Publications and Final Projects

 
PUBLICATION LIST
(October 2016)


ACCEPTED FOR PUBLICATION

1. Albani, V., Ascher, U., Zubelli, J.P.
Local Volatility Models in Commodity Markets and Online Calibration
    Journal of Computational Finance

2. Albani, Vinicius; De Cezaro, Adriano; Zubelli, Jorge P. : Convex Regularization of Local Volatility Estimation International Journal of Theoretical and Applied Finance.

REFEREED PERIODICALS

3. Albani, V. ; De Cezaro, A. ; Zubelli, J P . On the choice of the Tikhonov regularization parameter and the discretization level: A discrepancy-based strategy. Inverse Problems and Imaging, v. 10, p. 1-25, 2016.

4. De Moura, Carlos Eduardo ; Pizzinga, Adrian ; Zubelli, Jorge . A pairs trading strategy based on linear state space models and the Kalman filter. Quantitative Finance, v. 1, p. 1-15, 2016

5. De la Cruz, H. ; Jimenez, J. C. ; Zubelli, J. P. . Locally Linearized methods for the simulation of stochastic oscillators driven by random forces. BIT Numerical Mathematics, v. 1, p. 1-29, 2016.

6.  Bobko, N., Zubelli, J P. 2015.
A singularly perturbed HIV model with treatment and antigenic variation In Mathematical biosciences and engineering, v.12, 1-21

7. MOCENNI, C., SPARACINO, E., ZUBELLI, J.P.. 2014.
Effective rough boundary parametrization for reaction-diffusion systems In Applicable Analysis and Discrete Mathematics. , v.8, 33-59

8.  FOUQUE, J.-P., SAPORITO, Y., ZUBELLI, J.P.. 2014.
Multiscale stochastic volatility model for derivatives on futures. Int. J. Theor. Appl. Finance 17, no. 7, 1450043

9. ALBANI, VINICIUS, ZUBELLI, JORGE. 2014.
Online local volatility calibration by convex regularization In Applicable Analysis and Discrete Mathematics. , v.8, 243-268

10. Vincent Guigues, Sagastizabal, C., ZUBELLI, Jorge P. 2013.
Robust Management and Pricing of Liquefied Natural Gas Contracts with Cancelation Options In Journal of Optimization Theory and Applications. , s10957-013-030

11. De Cezaro, A., ZUBELLI, J.P.. 2013.
The tangential cone condition for the iterative calibration of local volatility surfaces In IMA Journal of Applied Mathematics. , v.online, 1-21

12.  De Cezaro, A., Scherzer, O., ZUBELLI, J.P.. 2012.
Convex regularization of local volatility models from option prices: Convergence analysis and rates In Nonlinear Analysis. , v.75, 2398-2415

13.  Doumic, Marie, Marciniak-Czochra, Anna, Perthame, Benoit, Zubelli, Jorge P.. 2011.
A Structured Population Model of Cell Differentiation In SIAM Journal on Applied Mathematics, v.71, 1918-1940

14. Jaimungal, Sebastian, de Souza, Max O., Zubelli, Jorge P.. 2011.
Real option pricing with mean-reverting investment and project value In European Journal of Finance, v.1, 1-20

15. Souza, Max O., Zubelli, Jorge P.. 2010.
Global Stability for a Class of Virus Models with Cytotoxic T Lymphocyte Immune Response and Antigenic Variation In Bulletin of Mathematical Biology.

16. Perthame, Benoit, Markowich, Peter, Zubelli, Jorge P.. 2011.
Mathematical methods and modelling of biophysical phenomena In Mathematical and Computer Modelling, 53, no. 7-8, 1359–1362. 92-06

17. Doumic, Marie, Maia, Pedro, Zubelli, Jorge P.. 2010.
On the Calibration of a Size-Structured Population Model from Experimental Data In Acta Biotheoretica., 1-9

18. Souza, Max O., Zubelli, Jorge P.. 2011.
Strategic investment decisions under fast mean-reversion stochastic volatility In Applied Stochastic Models in Business and Industry, v.27, 61 – 69.

19. Doumic, Marie, Perthame, Benoît, ZUBELLI, Jorge P. 2009.
Numerical solution of an inverse problem in size-structured population dynamics In Inverse Problems. , v.25, 045008

20. AMSTER, P, DENAPOLI, P, ZUBELLI, J. 2009.
Towards a generalization of Dupire's equation for several assets In Journal of Mathematical Analysis and Applications. , 2009.01.050

21. Fontanelli, Laura, Lorenzoni, Paolo, Pedroni, Marco, ZUBELLI, J.P.. 2008.
Bi-Hamiltonian aspects of a matrix Harry Dym hierarchy In Journal of Mathematical Physics. , v.49, 092901-092916

22. LEITAO, A. C. G., ZUBELLI, J.P.. 2008.
Iterative Regularization Methods for a Discrete Inverse Problem in MRI In Cubo (Temuco). , v.10, 135-144

23. Souza, Max O., Zubelli, Jorge P.. 2007.
Inverse problems and regularization techniques in option pricing In Proceedings in Applied Mathematics and Mechanics. , v.7, 1042403-1042404

24. PERTHAME, B., MARKOWICH, P., ZUBELLI, J.P.. 2007.
Mathematical methods and modelling of biophysical phenomena In Mathematical and Computer Modelling. , v.10.101, 10.1016/j.mcm.2

25. MOCENNI, C., SPARACINO, E., VICINO, A., ZUBELLI, J.P.. 2007.
Mathematical modelling and parameter estimation of the Serra da Mesa basin In Mathematical and Computer Modelling. , v.06.010, 10.1016/j.mcm.2

26. SOUZA, M. O., ZUBELLI, J.P.. 2007.
On the Asymptotics of Fast Mean-Reversion Stochastic Volatility Models. In International Journal of Theoretical and Applied Finance. , v.10, 817-835

27. PERTHAME, B., ZUBELLI, J.P.. 2007.
On the inverse problem for a size-structured population model In Inverse Problems. , v.23, 1037-1052

28.  CHALUB, F, ZUBELLI, J. 2006.
Huygens principle for hyperbolic operators and integrable hierarchies In Physica D. , v.213, 231-245

29. Markowich, P A, LEITAO, A. C. G., Zubelli, J P. 2006.
On inverse doping profile problems for the stationary voltage current map In Inverse Problems. , v.22, 1071-1088

30. CHALUB, Fabio A C C, ZUBELLI, J.P.. 2005.
Huygens' Principle, Dirac Operators, and Rational Solutions of the AKNS Hierarchy In Mathematical Physics, Analysis and Geometry. , v.8, 187-210

31. ZUBELLI, J.P., Fabio Chalub. 2004.
Matrix Bispectrality and Huygens' Principle for Dirac Operators In Contemporary Mathematics. American Mathematical Society. , v.362, 89-112

32.  ZUBELLI, J.P., Fabio Chalub. 2004.
Solitons: Na crista da onda por mais de 100 anos. In Boletim da Sociedade Portuguesa de Matemática. , v.51, 3-24

33. PEREZ, L. O. C., ZUBELLI, J.P.. 2003.
On the Inverse Problem for Scattering of Electromagnetic Radiation by a Periodic Structure In Studies in Applied Mathematics (Cambridge). , v.111, 115-166

34. ZUBELLI, J.P., MARABINI, R., SORZANO, C. O. S., HERMAN, G. T.. 2003.
Three-dimensional reconstruction by Chahine s method from electron microscopic projections corrupted by instrumental aberrations In Inverse Problems. , v.19, 933-949

35. ZUBELLI, J.P., PEDRONI, M., SCIACCA, V.. 2002.
On the Bi-Hamiltonian Theory for the Harry Dym Equation. In Theoretical and Mathematical Physics. , v.133, 1585-1597

36. Sakhnovich, Alexander, Zubelli, Jorge P.. 2001.
Bundle bispectrality for matrix differential equations In Integral Equations and Operator Theory. , v.41, 472-496

37. ZUBELLI, J.P., Svaiter, B. F.. 2001.
Convexity for the diffuse tomography model In Inverse Problems. , v.17, 729-738

38. CHALUB, Fabio A C C, ZUBELLI, Jorge P. 2001.
On Huygens´; Principle for Dirac Operators and Nonlinear Evolution Equations In Journal of Nonlinear Mathematical Physics. , v.8, 62

39. MALAJOVICH, G., ZUBELLI, J.P.. 2001.
On the Geometry of Graeffe Iteration In Journal of Complexity. , v.17, 541-573

40. ZUBELLI, J.P., Fabio Chalub. 2001.
Sólitons: Na Crista da Onda por mais de 100 Anos. In Matemática Universitária. , v.30, 44-62

41. ZUBELLI, J.P., MALAJOVICH, G.. 2001.
Tangent Graeffe iteration In Numerische Mathematik. , v.89, 749-782

42. ZUBELLI, J.P., FALQUI, G., MAGRI, F., PEDRONI, M.. 2000.
A Bi-Hamiltonian Theory for Stationary KdV Flows and their Separability In Regular and Chaotic Dynamics. , v.5, 33-52

43. FALQUI, G., MAGRI, F., PEDRONI, M., ZUBELLI, J.P.. 2000.
An elementary approach to the polynomial Tau-functions of the KP Hierarchy In Theoretical and Mathematical Physics. , v.122, 17-28

44. Zubelli, Jorge P., Valerio Silva, D. S.. 2000.
Rational Solutions of the Master Symmetries;of the KdV Equation In Communications in Mathematical Physics. , v.211, 85-109

45. ZUBELLI, J.P., Todorov, A.N., Schonbek, M.E.. 1999.
Geodesic Flows on Diffeomorphisms of the Circle, Grassmannians, and the Geometry of the Periodic KdV Equation In Advances in Theoretical and Mathematical Physics. , v.3, 1027-1092

46. CASATI, P., FALQUI, G., MAGRI, F., PEDRONI, M., ZUBELLI, J.P.. 1998.
Darboux Transformations, Darboux Coverings, and Rational Reductions of The KP Hierarchy In Contemporary Mathematics - American Mathematical Society, v.15, 45-65

47. ZUBELLI, J.P.. 1998.
The Bispectral Problem, Rational Solutions of the Master Symmetry Flows, and Bi-Hamiltonian Systems. In CRM PROCEEDINGS LECTURE NOTES. , v.14, 139-155

48. ZUBELLI, J.P., MALAJOVICH, G.. 1997.
A Fast and Stable Algorithm for Splitting Polynomials In Computers & Mathematics with Applications , v.33, 1-23

49. MAGRI, F., ZUBELLI, J.P.. 1997.
Bi-Hamiltonian Formalism and the Darboux-Crum Method 1. From The KP to the mKP Hierarchy In Inverse Problems. , v.13, 755-780

50. Magri, Franco, Pedroni, Marco, Zubelli, Jorge P.. 1997.
On the Geometry of Darboux Transformations for the KP Hierarchy and its Connection with the Discrete KP Hierarchy In Communications in Mathematical Physics. , v.188, 305-325

51. Grünbaum, F. Alberto; Latham, Geoff A.; Zubelli, Jorge P.. 1992.
An inverse problem for a model of scattered and diffused radiation. In Mini Conference on Inverse Problems in Partial Differential Equations, 69-81, Centre for Mathematics and its Applications, Mathematical Sciences Institute, The Australian National University, Canberra AUS.

52. ZUBELLI, J.P., GRUNBAUM, F. A.. 1992.
Diffuse Tomography - Computational Aspects of the Isotropic Case In Inverse Problems , v.8, 421-433

53. Zubelli, Jorge P.. 1992.
On a zero curvature problem related to the ZSAKNS operator In Journal of Mathematical Physics. , v.33, 3666

54. ZUBELLI, J.P.. 1992.
On the Polynomial Tau-Functions for the KP Hierarchy and the Bispectral Property In Letters in Mathematical Physics. , v.24, 41-48

55. ZUBELLI, J.P.. 1992.
Rational Solutions of Nonlinear Evolution Equations, Vertex  Operators, and Bispectrality In Journal of Differential Equations, v.97, 71-98

56. Zubelli, Jorge P., Magri, Franco. 1991.
Differential equations in the spectral parameter, Darboux transformations and a hierarchy of master symmetries for KdV In Communications in Mathematical Physics. , v.141, 329-351

57. ZUBELLI, J. 1990.
Differential equations in the spectral parameter for matrix differential operators In Physica D. , v.43, 269-287

58. SINGER, J. R., GRUNBAUM, F. A., KOHN, P., ZUBELLI, J.P.. 1990.
Image Reconstruction of the Interior of Bodies That Diffuse Radiation In Science. , v.248, 990-993

BOOKS
1. SOUZA, M. O., ZUBELLI, J.P.. 2007.
Modelagem matemática em finanças quantitativas em tempo discreto, p. 85. São Carlos: Sociedade Brasileira de Matemática Aplicada e Computacional

2. ZUBELLI, J.P.. 1999.
An Introduction to Inverse Problems d ed 1. vols 1, p. 86. Rio de Janeiro: IMPA - 22. Colóquio Brasileiro de Matemática

3. ZUBELLI, J.P.. 1997.
Topics on Wave Propagation and Huygens' Principle d ed 1, p. 80. IMPA: Colóquio do IMPA

BOOK CHAPTERS
1. BRIGATTI, E., Macias, F., SOUZA, M. O., Zubelli, J P. 2015.
A Hedged Monte Carlo Method for Option Pricing In Fields Institute Communications.

2. PASTORE, D. H., Zubelli, J. P.. 2010.
On the Dynamics of Certain Models Describing the HIV Infection In Dynamics, Games and Science I and II, edited by Mauricio Peixoto; Alberto Adrego Pinto; David Rand. Vol. II, 525-540. New York: Springer Verlag


3.  ZUBELLI, J.P., LEITAO, A. C. G., MARKOWICH, P.. 2006.
Inverse Problems for Semiconductors: Models and Methods. In Transport Phenomena and Kinetic Theory. Applications to Gases, Semiconductors, Photons, and Biological Systems, edited by Carlo Cercignani;  Ester Gabetta. Basel: Birkhauser

4.  GRUNBAUM, F. A., KOHN, P., SINGER, J. R., ZUBELLI, J.P.. 1992.
Imaging of Media that Diffuse and Scatter Radiation In Radar and Sonar, Part II., edited by Alberto Grunbaum; Marvin Bernfeld; Richard Blahut. e ed 1, 57-70. New York: Springer Verlag

BOOK EDITOR
1. ZUBELLI, J.P., Frid, H., Hounie, J., R, I. J., MARCHESIN, D., NACHBIN, A.. 1999.
Sixth Workshop on Partial Differential Equations - Part I. vols 1, p. 207. rio de janeiro: sociedade brasileira de matematica

2. ZUBELLI, J.P., Frid, H., Hounie, J., R, I. J., MARCHESIN, D., NACHBIN, A.. 1999.
Sixth Workshop on Partial Differential Equations - Part II. vols 1, p. 202. rio de janeiro: sociedade brasileira de matematica

3. CORDARO, P., MARCHESIN, D., NACHBIN, A., ZUBELLI, J.P.. 1998.
Fifth Workshop on Partial Differential Equations d ed 1, p. 312. Rio de Janeiro: Sociedade Brasileira de Matematica

4. MARCHESIN, D., ZUBELLI, J.P., R, I. J., NACHBIN, A.. 1996.
Fourth Workshop on Partial Differential Equations. Part I d ed 1, p. 180. Rio de Janeiro: Sociedade Brasileira de Matematica

5. MARCHESIN, D., NACHBIN, A., ZUBELLI, J.P., IORIO JR, R. J.. 1996.
Fourth Workshop on Partial Differential Equations. Part II. d ed 1, p. 190. Rio de Janeiro: Sociedade Brasileira de Matematica

REFEREED PROCEEDINGS
1. DE LA CRUZ, HUGO, OLIVERA, C. H., Zubelli, J. P.. 2013.
On the numerical integration of a random integral equation arising in the simulation of stochastic transport equations In  11TH INTERNATIONAL CONFERENCE OF NUMERICAL ANALYSIS AND APPLIED MATHEMATICS 2013: ICNAAM 2013 Rhodes 2245

2. MOCENNI, C., SPARACINO, E., Zubelli, J P. 2009.
Homogenization of multi-specie reaction-diffusion systems in domains with rough boundaries In 7th International Conference of Numerical Analysis and Applied Mathematics 7th International Conference of Numerical Analysis and Applied Mathematics Creta, Grecia 2009 Melville, New York 11747: American Institute of Physics (AIP) Proceedings

3. Jaimungal, S., Souza, Max O., Zubelli, J. P.. 2009.
Real Option Pricing with Mean-Reverting Investment and Project Value In Real Options: Theory Meets Practice. 13th Annual International Conference Real Options: Theory Meets Practice. 13th Annual International Conference Minho e Santiago 2009


4. SOUZA, M. O., ZUBELLI, J.P.. 2008.
INVESTMENT DEFERMENT UNDER FAST MEAN REVERSION STOCHASTIC VOLATILITY In 12th Annual International Conference Real Options: 12th Annual International Conference Rio de Janeiro 2008

5. SOUZA, M. O., ZUBELLI, J.P.. 2007.
Multiple Scale Asymptotics of Fast Mean Reversion Stochastic Volatility Models In Third Brazilian Conference on Statistical Modelling in Insurance and Finance Third Brazilian Conference on Statistical Modelling in Insurance and Finance Maresias 2007 1 248-253 Sao Paulo: IME-USP
6. ZUBELLI, J.P., SOUZA, M. O.. 2005.
Asymptotic Behavior of Stochastic Volatility Models In Proceedings of the Second Brazilian Conference: on Statistical Modelling in Insurance and Finance Second Brazilian Conference: on Statistical Modelling in Insurance and Finance Maresias 2005 222-227 Sao Paulo: Institute of Mathematics and Statistics, USP

7. ZUBELLI, J.P.. 2005.
Inverse Problems in Finance: A Short Survey on Calibration Techniques In Proceedings of the Second Brazilian Conference on Statistical Modelling in Insurance and Finance Conference on Statistical Modelling in Insurance and Finance Maresias 2005 64-76 Sao Paulo: IME - USP

8. ZUBELLI, J.P., Fabio Chalub. 1999.
Integrable Systems, Huygens' Principle, and Dirac Operators In Twenty Years after NEEDS '79 - Proceedings of the Workshop Nonlinearity, Integrability and All That Lecce 1999 1 89-96 Singapore: World Scientific Pu.Co.

9. ZUBELLI, J.P., TAVORA, R. G., GRIVET, M. A., PINTO, E. L.. 1997.
An Algorithm for Deinterleaving Pulse Trains Using the Fast Wavelet Transform In Proceedings of the Brazilian Symposium of Telecommunications Brazilian Symposium of Telecommunications Recife 1997 1 1-14 Recife

10. GRUNBAUM, F. A., ZUBELLI, J.P.. 1993.
Diffuse Tomography In Proceedings of the Society for Photo Industrial Engineering Meeting on Biomedical Optics SPIE Meeting on Biomedical Optics Los Angeles CA 1993 1887 263-270 Los Angeles, CALIFORNIA

11. GRUNBAUM, F. A., ZUBELLI, J.P., SINGER, J. R., KOHN, P.. 1991.
Diffuse Tomography In Proceedings of the Laser Spectroscopy Symposium of the S.P.I.E. Progress in Biomedical Optics Los Angeles 1991 1431 232-238 Los Angeles, CA

12. SINAY, L. R., ZUBELLI, J.P.. 1983.
An Oscillation Theorem For a Hill's Type Equation In Anais do Decimo Setimo Seminario Brasileiro de Analise Decimo Setimo Seminario Brasileiro de Analise Sao Jose dos Campos 1983 1 Sao Jose dos Campos

PUBLISHED ABSTRACTS IN CONFERENCES
1. ZUBELLI, Jorge P, ALBANI, V., De Cezaro, A., SCHERZER, O.. 2013.
Calibration of local volatility models by convex regularization In Calibration of local volatility models by convex regularization 29o Colóquio Brasileiro de Matemática / Sessão de Novas técnicas em problemas inversos: espaços de Banach e tomografias híbridas Rio de Janeiro 2013

2. ZUBELLI, Jorge P. 2013.
Investment Decisions under Uncertainty, Real Options and Industrial Problems In Investment Decisions under Uncertainty, Real Options and Industrial Problems 29º Colóquio Brasileiro de Matemática / Sessão de Matemática na Indústria Rio de Janeiro 2013

3. ZUBELLI, Jorge P, Sagastizabal, C., MACIAS, A. F.. 2013.
Optimal Liquidation Strategies for Portfolios under Stress Conditions. In Optimal Liquidation Strategies for Portfolios under Stress Conditions. International Conference on Stochastic Programming Bergamo 2013

4. ALBANI, V., De Cezaro, A., Zubelli, J. P.. 2012.
Calibration of Local Volatility Models by Tikhonov-type Regularization. In Calibration of Local Volatility Models by Tikhonov-type Regularization. SET OPTIMIZATION Meets FINANCE. International Mini-Conference on Set-Valued Variational Analysis and Optimization with Applications in Finance Lutherstadt Wittenberg 2012

5. Zubelli, Jorge P., ALBANI, V., De Cezaro, A., Scherzer, O.. 2012.
Calibration of stochastic volatility models In Calibration of stochastic volatility models Regularisation symposium Chemnitz inverse problems symposium on tour Camberra, Austrália 2012

6. Zubelli, J P. 2012.
Calibration of Stochastic Volatility Models by Convex Regularization In Calibration of Stochastic Volatility Models by Convex Regularization Workshop on Stochastic and PDE Methods in Financial Mathematics Yerevan, Armenia 2012

7. Zubelli, J P. 2012.
Calibration of stochastic volatility models by convex regularization In Calibration of stochastic volatility models by convex regularization USC Conferencias -- IMAT Santiago de Compostela 2012

8. Zubelli, J P, Vincent Guigues, Sagastizabal, C.. 2012.
Evaluation of LNG contracts with cancellation options In Evaluation of LNG contracts with cancellation options 21st ISMP – International Symposium on Mathematical Programming Berlin 2012 165-165

9. Zubelli, J P. 2012.
Inverse Problems in Mathematical Oncology In Inverse Problems in Mathematical Oncology Thematic School: Cirm Present Challenges of Mathematics in Oncology and Biology of Cancer : Modeling and Analysis Marseille 2012 19-20

10. ZUBELLI, J.P.. 2012.
Investment Decisions under Uncertainty, Partial Differential Equations and Quantitative Finance In Investment Decisions under Uncertainty, Partial Differential Equations and Quantitative Finance II Brazil-China Symposium on Applied and Computational Mathematics Paraná 2012

11. Zubelli, J P. 2012.
Investment Decisions under Uncertainty, Real Options and Quantitative Finance In Investment Decisions under Uncertainty, Real Options and Quantitative Finance The University of Queensland joint Maths/Economics Colloquium Brisbaine, Austrália 2012


12. Zubelli, J P, Jean Pierre Fouque, Yuri Saporito. 2012.
Multi-Factor Stochastic Volatility Models for Options and Options on Variance In Multi-Factor Stochastic Volatility Models for Options and Options on Variance SIAM Conference on Financial Mathematics and Engineering (FM 12) Minneapolis 2012 152-152

13. Zubelli, J P. 2012.
On inverse problems for some structured population PDEs In On inverse problems for some structured population PDEs The 9th AIMS Conference on Dynamical Systems, Differential Equations and Applications Orlando 2012 285-285

14. Zubelli, J P, BRIGATTI, E., SOUZA, M. O.. 2012.
Project evaluation and hedging in incomplete markets using historical prices In Project evaluation and hedging in incomplete markets using historical prices The 9th AIMS Conference on Dynamical Systems, Differential Equations and Applications Orlando, Fla 2012 201-201

15. Zubelli, J P, De Cezaro, A.. 2011.
Calibration of Local Volatility Models by Tikhonov-Type Regularization In Calibration of Local Volatility Models by Tikhonov-Type Regularization AMMCS 2011: International Conference on Applied Mathematics, Modeling and Computational Science Waterloo 2011 376-376

16. Zubelli, J P, PERTHAME, B., Doumic, M.. 2011.
Inverse Problems for some Structured Population Models In Inverse Problems for some Structured Population Models SIAM Conference on Analysis of Partial Differential Equations San Diego 2011 129-130

17. ALBANI, V., De Cezaro, A., SCHERZER, O., Zubelli, J P. 2011.
On the Inverse Problem of Local Volatility Calibration from Option Data In On the Inverse Problem of Local Volatility Calibration from Option Data ICIAM 2011: Advances in the Numerical Solution of Constrained Differential Equations Vancouver 2011 8-9

18. Zubelli, J P, Souza, Max O., MULLER, L. E.. 2010.
Evaluation of Optional Cancellation Contracts In Evaluation of Optional Cancellation Contracts 14 th Annual International Real Options Conference Roma 2010

19. Zubelli, J P. 2010.
Mathematical Modeling of Investment and Contract under Uncertainty In Mathematical Modeling of Investment and Contract under Uncertainty CIMPA - School: Applied Mathematics and Engineering Solis 2010

20. Zubelli, J P. 2010.
Stochastic Volatility Modelling under Fast Mean Reversion Regimes In Stochastic Volatility Modelling under Fast Mean Reversion Regimes 2010 SIAM Financial Math and Engineering San Francisco 2010

21. Zubelli, J P, Jaimungal, S., Souza, Max O.. 2009.
Real Option Pricing with Mean-Reverting Investment and Project Value In Real Option Pricing with Mean-Reverting Investment and Project Value 13th Annual International Conference on Real Options: Theory Meets Practice Santiago 2009


22. Zubelli, J P. 2009.
The Feynman-Kac formula and its application in financial mathematics In The Feynman-Kac formula and its application in financial mathematics Modelos estocásticos en Física, Biología y Ciencias Sociales 2009

23. Zubelli, J P, Souza, Max O.. 2008.
Real Options Under Fast Mean Reversion Stochastic Volatility In Real Options Under Fast Mean Reversion Stochastic Volatility Real Options Theory Meets Practice 12th Annual International Conference Rio de Janeiro 2008

24. SOUZA, M. O., ZUBELLI, J.P.. 2006.
Asymptotic Behavior of Stochastic Volatility Models In SIAM Conference on Financial Mathematics and Engineering - Abstracts SIAM Conference on Financial Mathematics and Engineering Boston, MA, USA

25. SOUZA, M. O., ZUBELLI, J.P.. 2006.
Asymptotics of fast mean-reversion stochastic volatility model In International Congress of Mathematicians Online Abstracts International Congresso of Mathematicians Madrid 2006

26. PASTORE, D. H., ZUBELLI, J.P.. 2006.
Numerical Simulations of the Attack of an Opportunist Virus to the Infected System by HIV In International Congress of Mathematicians Abstracts International Congress of Mathematicians Madrid Zurich, Switzerland: European Mathematical Society Publishing House

27. MALAJOVICH, G., ZUBELLI, J.P.. 1997.
On The Geometry Of Graeffe Iteration In Atas do Vigesimo Congresso Nacional de Matematica Aplicada e Computacional XX CNMAC 1 11-11 Gramado:

28. ZUBELLI, J.P.. 1993.
Diffuse Tomography: Imaging of Media That Scatter Radiation In Abstracts of the 41st SIAM Meeting 41st SIAM Meeting Philadelphia, PA: SIAM

29. ZUBELLI, J.P.. 1992.
Differential Equations in the Spectral Parameter and Polynomial Tau Functions In Abstracts of the 40th SIAM Meeting 40th SIAM Meeting Los Angeles 1992 1 73-73 Los Angeles, California:

30. ZUBELLI, J.P.. 1992.
The Isotropic Case of Diffuse Tomography In Abstracts of the SIAM 40th Anniversary Meeting SIAM 40th Anniversary Meeting Los Angeles 1992 Philadelphia, PA: SIAM

31. ZUBELLI, J.P., MAGRI, F.. 1991.
Differential Equations in the Spectral Parameter and a Hierarchy of Master Symmetries for KdV In Abstracts of the 147th Meeting of the American Mathematical Society 147th Meeting of the American Mathematical Society Santa Barbara 1991 Santa Barbara:

32. ZUBELLI, J.P.. 1991.
Differential Equations In The Spectral Parameter, Symmetries, And Solitons In Abstracts do Decimo Oitavo Coloquio Brasileiro de Matematica Decimo Oitavo Coloquio Brasileiro de Matematica Rio de Janeiro


EXPANDED ABSTRACTS
1. SOUZA, M. O., ZUBELLI, J. 2009.
Investment Deferment under Fast Mean Reversion Stochastic Volatility In Fourth Brazilian Conference on Statistical Modelling in Insurance and Finance Fourth Brazilian Conference on Statistical Modelling in Insurance and Finance Maresias 1

2. ZUBELLI, J.P.. 2006.
Inverse Problems in the Biological Sciences In Les environnements côtiers Congrès scientifique sur les Environnements Côtiers Vanne 1 13-14 Vannes: Universite de Bretagne Sud

3. MOCENNI, C., SPARACINO, E., VICINO, A., ZUBELLI, J.P.. 2006.
The Phytoplankton Dynamics of the Serra da Mesa Lake: Modelling and a two-step Parameter Identification Procedure In Abstracts of the Congress on Coastal Zones Congress on Coastal Zones Vannes. Franca