Publications & Citations
Proceedings from scholarly meetings
| Year | Title / Publication | Link |
|---|---|---|
| 2024 | A Structural Credit Risk Model with Default Contagion Springer Nature Switzerland |
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| 2023 | Querying User Preferences in Automated Negotiation IEEE |
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Journal article
| Year | Title / Publication | Link |
|---|---|---|
| 2025 | Polynomial approximation of discounted moments Finance and Stochastics |
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| 2024 | Synchronous deautoconvolution algorithm for discrete-time positive signals via -divergence approximation JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS |
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| 2024 | Neural network empowered liquidity pricing in a two-price economy under conic finance settings Quantitative Finance |
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| 2024 | Proxying credit curves via Wasserstein distances Annals of Operations Research |
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| 2024 | A dimension reduction approach for loss valuation in credit risk modeling International Journal of Financial Engineering |
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| 2023 | Weak solutions to gamma-driven stochastic differential equations INDAGATIONES MATHEMATICAE |
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| 2023 | The Inverse Problem of Positive Autoconvolution IEEE TRANSACTIONS ON INFORMATION THEORY |
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| 2023 | Nonparametric Bayesian volatility learning under microstructure noise Japanese Journal of Statistics and Data Science |
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| 2022 | ACCOUNTING NOISE AND THE PRICING OF CoCos International Journal of Theoretical and Applied Finance |
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| 2022 | Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations Bernoulli |
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| 2022 | On capital allocation for a risk measure derived from ruin theory Insurance: Mathematics and Economics |
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| 2021 | A Kalman particle filter for online parameter estimation with applications to affine models STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES |
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| 2021 | FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS International Journal of Theoretical and Applied Finance |
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| 2020 | Asymptotics and Approximations of Ruin Probabilities for Multivariate Risk Processes in a Markovian Environment Methodology and Computing in Applied Probability |
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| 2020 | Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS |
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| 2020 | Regime switching affine processes with applications to finance Finance and Stochastics |
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| 2020 | DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS Probability on the Engineering and Informational Sciences |
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Teaching
2024/2025
| Semester | Course | Degree | Coordinator |
|---|---|---|---|
| 1º | Stochastic Finance in Continuous Time | Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Matemática Financeira - Mathematical Finance | Yes |