PUBLICATION LIST

Jorge P. ZUBELLI

(March 2018)

 

ACCEPTED FOR PUBLICATION

 

  1. WAGALATH, L; ZUBELLI, J.P., 2018. A liquidation risk adjustment for value at risk and expected shortfall International Journal of Theoretical & Applied Finance Vol. 21.

 

PUBLISHED IN JOURNALS

 

  1. GOBET, E.; LIU, G.; ZUBELLI, J.P., 2018. A non-intrusive stratified resampler for regression Monte Carlo: application to solving non-linear equations. SIAM Journal on Numerical Analysis, Vol. 56, Issue 1.

 

  1. STRUGAREK, M.; VAUCHELET, N.; ZUBELLI, J.P., 2018. Quantifying the survival uncertainty of Wolbachia-infected mosquitoes in a spatial model. Mathematical Biosciences & Engineering, Vol. 15, no. 4.

 

  1. ALBANI, V.; ASCHER, U.; ZUBELLI, J.P., 2017. Local volatility models in commodity markets and online calibration. Journal of Computational Finance, v. 21, p. 1-33.

 

  1. ALBANI, V.; DE CEZARO, A.; ZUBELLI, J.P., 2017 Convex Regularization of Local Volatility Estimation. International Journal of Theoretical & Applied Finance, v. 20, p. 1750006.

 

  1. PEREIRA, MAURO F.; ANFERTEV, V. A.; ZUBELLI, J P; VAKS, V. L. THz, 2017. Generation by GHz Multiplication in Superlattices. Journal of Nanophotonics, Vol. 11(4).

 

  1. YANG, X.; ORIAKU, C. I.; ZUBELLI, J. P.; PEREIRA, M. F., 2017. Automated numerical characterization of dilute semiconductors per comparison with luminescence. Optical and Quantum Electronics, v. 49, p. 1-8.

 

  1. ZUBELLI, JORGE PASSAMANI; PINTO, ALBERTO A.; MARTINS, FILIPE, 2017. Nash and social welfare impact in an international trade model. Journal of Dynamics and Games, v. 4, p. 4-4.

 

  1. ORIAKU, CHIJIOKE I.; SPENCER, TIMOTHY J.; YANG, XU; ZUBELLI, Jorge P.; PEREIRA, MAURO F., 2017. Analytical expressions for the luminescence of dilute quaternary InAs (N,Sb) semiconductors. Journal of Nanophotonics, v. 11, p. 026005.

 

  1. ALBANI, V.; ASCHER, U.; YANG, XU; ZUBELLI, J.P., 2017. Data driven recovery of local volatility surfaces. Inverse Problems and Imaging, v. 11, p. 2-2.

 

  1. PEREIRA, MAURO F.; ZUBELLI, J P; WINGE, D.; WACKER, A.; RODRIGUES, A. S.; ANFERTEV, V. A.; VAKS, V. L., 2017. Theory and measurements of harmonic generation in semiconductor superlattices with applications in the 100 GHz to 1 THz range. Physical Review B, v. 96, p. 045306.

 

  1. BOBKO, N.; ZUBELLI, JORGE PASSAMANI, 2017. Estimation of the HIV-1 infection rate and the basic reproductive ratio. Computational & Applied Mathematics, v. 37, p. 1-16.

 

  1. ALBANI, V.; DE CEZARO, A.; ZUBELLI, J.P., 2016. On the choice of the Tikhonov regularization parameter and the discretization level: A discrepancy-based strategy. Inverse Problems and Imaging (Springfield), v. 10, p. 1-25.

 

  1. DE MOURA, CARLOS EDUARDO; PIZZINGA, ADRIAN; ZUBELLI, Jorge, 2016. A pairs trading strategy based on linear state space models and the Kalman filter. Quantitative Finance, v. 1, p. 1-15.

 

  1. DE LA CRUZ, H.; JIMENEZ, J. C.; ZUBELLI, J.P., 2016. Locally Linearized methods for the simulation of stochastic oscillators driven by random forces. BIT Numerical Mathematics, v. 1, p. 1-29.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

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

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. SOUZA, MAX O., ZUBELLI, JORGE P., 2010. Global Stability for a Class of Virus Models with Cytotoxic T Lymphocyte Immune Response andAntigenic Variation In Bulletin of Mathematical Biology.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

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

 

  1. FONTANELLI, LAURA, LORENZONI, PAOLO, PEDRONI, MARCO, ZUBELLI, J.P., 2008. Bi-Hamiltonian aspects of a matrix Harry Dym hierarchy InJournal of Mathematical Physics, v.49, 092901-092916.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

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

 

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

 

  1. 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.

 

  1. 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.

 

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

 

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

 

  1. 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.

 

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

 

  1. 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.

 

  1. SAKHNOVICH, A; ZUBELLI, J.P., 2001. Bundle bispectrality for matrix differential equations In Integral Equations and Operator Theory, v.41, 472-496.

 

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

 

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

 

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

 

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

 

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

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

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

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

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

 

  1. ZUBELLI, JORGE P., 1992. On a zero-curvature problem related to the ZSAKNS operator In Journal of Mathematical Physics, v.33, 3666.

 

  1. 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.

 

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

 

  1. 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.

 

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

 

  1. 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.

 

  1. 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.

 

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

 

REFEREED BOOK CHAPTERS 

 

  1. MANTEIGA, W. G.; ZUBELLI, JORGE; COBIS, A. M.; BANDE, M. F., 2017. Goodness of Fit Test for Stochastic Volatility Models. In: Ferger, D., González Manteiga, W., Schmidt, T., Wang, J. L., (Org.). From Statistics to Mathematical Finance. 1ed.Cham, Switzerland: Springer International Publishing AG, 2017, v., p. 1-14.

 

  1. BRIGATTI, EDGARDO; MACÍAS, FELIPE; SOUZA, MAX O.; ZUBELLI, JORGE P., 2015. A Hedged Monte Carlo Approach to Real Option Pricing. Fields Institute Communications. 1ed.New York: Springer New York, v.74, p. 275-299.

 

  1. 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.

 

  1. 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.

 

  1. 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. HOFMANN, B.; LEITÃO, A.; and ZUBELLI. J.P., 2018. New Trends in Parameter Identification for Mathematical Models. Birkhauser & Springer, Heidelberg.

 

  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 Matemática.

 

  1. 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 Matemática.

 

  1. 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 Matemática.

 

  1. 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 Matemática.

 

  1. 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 Matemática.

 

REFEREED PAPERS IN 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. ZUBELLI, J.P., CHALUB, FABIO, 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. SINAY, L.R., ZUBELLI, J.P., 1983. An Oscillation Theorem For a Hill's Type Equation In Anais do Décimo Sétimo Seminário Brasileiro de Análise São Jose dos Campos 1983.

 

PUBLISHED ABSTRACTS IN CONFERENCES (partial list)

 

  1. ZUBELLI, JORGEP, 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.

 

  1. 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.

 

  1. 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.

 

  1. 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 .

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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, Australia.

 

  1. 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.

 

  1. 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.

 

  1. 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, Florida, 2012 201-201.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

  1. 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.

 

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

 

  1. 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.

 

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

 

  1. 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.

 

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

 

  1. 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.

 

  1. 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.

 

  1. ZUBELLI, J.P., 1991. Differential Equations In The Spectral Parameter, Symmetries, And Solitons In Abstracts do Décimo Oitavo Colóquio Brasileiro de Matemática Decimo Oitavo Colóquio Brasileiro de Matemática Rio de Janeiro.

 

EXPANDED ABSTRACTS (partial list)

 

  1. ZUBELLI, J.P., 2016. Mathematical Modeling and Computational Intelligence in Engineering Applications. New York (Prefácio, Pósfacio/Introdução).

 

  1. MOCENNI, C.; SPARACINO, E.; ZUBELLI, J.P., 2009. Effective Rough Boundary Parametrization for Reaction-Diffusion Systems (Preprint submetido a publicação).

 

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

 

  1. 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, France.

 

  1. 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. France.