The calibration of stochastic local-volatility models: An inverse problem perspective. - Yuri F. Saporito; Xu Yang; Jorge P. Zubelli (Comput. Math. Appl., 2019)

Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost. - Yuri F. Saporito (SIAM J. Control. Optim., 2019)

Stochastic Control with Delayed Information and Related Nonlinear Master Equation. - Yuri F. Saporito; Jianfeng Zhang (SIAM J. Control. Optim., 2019)

Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation. - Yuri F. Saporito (SIAM J. Financial Math., 2020)

Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations. - Yuri F. Saporito; Zhaoyu Zhang (SIAM J. Financial Math., 2021)

Statistical Learning and Inverse Problems: A Stochastic Gradient Approach. - Yuri R. Fonseca; Yuri F. Saporito (NeurIPS, 2022)

Extensions of the deep Galerkin method. - Ali Al-Aradi; Adolfo Correia; Gabriel Jardim; Danilo de Freitas Naiff; Yuri F. Saporito (Appl. Math. Comput., 2022)

Statistical Learning and Inverse Problems: An Stochastic Gradient Approach. - Yuri R. Fonseca; Yuri F. Saporito (CoRR, 2022)

Vanishing Contagion Spreads. - Diogo Duarte; Rodolfo Prieto; Marcel Rindisbacher; Yuri F. Saporito (Manag. Sci., 2022)

Optimal Trading with Signals and Stochastic Price Impact. - Jean-Pierre Fouque; Sebastian Jaimungal; Yuri F. Saporito (SIAM J. Financial Math., 2022)

A Mathematical Framework for Dynamical Social Interactions with Dissimulation. - Yuri F. Saporito; Max O. Souza; Yuri Thamsten (J. Nonlinear Sci., 2023)

Functional classification of bitcoin addresses. - Manuel Febrero-Bande; Wenceslao González-Manteiga; Brenda Prallon; Yuri F. Saporito (Comput. Stat. Data Anal., 2023)

Nonparametric Instrumental Variable Regression through Stochastic Approximate Gradients. - Yuri R. Fonseca; Caio Peixoto; Yuri F. Saporito (NeurIPS, 2024)

Risk Budgeting Allocation for Dynamic Risk Measures. - Silvana M. Pesenti; Sebastian Jaimungal; Yuri F. Saporito; Rodrigo S. Targino (Oper. Res., 2025)

Reverse-BSDE Monte Carlo. - Jairon H. N. Batista; Flávio B. Gonçalves; Yuri F. Saporito; Rodrigo S. Targino (CoRR, 2025)