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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).

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.
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(2020) Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints. Review of Derivatives Research, 23, 41-61.
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(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.
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Editors
(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.
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(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.
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(2017) Intraday Financial Volatility Evolution Using Volume-Domain Returns and Stochastic Volatility Models. Proceedings 3rd International Workshop on Financial Markets and Nonlinear Dynamics (FMND).
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(2017) Intraday financial volatility evolution through stochastic volatility models including volume, durations and jumps. Proceedings 2nd International Conference on Computational Finance.
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(2016) Intraday Data vs Daily Data to Forecast Volatility in Financial Markets. Time Series Analysis and Forecasting, (pp 147-159). Springer International Publishing.
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(2015) Intraday data vs daily data to forecast volatility in financial markets. International Work-Conference on TIme SEries Analysis (ITISE 2015).
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(2015) From stochastic volatility to realized volatility: measures comparison. SCF2015 Stochastics & Computational Finance 2015 – From Academia to Industry.
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(2015) Portfolio choice: robust approaches. SCF2015 Stochastics & Computational Finance 2015 – From Academia to Industry.
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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