22 citations · 36 across the 7 of their papers we have counts for
9 papers
On the Estimation of the Time-Dependent Transmission Rate in Epidemiological Models
Jorge P. Zubelli, Jennifer Loria, Vinicius V. L. Albani
The COVID-19 pandemic highlighted the need to improve the modeling, estimation, and prediction of how infectious diseases spread. SEIR-like models have been particularly successful…
The Impact of COVID-19 Vaccination Delay: A Modelling Study for Chicago and NYC Data
Vinicius V. L. Albani, Jennifer Loria, Eduardo Massad +1
Background: By the beginning of December 2020, some vaccines against COVID-19 already presented efficacy and security, which qualify them to be used in mass vaccination campaigns.…
Estimating, Monitoring, and Forecasting the Covid-19 Epidemics: A Spatio-Temporal Approach Applied to NYC Data
Vinicius V. L. Albani, Roberto M. Velho, Jorge P. Zubelli
We propose an SEIR-type meta-population model to simulate and monitor the Covid-19 epidemic evolution. The basic model consists of seven compartments, namely susceptible (S), expos…
A Splitting Strategy for the Calibration of Jump-Diffusion Models
Vinicius Albani, Jorge Zubelli
We present a detailed analysis and implementation of a splitting strategy to identify simultaneously the local-volatility surface and the jump-size distribution from quoted Europea…
Local Volatility Models in Commodity Markets and Online Calibration
Vinicius Albani, Uri M. Ascher, Jorge P. Zubelli
We introduce a local volatility model for the valuation of options on commodity futures by using European vanilla option prices. The corresponding calibration problem is addressed…
Data driven recovery of local volatility surfaces
Vinicius Albani, Uri M. Ascher, Xu Yang +1
This paper examines issues of data completion and location uncertainty, popular in many practical PDE-based inverse problems, in the context of option calibration via recovery of l…