António Santos

(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.

(2020) Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints. Review of Derivatives Research, 23, 41-61.

(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.

(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.

(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.

(2017) Intraday Financial Volatility Evolution Using Volume-Domain Returns and Stochastic Volatility Models. Proceedings 3rd International Workshop on Financial Markets and Nonlinear Dynamics (FMND).

(2017) Intraday financial volatility evolution through stochastic volatility models including volume, durations and jumps. Proceedings 2nd International Conference on Computational Finance.

(2016) Intraday Data vs Daily Data to Forecast Volatility in Financial Markets. Time Series Analysis and Forecasting, (pp 147-159). Springer International Publishing.

(2015) Intraday data vs daily data to forecast volatility in financial markets. International Work-Conference on TIme SEries Analysis (ITISE 2015).

(2015) From stochastic volatility to realized volatility: measures comparison. SCF2015 Stochastics & Computational Finance 2015 – From Academia to Industry.

(2015) Portfolio choice: robust approaches. SCF2015 Stochastics & Computational Finance 2015 – From Academia to Industry.