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António Alberto Ferreira dos Santos. Concluiu Ph.D. em Estatística pela University of Warwick, Department of Statistics, o Mestrado em Economia Financeira em 1996/12/06 pela Universidade de Coimbra Faculdade de Economia, e Licenciatura em Economia em 1992/06/01 pela Universidade de Coimbra Faculdade de Economia. É Professor Auxiliar na Universidade de Coimbra Faculdade de Economia. Atua nas áreas de Ciências Sociais, Economia e Gestão, com ênfase nas áreas associadas à Estatística, Econometria, nomeadamente Econometria Financeira, e ainda, Computação em Economia.
Identification

Personal identification

Full name
António Alberto Ferreira dos Santos

Citation names

  • Santos, António A. F.

Author identifiers

Ciência ID
FB15-9B1F-AAE4

Addresses

  • Av. Dias da Silva, 165, 3004-512, Coimbra, Coimbra, Portugal (Professional)

Knowledge fields

  • Social Sciences - Economics and Business - Econometrics

Languages

Language Speaking Reading Writing Listening Peer-review
English Intermediate (B1) Intermediate (B1) Intermediate (B1) Intermediate (B1) Intermediate (B1)
Education
Degree Classification
1998/10/01 - 2002/07/02
Concluded
 Statistics (Doctor)
Major in Statistics
University of Warwick Department of Statistics, United Kingdom
"A Dinamic Bayesian Analysis in Statistical Models Used with Certain Financial Risk Problems" (THESIS/DISSERTATION)
1992/10/01 - 1996/12/06
Concluded
 Economia (Mestrado)
Major in Economia Financeira
Universidade de Coimbra Faculdade de Economia, Portugal
"A estimação do risco e a análise bayesiana na escolha dos portafólios " (THESIS/DISSERTATION)
 Muito Bom
1987/10/01 - 1992/06/01
Concluded
 Economia (Licenciatura)
Major in Economia
Universidade de Coimbra Faculdade de Economia, Portugal
 Bom
Affiliation

Teaching in Higher Education

Category
Host institution 		Employer
2002/09/01 - Current Assistant Professor (University Teacher) Universidade de Coimbra Faculdade de Economia, Portugal
1996/12/07 - 2002/08/31 Assistant (University Teacher) Universidade de Coimbra Faculdade de Economia, Portugal
1992/10/01 - 1996/12/06 Trainee Assistant (University Teacher) Universidade de Coimbra Faculdade de Economia, Portugal
Projects

Contract

Designation Funders
2022/01/01 - 2024/12/31 Complex Risk Management in the Big Data Regime
PTDC/MAT--APL/1286/2021
Co-Principal Investigator (Co-PI)
Universidade de Coimbra, Portugal
 Fundação para a Ciência e a Tecnologia
Ongoing
Outputs

Publications

Book chapter
  1. Santos, António A. F.. "Big-Data for High-Frequency Volatility Analysis with Time-Deformed Observations". In Mathematical and Statistical Methods for Actuarial Sciences and Finance, 383-388. Springer International Publishing, 2021.
    10.1007/978-3-030-78965-7_56
  2. Santos, António A. F.. "Econometria e Métodos de Computação em Economia: Algumas Discussões com o Professor João Sousa Andrade". In Estudos de Homenagem a João Sousa Andrade, 35-51. Coimbra, Portugal: Almedina, 2020.
    Published
  3. Santos, António A. F.. "Intraday Data vs Daily Data to Forecast Volatility in Financial Markets". In Time Series Analysis and Forecasting, 147-159. Springer International Publishing, 2016.
    Published • 10.1007/978-3-319-28725-6_12
Conference abstract
  1. Jayet, Laura; Santos, António A. F.; Santos, José Luis Esteves dos. "Robust Optimization in Portfolio Selection". Paper presented in International Conference on Economics and Business Roads to Sustainability (ICEBRS), Coimbra, 2023.
    Published
  2. Monteiro, A. M.; Santos, António A. F.. "Probabilities of default estimated from derivative securities". Paper presented in International Conference on Economics and Business Roads to Sustainability (ICEBRS), Coimbra, 2023.
    Published
  3. Santos, António A. F.. "Parallel computing and software integration applied to financial models calibration". Paper presented in 16th International Conference on Computational and Financial Econometrics, Londres, 2022.
    Published
  4. Monteiro, Ana M.; Santos, António A. F.. "A comparison of probabilities of default inferred from option prices and credit default swaps". Paper presented in 16th International Conference on Computational and Financial Econometrics, Londres, 2022.
    Published
  5. Santos, António A. F.; Ana Margarida Machado Monteiro (7311-E63B-4634). "High-frequency options data in estimating time-varying risk-neutral densities using kernel-type estimators". Paper presented in 14th International Conference on Computational and Financial Econometrics (Virtual CFE 2020), Londres, 2020.
    Published
  6. Santos, António A. F.. "Likelihood evaluation through particle filter methods for high-frequency stochastic volatility models". Paper presented in 13th International Conference on Computational and Financial Econometrics (CFE 2019), Londres, 2019.
    Published
  7. Santos, António A. F.. "Nonparametric risk-neutral density estimation using local cubic polynomials applied to intraday data". Paper presented in 12th International Conference on Computational and Financial Econometrics (CFE 2018), Pisa, 2018.
    Published
  8. Santos, António A. F.. "Hypergeometric functionals and kernel regression in risk-neutral density estimation". Paper presented in 11th International Conference on Computational and Financial Econometrics (CFE 2017), Londres, 2017.
    Published
  9. Santos, António A. F.. "Volume, durations and jumps in SV models for the evolution of intraday financial volatility". Paper presented in 11th International Conference on Computational and Financial Econometrics (CFE 2017), Londres, 2017.
    Published
  10. Santos, António A. F.. "Real-time analysis of the intraday financial volatility: Bigdata, simulations and stochastic volatility using R". Paper presented in 10th International Conference on Computational and Financial Econometrics (CFE 2016), Sevilha, 2016.
    Published
  11. Santos, António A. F.. "The forecast of financial volatility using volume-scaled returns through stochastic volatility models and intraday data". Paper presented in 9th International Conference on Computational and Financial Econometrics (CFE 2015), Londres, 2015.
    Published
  12. Santos, António A. F.; Monteiro, Ana M.. "Portfolio choice with parameter uncertainty: Bayesian analysis and robust optimisation comparison". Paper presented in 8th International Conference on Computational and Financial Econometrics (CFE 2014), 2014.
    Published
Conference paper
  1. Santos, António A. F.; Ana Margarida Machado Monteiro (7311-E63B-4634). "Large scale nonparametric estimation of risk-neutral densities through jointly use of constraints based on call and put option prices". Paper presented in 3 rd International Conference on Computational Finance 2019, A Coruna, 2019.
    Published
  2. Santos, António A. F.. "Intraday financial volatility evolution through stochastic volatility models including volume, durations and jumps". Paper presented in 2nd International Conference on Computational Finance, ICCF 2017, Lisboa, 2017.
    Published
  3. Monteiro, Ana M.; Santos, António A. F.. "Extracting risk neutral densities from option prices a comparison between hypergeometric density functionals and kernel density estimation". Paper presented in 2nd International Conference on Computational Finance, ICCF 2017, 2017.
    Published
  4. Santos, António A. F.. "Stochastic volatility models with volume-adapted returns in the analysis of intraday financial volatility". Paper presented in ITISE 2016 International Work-Conference on TIme SEries Analysis, Granada, 2016.
    Published
  5. Santos, António A. F.. "From stochastic volatility to realized volatility: measures comparison". Paper presented in Stochastics and Computational Finance 2015, from academia to industry, 2015.
    Published
  6. Santos, António A. F.; Monteiro, Ana M.; Pascoal, Rui. "Portfolio choice: robust approaches". Paper presented in Stochastics and Computational Finance 2015, from academia to industry, 2015.
    Published
  7. Santos, António A. F.. "Intraday data vs daily data to forecast volatility in financial markets". Paper presented in ITISE 2015 Internacional Work-Conference on TIme SEries Analysis, Granada, 2015.
    Published
Journal article
  1. Monteiro, Ana M.; Santos, António A. F.. "Parallel computing in finance for estimating risk-neutral densities through option prices". Journal of Parallel and Distributed Computing 173 (2023): 61-69. http://dx.doi.org/10.1016/j.jpdc.2022.11.010.
    Open access • Published • 10.1016/j.jpdc.2022.11.010
  2. Santos, António A. F.; Ana Margarida Machado Monteiro (7311-E63B-4634). "Option prices for risk-neutral density estimation using nonparametric methods through big data and large-scale problems". The Journal of Futures Markets 42 1 (2022): 152-171.
    Published • https://doi.org/10.1002/fut.22258
  3. Santos, Antonio A. F.. "Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework". Computational Economics 57 2 (2019): 455-479. http://dx.doi.org/10.1007/s10614-019-09958-z.
    10.1007/s10614-019-09958-z
  4. 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 (2019): 41-61. http://dx.doi.org/10.1007/s11147-019-09156-x.
    Published • 10.1007/s11147-019-09156-x
  5. Smith, J. Q; Santos, António A. F. "Second-Order Filter Distribution Approximations for Financial Time Series With Extreme Outliers". Journal of Business & Economic Statistics 24 3 (2006): 329-337. http://dx.doi.org/10.1198/073500105000000199.
    Published • 10.1198/073500105000000199
Working paper
  1. Santos, António A. F.; Monteiro, Ana M.. 2019. "Kernel density estimation using local cubic polynomials through option prices applied to intraday data".
  2. Santos, António A. F.. 2015. "On the forecasting of financial volatility using ultra-high frequency data". https://www.uc.pt/feuc/gemf/working_papers/pdf/2015/gemf_2015-17.
  3. Santos, António A. F.. 2015. "The Evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures". https://www.uc.pt/feuc/gemf/working_papers/pdf/2015/gemf_2015-10.
  4. Santos, António A. F.; Monteiro, A. M.; Pascoal, Rui. 2014. "Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison". https://www.uc.pt/feuc/gemf/working_papers/pdf/2014/gemf_2014-25.
  5. Santos, António A. F.; Andrade, João. 2014. "Stochastic Volatility Estimation with GPU Computing". https://www.uc.pt/feuc/gemf/working_papers/pdf/2014/gemf_2014-10.
Activities

Supervision

Thesis Title
Role 		Degree Subject (Type)
Institution / Organization
2022/09 - 2023/03 Otimização Robusta na Seleção de Portefólios
Co-supervisor of Laura Jayet Ribeiro
 Mestrado em Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra Faculdade de Economia, Portugal

Universidade de Coimbra Departamento de Matemática, Portugal
2022/09 - 2023/03 Market Based Probability of Default Models
Co-supervisor of Alice Nobre da Conceição
 Mestrado em Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra Faculdade de Economia, Portugal

Universidade de Coimbra Departamento de Matemática, Portugal
2021 - 2022 Calibração de modelos de precificação de opções baseados em processos de Lévy usando big data
Co-supervisor of Giacomo Bianchi
 Mestrado em Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra, Portugal
2021 - 2022 Estimação das probabilidades de default usando dados dos CDS
Co-supervisor of Patrícia Maria Ribeiro Fonseca
 Mestrado em Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra Faculdade de Economia, Portugal

Universidade de Coimbra Departamento de Matemática, Portugal
2021/01/01 - 2021/12/10 Estimação de probabilidades de default
Co-supervisor of José Pedro Lopes
 Mestrado de Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra Faculdade de Economia, Portugal
2019 - 2019 Preços de opções e expectativas implícitas dos investidores relativamente aos índices S&P 500 e VIX
Co-supervisor of Sara Isabel Cerqueira Fernandes
 Métodos Quantitativos em Finanças (Master)
Universidade de Coimbra Faculdade de Economia, Portugal

Universidade de Coimbra Faculdade de Ciencias e Tecnologia, Portugal
2016 - 2016 O impacto do preço do petróleo nas taxas de câmbio em Angola
Co-supervisor of Eunice Alexandra Gonçalves Duarte Lopes
 Economia (Master)
Universidade de Coimbra Faculdade de Economia, Portugal
2008 - 2008 Convergência regional europeia: uma aplicação empírica com recurso à econometria espacial
Co-supervisor of Rita Santos Palheiro
 Economia (Master)
Universidade de Coimbra Faculdade de Economia, Portugal
2005 - 2006 Taxas de câmbio e o papel das expectativas heterogéneas : uma aplicação com recurso a modelos de estados
Supervisor of Inês Maria Avelino Bação
 Economia (Master)
Universidade de Coimbra Faculdade de Economia, Portugal

Event organisation

Event name
Type of event (Role) 		Institution / Organization
2016/05/12 - 2016/05/14 Spring course on “Nonparametric and Semi-parametric Methods: Theory and Applications, com o Prof. Jeffrey S. Racine, MacMaster University, Canada, 12-14 Maio 2016 (GEMF, FEUC) (2016/05/12 - 2016/05/14)
Seminar (Co-organisor)
 Universidade de Coimbra Faculdade de Economia, Portugal
2015/06/08 - 2015/06/09 Spring course on “From GARCH and Stochastic Volatility to Realized Volatility and Options”, com o Prof. Torben G. Andersen, Kellogg School of Management, Northwestern University, USA, 8-9 Junho, 2015 (GEMF, FEUC) (2015/06/08 - 2015/06/09)
Seminar (Co-organisor)
 Universidade de Coimbra Faculdade de Economia, Portugal
2013/04/05 - 2013/04/06 Spring course on ¿Bayesian Econometrics: Applications to Macroeconomics and Finance¿, com o Prof. Luc Bauwens, CORE, Université Catholique du Louvain, Belgium, 5-6 Abril, 2013, (GEMF, FEUC) (2013/04/05 - 2013/04/05)
Seminar (Co-organisor)
 Universidade de Coimbra Faculdade de Economia, Portugal
2006/03/10 - 2006/03/11 Spring course on “Spatial Econometrics”, com Prof. James P. LeSage, University of Ohio, USA, 10-11 Março, 2006, (GEMF, FEUC) (2006/03/10 - 2006/03/11)
Seminar (Co-organisor)
 Universidade de Coimbra Faculdade de Economia, Portugal

Event participation

Activity description
Type of event 		Event name
Institution / Organization
2023/06/29 - 2023/07/01 Apresentação de comunicação intitulada "Probabilities of default estimated from derivative securities" na conferência International Conference on Economics and Business Roads to Sustainability (ICEBRS), June, 29 to July 1, 2023, Faculty of Economics at the University of Coimbra
Conference
 ICEBRS, International Conference on Economics and Business Roads to Sustainability
Universidade de Coimbra Faculdade de Economia, Portugal
2023/06/01 - 2023/06/06 Apresentação de uma comunicação, intitulada, "Parallel computing on option pricing models calibration using high-frequency" na 7th International Workshop on “Financial Markets and Nonlinear Dynamics” (FMND), 1-2 June 2023, Paris (France)
Conference
 7th International Workshop on Financial Markets and Nonlinear Dynamics, Paris, France
Université de Lille, France

Aix-Marseille Université, France

École d'Économie d'Aix-Marseille, France
2022/12/17 - 2022/12/19 16th International Conference on Computational and Financial Econometrics, King's Business School and King's Department of Mathematics, 17-19 December 2022, London UK, comunicação intitulada, "Parallel computing and software integration applied to financial models calibration"
Conference
 16th International Conference on Computational and Financial Econometrics
King's College London Department of Mathematics, United Kingdom
2022/12/17 - 2022/12/19 16th International Conference on Computational and Financial Econometrics, King's Business School and King's Department of Mathematics, 17-19 December 2022, London UK, comunicação intitulada, "A comparison of probabilities of default inferred from option prices and credit default swaps"
Conference
 16th International Conference on Computational and Financial Econometrics
King's College London Department of Mathematics, United Kingdom
2021/12/18 - 2021/12/20 15th International Conference on Computational and Financial Econometrics, King's Business School and King's Department of Mathematics, 18-20 December 2021, London UK, comunicação intitulada, "Parallel computations for nonparametric estimation of risk-neutral densities through option prices"
Conference
 15th International Conference on Computational and Financial Econometrics
King's College London Department of Mathematics, United Kingdom
2021/07/05 - 2021/07/07 11th Finance Conference of the Portuguese Finance Network (PFN 2021), Universidade do Minho, Escola de Economia e Gestão, 5-7 Julho, 2021 (com A. M. Monteiro - apresentação); Comunicação intitulada ``Large Scale Nonparametric Estimation Problem Using VIX Data''
Conference
 11th Finance Conference of the Portuguese Finance Network (PFN 2018)
Universidade do Minho Escola de Economia e Gestão, Portugal
2021/07/05 - 2021/07/07 11th Finance Conference of the Portuguese Finance Network (PFN 2021), Universidade do Minho, Escola de Economia e Gestão, 5-7 Julho, 2021; Comunicação intitulada ``High-Frequency Volatility Analysis Through Big-Data Within an Intrinsic Time-Frame''
Conference
 11th Finance Conference of the Portuguese Finance Network (PFN 2021),
Universidade do Minho Escola de Economia e Gestão, Portugal
2020/12/19 - 2020/12/21 14th International Conference on Computational and Financial Econometrics, King’s Business School and King’s Department of Mathematics, 19-21 December 2020, London UK, comunicação intitulada, "High-frequency options data in estimating time-varying risk-neutral densities using kernel-type estimators"
Conference
 14th International Conference on Computational and Financial Econometrics
King's College London School of Natural and Mathematical Sciences, United Kingdom
2020/09/18 - 2020/09/25 eMAF2020 Mathematical and Statistical Methods for Actuarial Sciences and Finance, Ca' Foscari University, Venice (Italy), comunicação intitulada "Big-data for high-frequency volatility analysis with time-deformed observations"
Conference
 eMAF2020 Mathematical and Statistical Methods for Actuarial Sciences and Finance
Università Ca' Foscari, Italy

Università Ca' Foscari Dipartimento di Economia, Italy
2019/12/14 - 2019/12/16 13th International Conference on Computational and Financial Econometrics (CFE 2019), University of London, UK, 14-16 Dezembro, 2019; Comunicação intitulada ``Likelihood evaluation through particle filter methods for high-frequency stochastic volatility models.''
Conference
 13th International Conference on Computational and Financial Econometrics (CFE 2019)
Birkbeck University of London, United Kingdom
2019/07/08 - 2019/07/12 3rd International Conference on Computational Finance 2019 (ICCF 2019), Universidade da Coruna, A Coruna, Spain, 8-12 Julho, 2019 (com Ana M. Monteiro - apresentação); Comunicação intitulada ``Kernel density estimation: the role of no arbitrage constraints.''
Conference
 3rd International Conference on Computational Finance 2019 (ICCF 2019)
Universidade da Coruña, Spain
2018/12/14 - 2018/12/16 12th International Conference on Computational and Financial Econometrics (CFE 2018), University of Pisa, Italy, 14-16 Dezembro, 2018 (com Ana M. Monteiro - apresentação); Comunicação intitulada ``Nonparametric risk-neutral density estimation using local cubic polynomials applied to intraday data.''
Conference
 12th International Conference on Computational and Financial Econometrics (CFE 2018)
Università degli Studi di Pisa, Italy
2018/09/26 - 2018/09/27 Workshop on Recent Developments in Financial Data Science and Econometrics, School of Business and Economics, Loughborough University, UK, 26-27 Setembro, 2018; Comunicação intitulada ``High-frequency volatility models estimation in a time-deformed framework.''
Conference
 Workshop on Recent Developments in Financial Data Science and Econometrics
Loughborough University School of Business and Economics, United Kingdom
2018/07/02 - 2018/07/04 10th Finance Conference of the Portuguese Finance Network (PFN 2018), ISCTE - Instituto Universitário de Lisboa, 2-4 Julho, 2018; Comunicação intitulada ``Stochastic volatility modelling using high-frequency data in a time deformed framework.''
Conference
 10th Finance Conference of the Portuguese Finance Network (PFN 2018)
ISCTE-Instituto Universitário de Lisboa, Portugal
2018/07/02 - 2018/07/04 10th Finance Conference of the Portuguese Finance Network (PFN 2018), ISCTE - Instituto Universitário de Lisboa, 2-4 Julho, 2018 (com A. M. Monteiro - apresentação); Comunicação intitulada ``Option prices and risk-neutral density estimation using local cubic polynomial with no-arbitrage constraints.''
Conference
 10th Finance Conference of the Portuguese Finance Network (PFN 2018)
ISCTE-Instituto Universitário de Lisboa, Portugal
2018/04/12 - 2018/04/14 Fifth International Symposium in Computational Economics and Finance, INSEEC Business School, University of Evry, Paris, France, 12-14 Abril, 2018; Comunicação intitulada ``Time deformed returns and durations for the analysis of high-frequency volatility.''
Conference
 Fifth International Symposium in Computational Economics and Finance
Université d'Evry-Val-d'Essonne, France
2017/12/16 - 2017/12/18 11th International Conference on Computational and Financial Econometrics (CFE 2017), University of London, UK, 16-18 Dezembro, 2017; Comunicação intitulada ``Volume, durations and jumps in SV models for the evolution of intraday financial volatility.''
Conference
 11th International Conference on Computational and Financial Econometrics (CFE 2017)
Birkbeck University of London, United Kingdom
2017/12/16 - 2017/12/18 11th International Conference on Computational and Financial Econometrics (CFE 2017), University of London, UK, 16-18 Dezembro, 2017 (com A. M. Monteiro - apresentação); Comunicação intitulada ``Hypergeometric functionals and kernel regression in risk neutral density estimation.''
Conference
 11th International Conference on Computational and Financial Econometrics (CFE 2017)
Birkbeck University of London, United Kingdom
2017/06/04 - 2017/06/08 2nd International Conference on Computational Finance, ICCF 2017, ISEG, Universidade de Lisboa, Portugal, 4-8 Junho, 2017; Comunicação intitulada ``Intraday financial volatility evolution through stochastic volatility models including volume, durations and jumps.''
Conference
 2nd International Conference on Computational Finance, ICCF 2017
Universidade de Lisboa Instituto Superior de Economia e Gestão, Portugal
2017/06/04 - 2017/06/08 2nd International Conference on Computational Finance, ICCF 2017, ISEG, Universidade de Lisboa, Portugal, 4-8 Junho, 2017 (com A. M. Monteiro - apresentação); Comunicação intitulada ``Extracting risk neutral densities from options prices: A comparison between hypergeometric density functionals and kernel density estimation.''
Conference
 2nd International Conference on Computational Finance, ICCF 2017
Universidade de Lisboa Instituto Superior de Economia e Gestão, Portugal
2017/06/01 - 2017/06/02 3rd International Workshop on Financial Markets and Nonlinear Dynamics (FMND), Aix-Marseille School of Economics, ESSCA School of Management, University of Evry, Paris, France, 1-2 Junho, 2017; Comunicação intitulada ``Intraday financial volatility evolution using volume-domain returns and stochastic volatility models.''
Conference
 3rd International Workshop on Financial Markets and Nonlinear Dynamics (FMND)
Université d'Evry-Val-d'Essonne, France
2017/03/30 - 2017/03/31 25th Annual Symposium, The Society for Nonlinear Dynamics and Econometrics, ESSEC Business School, University of Evry, Paris, France, 30-31 Março, 2017; Comunicação intitulada ``Non-linear state-space models for estimating and forecasting financial volatility evolution: disentangling some knots.''
Conference
 25th Annual Symposium, The Society for Nonlinear Dynamics and Econometrics
Université d'Evry-Val-d'Essonne, France
2016/12/09 - 2016/12/11 10th International Conference on Computational and Financial Econometrics (CFE 2016), University of Seville, Spain, 9-11 Dezembro, 2016,; Comunicação intitulada ``Real-time analysis of the intraday financial volatility: Big data, simulations and stochastic volatility using R.''
Conference
 10th International Conference on Computational and Financial Econometrics (CFE 2016)
Universidad de Sevilla, Spain
2016/07/06 - 2016/07/08 EcoMod2016, International Conference in Economic Modelling, ISEG, Lisboa, Portugal, 6-8 Julho, 2016; Comunicação intitulada ``Static and Dynamic Portfolio Allocation with Nonstandard Utility Functions.''
Conference
 EcoMod2016, International Conference in Economic Modelling
Universidade de Lisboa Instituto Superior de Economia e Gestão, Portugal
2016/06/27 - 2016/06/29 ITISE 2016 (International work-conference on Time Series), University of Granada, Granada, Spain, 27-29 Junho, 2016; Comunicação intitulada ``Stochastic volatility models with volume-adapted returns in the analysis of intraday financial volatility.''
Conference
 ITISE 2016 (International work-conference on Time Series)
Universidad de Granada, Spain
2016/06/22 - 2016/06/24 9th Finance Conference of the Portuguese Finance Network (PFN 2016), University of Beira Interior, Covilhã, Portugal, 22-24 Junho, 2016; Comunicação intitulada ``Step utility functions in portfolio allocation problems.''
Conference
 9th Finance Conference of the Portuguese Finance Network (PFN 2016)
Universidade da Beira Interior Departamento de Gestão e Economia, Portugal
2015/12/12 - 2015/12/14 9th International Conference on Computational and Financial Econometrics (CFE 2015), University of London, UK, 12-14 Dezembro, 2015; Comunicação intitulada ``The forecast of financial volatility using volume-scaled returns through stochastic volatility models and intraday data.''
Conference
 9th International Conference on Computational and Financial Econometrics (CFE 2015)
Birkbeck University of London, United Kingdom
2015/07/06 - 2015/07/10 Stochastics and Computational Finance 2015, from academia to industry, ISEG e CEMAPRE, Lisboa, Portugal, 6-10 Julho 2015; Comunicação intitulada ``From stochastic volatility to realized volatility: measures comparison.''
Conference
 Stochastics and Computational Finance 2015, from academia to industry
Universidade de Lisboa Instituto Superior de Economia e Gestão, Portugal
2015/07/06 - 2015/07/10 Stochastics and Computational Finance 2015, from academia to industry, ISEG and CEMAPRE, Lisboa, Portugal, 6-10 Julho 2015 (com A. Monteiro - apresentação; Rui Pascoal); Comunicação intitulada ``Portfolio choice: robust approaches.''
Conference
 Stochastics and Computational Finance 2015, from academia to industry
Universidade de Lisboa Instituto Superior de Economia e Gestão, Portugal
2015/07/01 - 2015/07/03 ITISE 2015 (International work-conference on Time Series), University of Granada, Granada, Spain, 1-3 Julho, 2015; Comunicação intitulada ``Intraday data vs daily data to forecast volatility in financial markets.''
Conference
 ITISE 2015 (International work-conference on Time Series)
Universidad de Granada, Spain
2015/06/19 - 2015/06/19 Workshop on Assessment Methodologies 2015, Universidade de Coimbra, Portugal, 19 Junho, 2015 (com A. Monteiro - apresentação; Rui Pascoal); Comunicação intitulada ``Robust statistics vs robust optimization applied to portfolio allocation.''
Conference
 Workshop on Assessment Methodologies 2015
Universidade de Coimbra Faculdade de Economia, Portugal
2014/12/06 - 2014/12/08 8th International Conference on Computational and Financial Econometrics (CFE 2014), University of Pisa, Italy, 6-8 Dezembro, 2014 (com A. Monteiro - apresentação; Rui Pascoal); Comunicação intitulada ``Portfolio choice with parameter uncertainty: Bayesian analysis and robust optimisation comparison.''
Conference
 8th International Conference on Computational and Financial Econometrics (CFE 2014)
Università degli Studi di Pisa, Italy
2014/05/30 - 2014/05/31 Conference on Indirect Estimation Methods in Finance and Economics, University of Konstanz, Germany, 30-31 Maio, 2014 (com João Andrade); Comunicação intitulada ``Stochastic Volatility Estimation with GPU Computing.''
Conference
 Conference on Indirect Estimation Methods in Finance and Economics
Universität Konstanz, Germany
2004/09/26 - 2004/09/30 Stochastic Finance 2004, CIM and ISEG, Lisboa, Portugal, 26-30 Setembro, 2004; Comunicação intitulada ``Using MCMC to estimate returns-volume stochastic volatility models: Some new evidence.''
Conference
 Stochastic Finance 2004
Universidade de Lisboa Instituto Superior de Economia e Gestão, Portugal

Jury of academic degree

Topic
Role 		Candidate name (Type of degree)
Institution / Organization
2022 Preços de opções baseados num modelo com custos de transação e volatilidade estocástica
President of the jury
 João Manuel Fernandes Gomes (Master)
2022 Calibração de modelos de precificação de opções baseados em processos de Lévy usando big data
Supervisor
 Giacomo Bianchi (Master)
2021/07/26 Estudo comparativo de portefólios de investimento no mercado acionista
President of the jury
 Fátima Antunes Ramos (Master)
Universidade de Coimbra Departamento de Matemática, Portugal
2021/06/24 Pricing American Options by the Black-Scholes Equation with a Nonlinear Volatility Function
(Thesis) Arguer
 Yaser Faghannataj Kord (PhD)
Universidade de Lisboa Instituto Superior de Economia e Gestão, Portugal
2021 Estimação de Probabilidades de Default
Supervisor
 José Pedro Lopes (Master)
Universidade de Coimbra Faculdade de Economia, Portugal

Universidade de Coimbra Departamento de Matemática, Portugal
2019/07/23 COMPARAÇÃO DE MODELOS DE PREVISÃO DO PREÇO DO PETRÓLEO
(Thesis) Arguer
 Gonçalo Wilson da Silva Punza (Master)
Universidade de Coimbra Faculdade de Economia, Portugal
2016/07/15 O impacto do preço internacional do petróleo nas taxas de câmbio em Angola
Supervisor
 Eunice Alexandra Gonçalves Duarte Lopes (Master)
Universidade de Coimbra Faculdade de Economia, Portugal
2013/07/17 Modeling durations between transactions in the index futures market - ACD models with Weibull errors. Causality between durations, volumes and returns
(Thesis) Arguer
 Hugo Filipe Queiróz Nogueira (Master)
Universidade de Coimbra Faculdade de Economia, Portugal

Universidade de Coimbra Departamento de Matemática, Portugal
2012/07/11 Dividendos ou recompras? Um estudo empírico
President of the jury
 Fábio Rodrigues de Almeida (Master)
Universidade de Coimbra Faculdade de Economia, Portugal
2010/09/10 Problemas de Gestão Activo-Passivo aplicados a Fundos de Pensões
(Thesis) Arguer
 Pedro Oliveira Pratas e Sousa (Master)
Universidade de Coimbra Faculdade de Economia, Portugal

Universidade de Coimbra Departamento de Matemática, Portugal
2010/07/20 Análise da volatilidade do mercado accionista e do mercado de taxas de juro
President of the jury
 Ana Margarida Frutuoso do Couto (Master)
Universidade de Coimbra Faculdade de Economia, Portugal
2010/07/20 A Relação Dinâmica entre as Taxas de Juro de Diferentes Maturidades na Zona Euro
President of the jury
 João Miguel Serra da Costa França (Master)
Universidade de Coimbra Faculdade de Economia, Portugal
2009 Repartição dos Ganhos com o Investimento Empresarial em Capital Humano Entre Trabalhadores e Empresas
(Thesis) Arguer
 Ana Sofia Patrício Pinto Lopes (PhD)
Universidade de Coimbra Faculdade de Economia, Portugal
2008 Estimação de Funções de Densidade Neutras Face ao Risco Através de Preços de Opções
(Thesis) Arguer
 Ana Margarida Machado Monteiro (PhD)
Universidade de Coimbra Faculdade de Economia, Portugal
2006/06 Taxas de câmbio e o papel das expectativas heterogéneas : uma aplicação com recurso a modelos de estados
Supervisor
 Inês Maria Avelino Bação (Master)
Universidade de Coimbra Faculdade de Economia, Portugal
2006 Essays on Detecting and Modelling Heterogeneity in Microeconometrics
(Thesis) Arguer
 José Maria Ruas Murteira (PhD)
Universidade de Coimbra Faculdade de Economia, Portugal
2006 A Taxa de Juro Overnight e a Sua Volatilidade. o Caso do Mercado Monetário Interbancário Português Antes e Após a Implementação da Moeda Única
(Thesis) Arguer
 Fátima Teresa Castelo da Assunção Sol Murta (PhD)
Universidade de Coimbra Faculdade de Economia, Portugal
2005 A Técnica de Seguro da Carteira e o Problema da Volatilidade. Um Estudo Aplicado ao Índice PSI-20
(Thesis) Arguer
 Elisabete Fernanda Mendes Duarte (PhD)
Universidade de Coimbra Faculdade de Economia, Portugal

Journal scientific committee

Journal title (ISSN) Publisher
2021 - Current Economic Modelling (0264-9993) Elsevier
2021 - Current Chaos, Solitons & Fractals (0960-0779) Elsevier
2020 - Current Journal of Optimization Theory and Applications (0022-3239) Springer
2020 - Current International Journal of Finance and Economics (1099-1158) Wiley
2018 - Current Computational Economics (1572-9974) Springer-Verlag
2017 - Current Metrika (1435-926X) Springer-Verlag
2015 - Current Computational Statistics (1613-9658) Springer-Verlag
2015 - Current Computational Statistics & Data Analysis (0167-9473) Elsevier
2010 - Current Notas Económicas FEUC