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ANA MARGARIDA MACHADO MONTEIRO is currently an Assistant Professor at University of Coimbra and Researcher at CeBER . She received both his bachelor and master degrees in Mathematics from the University of Coimbra in 1991 and 2007, respectively. In 2008, she completed a PhD in Mathematics and Finance, with applications in economics. Some of her publications are in top journals, such as European Journal of Operational Research, Review of Derivatives Research, Journal of Futures Markets, Journal of Parallel Computing.
Identification

Personal identification

Full name
ANA MARGARIDA MACHADO MONTEIRO

Citation names

  • Monteiro, Ana
  • Monteiro, A. M.
  • Monteiro, Ana Margarida

Author identifiers

Ciência ID
7311-E63B-4634
ORCID iD
0000-0003-3433-1695

Languages

Language Speaking Reading Writing Listening Peer-review
English Upper intermediate (B2) Advanced (C1) Advanced (C1) Upper intermediate (B2)
French Beginner (A1) Intermediate (B1) Beginner (A1) Beginner (A1)
Education
Degree Classification
2008
Concluded
 Organização e Gestão de Empresas (Doutoramento)
Major in Especialidade: Investigação Operacional
Universidade de Coimbra Faculdade de Economia, Portugal
"Estimação de Funções de Densidade Neutras Face ao Risco Através de Preços de Opções" (THESIS/DISSERTATION)
1997
Concluded
 Mestrado em Física Matemática (Mestrado)
Universidade de Coimbra Faculdade de Ciencias e Tecnologia, Portugal
"Rigid problems in termoelasticity" (THESIS/DISSERTATION)
 Very Good
1993/01 - 1993/07
Concluded
 Curso de Equações Diferenciais, Análise Complexa e Análise Funcional (Pós-Graduação) (Pós-Graduação)
Universidade de Coimbra Departamento de Matemática, Portugal
1991
Concluded
 Matemática (Licenciatura)
Universidade de Coimbra Faculdade de Ciencias e Tecnologia, Portugal
 Good
Affiliation

Teaching in Higher Education

Category
Host institution 		Employer
2008 - Current Assistant Professor (University Teacher) Universidade de Coimbra Faculdade de Economia, Portugal
1997/03/31 - 2008/04/28 Assistant (University Teacher) Universidade de Coimbra Faculdade de Economia, Portugal
1992 - 1997/03/31 Trainee Assistant (University Teacher) Universidade de Coimbra Faculdade de Economia, Portugal
Projects

Contract

Designation Funders
2007/05/01 - 2010/04/30 Computational Mathematical Finance
info:eu-repo/grantAgreement/FCT/5876-PPCDTI/64838/PT
 Associação para a Inovação e Desenvolvimento da FCT
Concluded
2001/01/01 - 2004/12/31 Nonlinear Optimization - Research grant POCTI/35059/MAT/2000
POCTI/35059/MAT/2000
Researcher
Associação para a Inovação e Desenvolvimento da FCT
Concluded

Other

Designation Funders
2022/01 - Current RiskBigData project: Complex Risk Management in the Big Data Regime (PTDC/MAT-APL/1286/2021)
PTDC/MAT-APL/1286/2021
Post-doc
Universidade de Coimbra, Portugal
 Associação para a Inovação e Desenvolvimento da FCT
Ongoing
Outputs

Publications

Conference abstract
  1. Santos, Antonio A. F.. "Parallel computations for nonparametric estimation of risk-neutral densities through option prices". Paper presented in 15th International Conference on Computational and Financial Econometrics (CFE 2021), 2021.
  2. Monteiro, Ana. "High-frequency options data in estimating time-varying risk-neutral densities using kernel-type estimators(CFE 2020)". Paper presented in 14th International Conference on Computational and Financial Econometrics (CFE 2020), Londres, 2020.
    Published
  3. Monteiro, Ana. "Nonparametric risk-neutral density estimation using local cubic polynomials applied to intraday data(CFE 2018)". Paper presented in 12th International Conference on Computational and Financial Econometrics (CFE 2018), Pisa, 2018.
    Published
  4. Monteiro, Ana. "Hypergeometric functionals and kernel regression in risk neutral density estimation(CFE 2017)". Paper presented in 11th International Conference on Computational and Financial Econometrics (CFE 2017), Londres, 2017.
    Published
  5. Monteiro, Ana. "Robust Statistics vs Robust Optimization applied to Portfolio Allocation(Workshop on Assessment Methodologies energy, mobility and other real world applications)". Paper presented in Workshop on Assessment Methodologies energy, mobility and other real world applications, June 19, ITeCons, Universidade de Coimbra., Coimbra, 2015.
    Published
  6. Monteiro, Ana. "Portfolio choice with parameter uncertainty: Bayesian analysis and robust optimisation comparison(CFE 2014)". Paper presented in 8th International Conference on Computational and Financial Econometrics(CFE 2014), Pisa, 2014.
    Published
  7. Monteiro, Ana. "Dynamic evolution for risk-neutral densities (EURO 2009)". Paper presented in 23rd European Conference on Operational Research, Bonn, 2009.
    Published
  8. Monteiro, Ana. "Estimating the Risk-Neutral Density and its Dynamics from Option Prices(Optimization 2007)". Paper presented in Optimization 2007, Porto, 2007.
    Published
  9. Monteiro, Ana. "Risk-neutral density estimation from option prices (ISMP 2003)". Paper presented in 18th International Symposium on Mathematical Programming (ISMP 2003, August -18-22 ), Copenhagen, 2003.
    Published
Conference paper
  1. Monteiro, Ana. "Large scale nonparametric estimation of risk-neutral densities through jointly use of constraints based on call and put option prices". Paper presented in Third International Conference on Computational Finance., Corunha, 2019.
    Published
  2. Monteiro, Ana. "Option prices and risk-neutral density estimation using local cubic polynomial with no-arbitrage constraints". Paper presented in 10th Portuguese Finance Network Conference (PFN 2018), July 2-4, ISCTE, Lisbon, Lisboa, 2018.
    Published
  3. Monteiro, Ana. "Extracting risk neutral densities from options prices: a com- parison between hypergeometric density functionals and kernel density estimation". Paper presented in 2 nd International Conference on Computational Finance 2017, Lisboa, 2017.
    Published
  4. Monteiro, Ana. "Firm Size Distribution and Economic Conjuncture: The Portuguese case between 2006 and 2012,". Paper presented in SCF2015 Stochastics & Computational Finance from Academia to Industry, ISEG - Lisbon School of Economics and Management - Universidade de Lisboa, Portugal., Lisboa, 2015.
    Published
  5. Monteiro, Ana. "Portfolio choice: robust approaches, Proceedings of SCF 2015 Stochastics & Computational Finance from Academia to Industry, ISEG - Lisbon School of Economics and Management - Universidade de Lisboa, Portugal.". Paper presented in SCF2015 Stochastics & Computational Finance from Academia to Industry, ISEG - Lisbon School of Economics and Management - Universidade de Lisboa, Portugal., Lisboa, 2015.
    Published
Journal article
  1. Monteiro, Ana; Santos, António A. F.. "Option prices for risk-neutral density estimation using nonparametric methods through big data and large-scale problems". The Journal of Futures Markets 42 (2021): 152-171.
    Published
  2. Monteiro, Ana M.; Santos, Antonio A. F.. "Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints". Review of Derivatives Research 23 1 (2020): 41-61. http://dx.doi.org/10.1007/s11147-019-09156-x.
    Published • 10.1007/s11147-019-09156-x
  3. Pascoal, Rui; Augusto, Mário; Monteiro, A.M.. "Size distribution of Portuguese firms between 2006 and 2012". Physica A: Statistical Mechanics and its Applications 458 (2016): 342-355. http://dx.doi.org/10.1016/j.physa.2016.04.010.
    Published • 10.1016/j.physa.2016.04.010
  4. Pascoal, Rui; Monteiro, Ana. "Market Efficiency, Roughness and Long Memory in PSI20 Index Returns: Wavelet and Entropy Analysis". Entropy 16 5 (2014): 2768-2788. http://dx.doi.org/10.3390/e16052768.
    Published • 10.3390/e16052768
  5. Monteiro, A.M.; Tütüncü, R.H.; Vicente, L.N.. "Estimation of risk-neutral density surfaces". Computational Management Science 8 4 (2011): 387-414. http://www.scopus.com/inward/record.url?eid=2-s2.0-80053119545&partnerID=MN8TOARS.
    10.1007/s10287-010-0126-3
  6. Monteiro, A.M.; Tütüncü, R.H.; Vicente, L.N.. "Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity". European Journal of Operational Research 187 2 (2008): 525-542. http://www.scopus.com/inward/record.url?eid=2-s2.0-36049031749&partnerID=MN8TOARS.
    10.1016/j.ejor.2007.02.041
Thesis / Dissertation
  1. Monteiro, Ana. "Estimação de funções de densidade neutras face ao risco através de preços de opções". PhD, 2008. https://estudogeral.sib.uc.pt/handle/10316/8997.
  2. Monteiro, Ana. "Problemas Rígidos em Termoelasticidade". Master, Universidade de Coimbra Departamento de Matemática, 1997.
Working paper
  1. Monteiro, Ana. 2019. "Kernel density estimation using local cubic polynomials through option prices applied to intraday data". https://estudogeral.uc.pt/handle/10316/87034.
  2. Monteiro, Ana. 2015. "Estudos do GEMF, N.º 04 de 2015: Size Distribution of Portuguese Firms between 2006 and 2012 -".
  3. Monteiro, Ana. 2014. "Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison". https://www.uc.pt/feuc/gemf/working_papers/abstracts/2014/gemf_2014-25.
  4. Monteiro, Ana. 2008. "Dynamical evolution for risk-neutral densities". https://estudogeral.sib.uc.pt/bitstream/10316/11214/1/Dynamic%20evolution%20for%20risk-neutral%20densities.pdf.
Activities

Oral presentation

Presentation title Event name
Host (Event location)
2021/12/18 Parallel computations for nonparametric estimation of risk-neutral densities through option prices 15th International Conference on Computational and Financial Econometrics (CFE 2021)
King's College London, 18-20 December 2021 (Londres, United Kingdom)
2021/07/05 Large Scale Nonparametric Estimation Problem Using VIX Data 11th Portuguese Finance Network Conference , 5th-6th July, 2021
University of Minho (Braga (online), Portugal)
2020/12/19 High-frequency options data in estimating time-varying risk-neutral densities using kernel-type estimators Computational and Financial Econometrics (Virtual CFE 2020)
King's Business School, and King's Department of Mathematics (Londres, United Kingdom)
2018/12/16 Nonparametric risk-neutral density estimation using local cubic polynomials applied to intraday data 12th International Conference on Computational and Financial Econometrics (CFE 2018)
University of Pisa, Italy, 14-16 December 2018 (Pisa, Italy)

Supervision

Thesis Title
Role 		Degree Subject (Type)
Institution / Organization
2020/12 - Current Risco de crédito: O modelo de Merton
Co-supervisor
 Mestrado em Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra, Portugal
2018 - 2019 PREÇOS DE OPÇÕES E EXPECTATIVAS IMPLÍCITAS DOS INVESTIDORES RELATIVAMENTE AOS ÍNDICES S&P500 E VIX
Co-supervisor of Sara Cerqueira Fernandes
 Mestrado em Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra, Portugal
2016 - 2017 Estimação de funções densidade neutras face ao risco: um estudo comparativo
Supervisor of André Gonçalves Salgado
 Mestrado em Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra, Portugal
2016 - 2017 Estimação de densidades neutras face ao risco: uma aplicação a opções sobre o índice S&%P500
Co-supervisor of Carolina Simões
 Mestrado em Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra, Portugal
2015 - 2016/06 O impacto do preço internacional do petróleo nas taxas de câmbio em Angola
Co-supervisor of Eunice Alexandra Gonçalves Duarte
 Mestrado em Economia (Master)
Universidade de Coimbra, Portugal
2014 - 2015/03 Uma Análise Comparativa dos Indices PSI20, IBEX35 e DAX 40 usando Onduletas
Supervisor of Madalena Moura Trindade Rodrigues de Carvalho
 Mestrado em Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra, Portugal
2008 - 2010/10 Problemas de Gestão Activo-Passivo aplicados a Fundos de Pensões
Supervisor of Pedro Oliveira Pratas e Sousa
 Mestrado em Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra, Portugal

Event organisation

Event name
Type of event (Role) 		Institution / Organization
2006/01 - 2007/10 Co-organizer Follow-up Workshop on Optimization in Finance , October 26-27, 2007 (2007/10/26 - 2007/10/27)
Conference (Co-organisor)
 International Center for Mathematics, Portugal
2003/07 - 2005/12 Co-organizer of Workshop on Optimization in Finance -2005 (2005/07/05 - 2005/07/08)
Congress (Co-organisor)
 International Center for Mathematics, Portugal

Jury of academic degree

Topic
Role 		Candidate name (Type of degree)
Institution / Organization
2015 Selecção de Portefólios: O Impacto da Liquidez
(Thesis) Main arguer
 Mónica Carvalho Moutinho (Master)
Universidade de Coimbra, Portugal
2013/09 Análise de Monte Carlo de Vários Produtos Financeiros Complexos Emitidos em Portugal
(Thesis) Main arguer
 Ricardo Filipe Bango Correia (Master)
Universidade de Coimbra, Portugal

Committee member

Activity description
Role 		Institution / Organization
2015 - 2016 Comissão Organizadora de 10th Annual Meeting of the Portuguese Economic Journal on July 1-3, 2016. Universidade de Coimbra, Portugal

Journal scientific committee

Journal title (ISSN) Publisher
2015/09 - 2016 European Journal of Operational Research (0377-2217) Elsevier
2015/03 - 2015/07 Mathematical Communications Udruga Matematicara Osijek