge P. Zubelli

Journal:

Applied Stochastic Models in Business and Industry

Année:

2011

Langue:

english

Fichier:

PDF, 314 KB

english, 2011

7

Huygens’ principle for hyperbolic operators and integrable hierarchies

Fabio A.C.C. Chalub, Jorge P. Zubelli

Journal:

Physica D: Nonlinear Phenomena

Année:

2006

Langue:

english

Fichier:

PDF, 431 KB

english, 2006

8

A fast and stable algorithm for splitting polynomials

G. Malajovich, J.P. Zubelli

Journal:

Computers & Mathematics with Applications

Année:

1997

Langue:

english

Fichier:

PDF, 928 KB

english, 1997

9

Bundle bispectrality for matrix differential equations

Alexander Sakhnovich, Jorge P. Zubelli

Journal:

Integral Equations and Operator Theory

Année:

2001

Langue:

english

Fichier:

PDF, 1.21 MB

english, 2001

10

Rational Solutions of the Master Symmetries¶of the KdV Equation

Jorge P. Zubelli, D. S. Valerio Silva

Journal:

Communications in Mathematical Physics

Année:

2000

Langue:

english

Fichier:

PDF, 149 KB

english, 2000

11

A Structured Population Model of Cell Differentiation

Doumic, Marie, Marciniak-Czochra, Anna, Perthame, Benoît, Zubelli, Jorge P.

Journal:

SIAM Journal on Applied Mathematics

Année:

2011

Langue:

english

Fichier:

PDF, 597 KB

english, 2011

12

Numerical solution of an inverse problem in size-structured population dynamics

Doumic, Marie, Perthame, Benoît, Zubelli, Jorge P

Journal:

Inverse Problems

Année:

2009

Langue:

english

Fichier:

PDF, 1.45 MB

english, 2009

13

Locally Linearized methods for the simulation of stochastic oscillators driven by random forces

de la Cruz, H., Jimenez, J. C., Zubelli, J. P.

Journal:

BIT Numerical Mathematics

Année:

2017

Langue:

english

Fichier:

PDF, 1.93 MB

english, 2017

14

CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION

ALBANI, VINICIUS, DE CEZARO, ADRIANO, ZUBELLI, JORGE P.

Journal:

International Journal of Theoretical and Applied Finance

Année:

2017

Langue:

english

Fichier:

PDF, 1.23 MB

english, 2017

15

PREFACE

Avellaneda, Marco, Dupire, Bruno, Zubelli, Jorge P.

Journal:

International Journal of Theoretical and Applied Finance

Année:

2018

Langue:

english

Fichier:

PDF, 1.18 MB

english, 2018

16

A splitting strategy for the calibration of jump-diffusion models

Albani, Vinicius V. L., Zubelli, Jorge P.

Journal:

Finance and Stochastics

Année:

2020

Fichier:

PDF, 1.83 MB

2020

17

On the Geometry of Graeffe Iteration

Gregorio Malajovich, Jorge P. Zubelli

Journal:

Journal of Complexity

Année:

2001

Langue:

english

Fichier:

PDF, 276 KB

english, 2001

18

Differential equations in the spectral parameter for matrix differential operators

Jorge P. Zubelli

Journal:

Physica D: Nonlinear Phenomena

Année:

1990

Langue:

english

Fichier:

PDF, 709 KB

english, 1990

19

Towards a generalization of Dupire's equation for several assets

P. Amster, P. De Nápoli, J.P. Zubelli

Journal:

Journal of Mathematical Analysis and Applications

Année:

2009

Langue:

english

Fichier:

PDF, 176 KB

english, 2009

20

Mathematical methods and modeling of biophysical phenomena

Benoit Perthame, Peter Markowich, Jorge P. Zubelli

Journal:

Mathematical and Computer Modelling

Année:

2008

Langue:

english

Fichier:

PDF, 130 KB

english, 2008

21

Mathematical modelling and parameter estimation of the Serra da Mesa basin

C. Mocenni, E. Sparacino, A. Vicino, J.P. Zubelli

Journal:

Mathematical and Computer Modelling

Année:

2008

Langue:

english

Fichier:

PDF, 1.01 MB

english, 2008

22

Mathematical methods and modelling of biophysical phenomena

Benoit Perthame, Peter Markowich, Jorge P. Zubelli

Journal:

Mathematical and Computer Modelling

Année:

2011

Langue:

english

Fichier:

PDF, 167 KB

english, 2011

23

Inverse problems and regularization techniques in option pricing

Max O. Souza, Jorge P. Zubelli

Journal:

Année:

2007

Langue:

english

Fichier:

PDF, 68 KB

english, 2007

24

On the polynomial τ-functions for the KP hierarchy and the bispectral property

Jorge P. Zubelli

Journal:

Letters in Mathematical Physics

Année:

1992

Langue:

english

Fichier:

PDF, 317 KB

english, 1992

25

Differential equations in the spectral parameter, Darboux transformations and a hierarchy of master symmetries for KdV

Jorge P. Zubelli, Franco Magri

Journal:

Communications in Mathematical Physics

Année:

1991

Langue:

english

Fichier:

PDF, 1000 KB

english, 1991

26

An elementary approach to the polynomial τ-functions of the KP Hierarchy

G. Falqui, F. Magri, M. Pedroni, J. P. Zubelli

Journal:

Theoretical and Mathematical Physics

Année:

2000

Langue:

english

Fichier:

PDF, 555 KB

english, 2000

27

Tangent Graeffe iteration

Gregorio Malajovich, Jorge P. Zubelli

Journal:

Numerische Mathematik

Année:

2001

Langue:

english

Fichier:

PDF, 288 KB

english, 2001

28

On the Geometry of Darboux Transformations for the KP Hierarchy and its Connection with the Discrete KP Hierarchy

Franco Magri, Marco Pedroni, Jorge P. Zubelli

Journal:

Communications in Mathematical Physics

Année:

1997

Langue:

english

Fichier:

PDF, 173 KB

english, 1997

29

On the Calibration of a Size-Structured Population Model from Experimental Data

Marie Doumic, Pedro Maia, Jorge P. Zubelli

Journal:

Acta Biotheoretica

Année:

2010

Langue:

english

Fichier:

PDF, 365 KB

english, 2010

30

Huygens' Principle, Dirac Operators, and Rational Solutions of the AKNS Hierarchy

Fabio A. C. C. Chalub, Jorge P. Zubelli

Journal:

Mathematical Physics, Analysis and Geometry

Année:

2005

Langue:

english

Fichier:

PDF, 302 KB

english, 2005

31

Global Stability for a Class of Virus Models with

Max O. Souza, Jorge P. Zubelli

Journal:

Bulletin of Mathematical Biology

Année:

2011

Langue:

english

Fichier:

PDF, 595 KB

english, 2011

32

On the Inverse Problem for Scattering of Electromagnetic Radiation by a Periodic Structure

L. O. Castellano Pérez, Jorge P. Zubelli

Journal:

Studies in Applied Mathematics

Année:

2003

Langue:

english

Fichier:

PDF, 555 KB

english, 2003

33

The Bi-Hamiltonian Theory of the Harry Dym Equation

M. Pedroni, V. Sciacca, J. P. Zubelli

Journal:

Theoretical and Mathematical Physics

Année:

2002

Langue:

english

Fichier:

PDF, 185 KB

english, 2002

34

Real option pricing with mean-reverting investment and project value

Jaimungal, Sebastian, de Souza, Max O., Zubelli, Jorge P.

Journal:

European Journal of Finance

Année:

2011

Langue:

english

Fichier:

PDF, 1.13 MB

english, 2011

35

Convex regularization of local volatility models from option prices: Convergence analysis and rates

A. De Cezaro, O. Scherzer, J.P. Zubelli

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Année:

2012

Langue:

english

Fichier:

PDF, 337 KB

english, 2012

36

Robust Management and Pricing of Liquefied Natural Gas Contracts with Cancelation Options

V. Guigues, C. Sagastizábal, J. P. Zubelli

Journal:

Journal of Optimization Theory and Applications

Année:

2014

Langue:

english

Fichier:

PDF, 1.32 MB

english, 2014

37

On Huygens’ Principle for Dirac Operators and Nonlinear Evolution Equations

A C C Chalub, Fabio, Zubelli, Jorge P

Journal:

Journal of Nonlinear Mathematical Physics

Année:

2001

Langue:

english

Fichier:

PDF, 102 KB

english, 2001

38

Bi-Hamiltonian aspects of a matrix Harry Dym hierarchy

Fontanelli, Laura, Lorenzoni, Paolo, Pedroni, Marco, Zubelli, Jorge P.

Journal:

Journal of Mathematical Physics

Année:

2008

Langue:

english

Fichier:

PDF, 405 KB

english, 2008

39

On a zero curvature problem related to the ZS–AKNS operator

Zubelli, Jorge P.

Journal:

Journal of Mathematical Physics

Année:

1992

Langue:

english

Fichier:

PDF, 1014 KB

english, 1992

40

Online local volatility calibration by convex regularization

Albani, Vinicius, Zubelli, Jorge

Journal:

Applicable Analysis and Discrete Mathematics

Année:

2014

Langue:

english

Fichier:

PDF, 821 KB

english, 2014

41

Effective rough boundary parametrization for reaction-diffusion systems

Mocenni, C., Sparacino, E., Zubelli, J.P.

Journal:

Applicable Analysis and Discrete Mathematics

Année:

2014

Langue:

english

Fichier:

PDF, 526 KB

english, 2014

42

[AIP NUMERICAL ANALYSIS AND APPLIED MATHEMATICS: International Conference on Numerical Analysis and Applied Mathematics 2009: Volume 1 and Volume 2 - Rethymno, Crete (Greece) (18–22 September 2009)] AIP Conference Proceedings - Homogenization of Multi-Spieces Reaction-Diffusion Systems in Domains with Rough Boundaries

Mocenni, C., Sparacino, E., Zubelli, J. P., Simos, Theodore E., Psihoyios, George, Tsitouras, Ch.

Année:

2009

Langue:

english

Fichier:

PDF, 619 KB

english, 2009

43

The tangential cone condition for the iterative calibration of local volatility surfaces

De Cezaro, A., Zubelli, J. P.

Journal:

IMA Journal of Applied Mathematics

Année:

2015

Langue:

english

Fichier:

PDF, 3.80 MB

english, 2015

44

Image Reconstruction of the Interior of Bodies That Diffuse Radiation

J. R. Singer, F. A. Grunbaum, P. Kohn, J. P. Zubelli

Année:

1990

Langue:

english

Fichier:

PDF, 1.17 MB

english, 1990

45

On inverse doping profile problems for the stationary voltage–current map

A. Leitão, P. A. Markowich, J. P. Zubelli

Année:

2006

Langue:

english

Fichier:

PDF, 6.08 MB

english, 2006

46

Three-dimensional reconstruction by Chahine s method from electron microscopic projections corrupted by instrumental aberrations

Zubelli, J P, Marabini, R, Sorzano, C O S, Herman, G T

Journal:

Inverse Problems

Année:

2003

Langue:

english

Fichier:

PDF, 318 KB

english, 2003

47

Diffuse tomography: computational aspects of the isotropic case

Grunbaum, F A, Zubelli, J P

Journal:

Inverse Problems

Année:

1992

Langue:

english

Fichier:

PDF, 683 KB

english, 1992

48

Bi-Hamiltonian formalism and the Darboux - Crum method: I. From the KP to the mKP hierarchy

Magri, Franco, Zubelli, Jorge P

Journal:

Inverse Problems

Année:

1997

Langue:

english

Fichier:

PDF, 249 KB

english, 1997

49

Convexity for the diffuse tomography model

Svaiter, B F, Zubelli, J P

Journal:

Inverse Problems

Année:

2001

Langue:

english

Fichier:

PDF, 117 KB

english, 2001

50

SPIE Proceedings [SPIE Optics, Electro-Optics, and Laser Applications in Science and Engineering - Los Angeles, CA (Sunday 20 January 1991)] Time-Resolved Spectroscopy and Imaging of Tissues - Diffuse tomography

Grunbaum, F. Alberto, Kohn, Philip D., Latham, Geoff A., Singer, Jay R., Zubelli, Jorge P., Chance, Britton

Année:

1991

Langue:

english

Fichier:

PDF, 297 KB

english, 1991