Regularization of Ill-Posed Inverse Problems
Quantitative Finance
Computational and Mathematical Modelling
Travelling wave solutions of an equation of Harry Dym type arising in the Black-Scholes framework (with K. Singh, I. Kourakis, and J.P. Zubelli), Inverse Problems 41, 115009, 2025 (arXiv, DOI).
Big data Analysis and Dimensionality Reduction for Predicting Price Trends in the Brazilian Electricity Market Considering Interdisciplinary Phenomena (with E. Sica, L. Barboza, J. Benedet, K. Lima, E. Santos, and S. Avila), IEEE Latin America Transactions 23(9), 812--821, 2025 (DOI).
Short-term Forecasting of Forward Prices in the Brazilian Electricity Market with a Hybrid Stochastic-Neural Network Model (with P. Savana, R. Marcavillaca, M. Geremia, R. Piovesan, E. Sica, E. Santos, and S. L. Avila), Energy Economics, 2025 (DOI).
On the Estimation of the Time-Dependent Transmission Rate in Epidemiological Models (with J. Loria and J. P. Zubelli), Inverse Problems 41, 065001, 2025 (DOI, arXiv).
A Numerical Evaluation of the Economic Tradeoff of Vaccination Against Chikungunya Virus in Brazil (with E. Massad), Mathematical Biosciences 380, 109376, 2025 (DOI, SSRN).
Bayesian Tricks and Maximum Entropy Densities for Option Pricing and Local Volatility Calibration (with L. Sarmanho and J.P. Zubelli), Transactions of ADIA Lab, 2025 (DOI, SSRN).
K-Epsilon Turbulence Model and Particle Swarm Optimization Technique to Estimate Multiple Atmospheric Emissions, (with R. Albani, J.P. Salazar, and A.J. Silva Neto), Air Quality, Defect and Diffusion Forum 436, 3--12, 2024 (DOI).
Multipenalty and composed merit functions in Tikhonov-type regularization applied to atmospheric source identification problems, (with R. Albani and A.J. Silva Neto), Ciência e Natura, 46, e86857, 2024 (DOI).
Estimating the Number of Atmospheric Releases and other Parameters by Bayesian Inference, (with R. Albani, H.S. Migon, L.E.G. Silva, and A.J. Silva Neto), Air Quality, Atmosphere & Health, 17, 1007–1019, 2024 (DOI).
Stochastic Transmission in Epidemiological Models (with J.P. Zubelli), Journal of Mathematical Biology, 88(25), 2024 (DOI, medRxiv).
Time-Dependent Vaccine Efficacy Estimation Quantified by a Mathematical Model (with J. Loria, F.A.B. Coutinho, D.T. Covas, C. Struchiner, E. Massad, and J.P. Zubelli), PloS ONE, 18(5), e0285466, 2023 (DOI).
Short- and long-term forecasting for building energy consumption considering IPMVP recommendations, WEO and COP27 scenarios (with G.S. Fereira, D.M. dos Santos, S.L. Avila, G.C. Orsi, P.C.C. Vieira, and R.N. Rodrigues), Applied Energy, 339, 120980, 2023 (DOI).
Bayesian Inference and Wind Field Statistical Modeling Applied to Multiple Source Estimation (with R. Albani, H.S. Migon, L.E.G. Silva, and A.J. Silva Neto), Environmental Pollution, 321, 121061, 2023 (DOI).
The Interplay Between COVID-19 and the Economy in Canada (with M. Grasselli, W. Pang, and J.P. Zubelli), Journal of Risk and Financial Management, 15(10), 476, 2022 (DOI).
On the Role of Financial Support Programs in Mitigating the SARS-CoV-2 Spread in Brazil (with R. Albani, N. Bobko, E. Massad, and J.P. Zubelli), BMC Public Health, 22, 1781, 2022 (DOI).
Nowcasting and Forecasting COVID-19 Waves: The Recursive and Stochastic Nature of Transmission (with R. Albani, E. Massad, and J.P. Zubelli), Royal Society Open Science, 9(8), 220489, 2022 (DOI).
COVID-19 Underreporting and its Impact on Vaccination Strategies (with J. Loria, E. Massad, and J.P. Zubelli), BMC Infectious Diseases, 21, 1111, 2021 (DOI).
The Impact of COVID-19 Vaccination Delay: A Data-Driven Modelling Analysis for Chicago and New York City (with J. Loria, E. Massad and J.P. Zubelli), Vaccine, 39(41), 6088--6094, 2021 (DOI, medRxiv).
Uncertainty Quantification and Atmospheric Source Estimation with a Discrepancy-Based and a State-Dependent Adaptive MCMC (with R. Albani, H.S. Migon and A.J. Silva Neto), Environmental Pollution, 290, 118039, 2021 (DOI).
Estimating, Monitoring, and Forecasting the Covid-19 Epidemics: A Spatio-Temporal Approach Applied to NYC Data (with R.M. Velho and J.P. Zubelli), Scientific Reports, 11, 9089, 2021 (DOI).
Source Characterization of Airborne Pollutant Emissions by Hybrid Metaheuristic-Gradient-based Optimization Techniques (with R. Albani and A.J. Silva Neto), Environmental Pollution, 267, 115618, 2020 (DOI).
An Accurate Strategy to Retrieve Multiple Source Emissions in the Atmosphere (with R. Albani), Atmospheric Environment, 233, 117579, 2020 (DOI).
A Splitting Strategy for the Calibration of Jump-Diffusion Models (with J.P. Zubelli), Finance and Stochastics, 24, 677-722, 2020 (arXiv, DOI).
Tikhonov-Type Regularization and the Finite Element Method Applied to Point Source Estimation in the Atmosphere (with R. Albani). Atmospheric Environment, 211(15), 69-78, 2019 (DOI).
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).
Local Volatility Models in Commodity Markets and Online Calibration (with U. Ascher and J.P. Zubelli), Journal of Computational Finance, 21(5), 63-95, 2018 (arXiv, DOI).
Data-driven recovery of local volatility surfaces (with U. Ascher, X. Yang, and J.P. Zubelli), Inverse Problems and Imaging, 11(5), 799-823, 2017 (arXiv, DOI).
Convex Regularization of Local Volatility Estimation (with A. De Cezaro and J.P. Zubelli), International Journal of Theoretical and Applied Finance, 20(1), 1750006, 2017 (SSRN, DOI).
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 (arXiv DOI).
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 (arXiv, DOI).
Online Local Volatility Calibration by Convex Regularization (with J.P. Zubelli), Appl. Anal. Discrete Math., 8(2), 243-268, 2014 (arXiv, DOI).
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 (DOI).
Uma Introdução aos Métodos Matemáticos em Finanças, Notas de Matemática Aplicada, SBMAC, 2025.
Long-Term Predictions and Risk Analysis of Electricity Prices in Brazil (with P. Savana, M. Geremia, E. Sica, E. Santos, and S. L. Avila), submitted, 2025.
On Augmented Lagrangian Techniques and Tikhonov-type Regularization (with A. De Cezaro), 2025.
On Block-Descent Strategies in Tikhonov-type Regularization (with A. De Cezaro e A.J. Silva Neto), 2025.
Multipenalty and Composed Merit Functions in Tikhonov-type Regularization Applied to Atmospheric Source Identification Problems (with R. Albani and A.J. Silva Neto), in Proceedings of XXIV Encontro Nacional de Modelagem Computacional, 2023 (doi).
On Coordinate-Descent-like Strategies to Solve Inverse Problems (with A.J. Silva Neto), in Proceedings of XXIV Encontro Nacional de Modelagem Computacional, 2023 (doi).
Multiple Source Estimation of Atmospheric Emissions Using RANS K-Epsilon Model and Particle Swarm Optimization Technique (with R. Albani and A.J. Silva Neto), in Proceedings of XXIV Encontro Nacional de Modelagem Computacional, 2023 (doi).
Estimation of Pollution Sources With Physics-Informed Neural Networks (with R. Mamud, H.S. Migon, and A.J. Silva Neto), in Proceedings of 19th Brazilian Congress of Thermal Sciences and Engineering - ENCIT 2022, 2022 (pdf).
A Bayesian Inference Model for the Estimation of Time-Dependent Pollutant Emissions (with R. Albani, H.S. Migon, and A.J. Silva Neto), in Proceedings of XLI Congresso Nacional de Matemática Aplicada e Computacional - XLI CNMAC, 2022 (pdf).
Estimation of the Deposition Rates of Atmospheric Pollutants Using Particle Swarm Optimization (with R. Albani, A. Gamboa, D. Moreira, and A.J. Silva Neto), in Proceedings of 19th Brazilian Congress of Thermal Sciences and Engineering - ENCIT 2022, 2022 (pdf).
A Bayesian Inference Technique Combined with a Stochastic Wind Modeling to Improve Multiple Source Parameters Estimation in the Atmosphere (with R. Albani, H.S. Migon, L.E.G. Silva, and A.J. Silva Neto), in Proceedings of 21st International Conference on Harmonisation within Atmospheric Dispersion Modelling for Regulatory Purposes - HARMO 2022, 2022 (pdf).
Estimation of Atmospheric Emissions by an Adaptive Monte Carlo Chain Method (with R. Albani, H.S. Migon, and A.J. Silva Neto), in Proceedings of 26th ABCM International Congress of Mechanical Engineering - COBEM 2021, 2021 (pdf).
A Bayesian Inference Approach for the Identification of Multiple Atmospheric Emissions with Uncertainty Quantification (with R. Albani, H.S. Migon, and A.J. Silva Neto), in Proceedings of XXIV Encontro Nacional de Modelagem Computacional, 2021 (pdf).
Genetic Algorithm Optimization Applied to Pollution Source Estimation in the Atmosphere (with R. Albani and A.J. Silva Neto), in Proceedings of 18th Brazilian Congress of Thermal Sciences and Engineering, 2020 (pdf).
Atmospheric Source Reconstruction Using Particle Swarm Optimization (with R. Albani and A.J. Silva Neto), in Proceedings of XXIII Encontro Nacional de Modelagem Computacional, 2020 (pdf).
Tracking Covid-19 Spread using an Epidemiological Model and Maximum a Posteriori Estimation, in Proceedings of XXIII Encontro Nacional de Modelagem Computacional, 2020.
Structured Models for Cell Populations: Direct and Inverse Problems (with J.P. Zubelli), in Proceedings of Multi-scale and hybrid modelling in cell biology (March, 2015), (pdf, doi)
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).
Roseane Albani - IPRJ/UERJ (Brazil).
Uri M. Ascher - University of British Columbia (Canada).
Sergio Avila - IFSC (Brazil).
Adriano De Cezaro - IMEF/FURG (Brazil).
Peter Elbau - University of Vienna (Austria).
Jennifer Loria - Universidad de Costa Rica (Costa Rica).
Eduardo Massad - EAESP-FGV (Brazil).
Helio S. Migon - IM/UFRJ and IPRJ/UERJ (Brazil).
Marcelo B. Ribeiro - IF/UFRJ (Brazil).
Otmar Scherzer - University of Vienna (Austria).
Antonio J. Silva Neto - IPRJ/UERJ (Brazil).
Jorge P. Zubelli - Khalifa University (UAE).