Jorge P Zubelli

University of British Columbia

Jorge P Zubelli is Professor of Mathematics IMPA in Rio de Janeiro, Brazil. He is also PI of the Laboratory for Analysis and Modeling in the Applied Sciences at IMPA and Coordinator for the Master’s program on Mathematical Methods in Finance of IMPA. Zubelli received his Telecommunications Engineering degree at IME-Rio de Janeiro in 1983, his MSc in Mathematics at IMPA in 1984, and his PhD in Applied Mathematics at the University of California at Berkeley in 1989. Zubelli’s main interest areas are: Mathematical Modeling of Biophysical Phenomena, Inverse Problems, Mathematical Finance, and Biomathematics.

Articles by Jorge P Zubelli

Original research

Local volatility models in commodity markets and online calibration

This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.

18 Aug 2017

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