Short bio
António Alberto Ferreira Santos obtained a degree in Economics from the Faculty of Economics at the University of Coimbra in 1992, and a Ph.D. in Statistics by the University of Warwick, UK, in 2002. He is currently Assistant Professor at the Faculty of Economics, University of Coimbra (FEUC). He is also a researcher at CeBER R&D centers (University of Coimbra).
Working Papers
Projects
FCT
, PTDC/MAT-APL/1286/2021.
, 2021-2024
PTDC/MAT-APL/1286/2021
, 2021-2024
Publications
(2022)
Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems. Journal of Futures Markets, 42, 152-171.
Authors
(2020)
Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints. Review of Derivatives Research, 23, 41-61.
Authors
(2019)
Large scale nonparametric estimation of risk-neutral densities through jointly use of constraints based on call and put option prices. In: Arregui, Iñigo, García, José A., Vázquez, Carlos (Ed.), Proceedings of the 3rd International Conference on Computational Finance 2019 (ICCF2019). Universidade da Coruña, Servizo de Publicacións.
Authors
Editors
(2017)
Intraday financial volatility evolution through stochastic volatility models including volume, durations and jumps. Proceedings 2nd International Conference on Computational Finance.
Authors
(2017)
Intraday Financial Volatility Evolution Using Volume-Domain Returns and Stochastic Volatility Models. Proceedings 3rd International Workshop on Financial Markets and Nonlinear Dynamics (FMND).
Authors
(2017)
Non-Linear State-Space Models for Estimating and Forecasting Financial Volatility Evolution: Disentangling Some Knots.. Proceedings 25th Symposium of the Society of Nonlinear Dynamics and Econometrics.
Authors
(2017)
Extracting risk neutral densities from options prices: A comparison between hypergeometric density functionals and kernel density estimation. Proceedings 2nd International Conference on Computational Finance.
Authors
(2016)
Intraday Data vs Daily Data to Forecast Volatility in Financial Markets. Time Series Analysis and Forecasting, (pp 147-159). Springer International Publishing.
Authors
(2015)
Intraday data vs daily data to forecast volatility in financial markets. International Work-Conference on TIme SEries Analysis (ITISE 2015).
Authors
(2015)
Portfolio choice: robust approaches. SCF2015 Stochastics & Computational Finance 2015 – From Academia to Industry.
Authors
(2015)
From stochastic volatility to realized volatility: measures comparison. SCF2015 Stochastics & Computational Finance 2015 – From Academia to Industry.
Authors
Contacts
Address
Faculdade de Economia
Universidade de Coimbra
Av. Dias da Silva, 165
3004-512
Portugal
Call
Phone
+351 239 790 526
Extension
500226
Web and Email
Email
aasantos@fe.uc.pt