Book published by FGV Press in running for Jabuti Academic Prize

The book “Modelos de Volatilidade para Derivativos” (“Volatility Models for Derivatives”), written by Professor Yuri Saporito of Fundação Getulio Vargas’ School of Applied Mathematics (FGV EMAp), is among the 10 finalists for this year’s Jabuti Prize in the Mathematics, Probability and Statistics category. The book is published by FGV Press in partnership with FGV EMAp.

The main contribution of this book is to present, in an organized and detailed manner, an up-to-date view of extensions to the Black-Scholes model, considering volatility modeling for the derivatives market. To aid readers’ understanding, a summary of the results that make up the mathematical basis of volatility models in quantitative finance is presented in the appendices.

In addition, some Python codes for the discussed models are available on an exclusive website, presented in a “Mathematics Collection,” consisting of monographs dealing with advanced applied mathematics or data science topics. They are written in an informal but mathematically rigorous way, reflecting the style of scientific activity carried out at FGV EMAp.

About the author

Yuri F. Saporito is an associate professor at Fundação Getulio Vargas’ School of Applied Mathematics (FGV EMAp). He obtained his doctorate in quantitative finance at the University of California, Santa Barbara, under the supervision of researchers Jean-Pierre Fouque and Bruno Dupire.

His research interests are broad, ranging from volatility modeling to the theoretical and practical aspects of functional Ito calculus, as well as machine learning applications in finance. Before returning to academic life, he worked as a quantitative analyst in the financial markets.

About the Jabuti Prize

The Jabuti Prize, established in 1958 at a time of significant challenges for publishing, is the highest literary honor in Brazil. Created by the Brazilian Book Chamber, the award is an annual celebration that seeks to recognize and pay tribute to the outstanding contributions of authors, cover designers, illustrators, graphic designers, translators, booksellers, publishers and those who carry out projects to encourage and maintain the habit of reading, as well as those who help Brazilian literary production reach the world. The name “Jabuti” was chosen in reference to the emblematic tortoise in Monteiro Lobato’s work, symbolizing tenacity and the ability to overcome obstacles – a representation that matches the richness and diversity of Brazilian culture and literature.

For more information about the book, click here.