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Short bio

Ana Margarida Monteiro obtained a degree in Mathematics from the School of Science and Technology at the University of Coimbra in 1991, a Ph.D. in Management by the University of Coimbra in 2008. She is currently Assistant Professor at the Faculty of Economics, University of Coimbra (FEUC). She is also a researcher at CeBER R&D centers (University of Coimbra). His publications include articles in peer-reviewed international journals internacionais (Computational Management Science, European Journal of Operational Research, Physica A).

Projects

Nonlinear Optimization - Research grant POCTI/35059/MAT/2000 funded by FCT

Computational Mathematical Finance - Research grant PTDC/MAT/64838/2006 funded by FCT. May 2007 - April 2010


    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
    (2016) Size distribution of Portuguese firms between 2006 and 2012. Physica A: Statistical Mechanics and its Applications, 458, 342-355.
    Authors
    (2015) Firm Size Distribution and Economic Conjuncture: The Portuguese case between 2006 and 2012. SCF2015 Stochastics & Computational Finance 2015 – From Academia to Industry.
    Authors
    (2015) Portfolio choice: robust approaches. 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
    ammm@fe.uc.pt