António Alberto Ferreira dos Santos
AuthID: R-000-1WN
1
TITLE: Parallel computing in finance for estimating risk-neutral densities through option prices Full Text
AUTHORS: Monteiro, Ana M.; Santos, Antonio A. F.;
PUBLISHED: 2023, SOURCE: JOURNAL OF PARALLEL AND DISTRIBUTED COMPUTING, VOLUME: 173
AUTHORS: Monteiro, Ana M.; Santos, Antonio A. F.;
PUBLISHED: 2023, SOURCE: JOURNAL OF PARALLEL AND DISTRIBUTED COMPUTING, VOLUME: 173
INDEXED IN: 
Scopus 
WOS
Scopus WOS2
TITLE: Option prices for risk-neutral density estimation using nonparametric methods through big data and large-scale problems Full Text
AUTHORS: Monteiro, AM; Santos, AAF;
PUBLISHED: 2021, SOURCE: JOURNAL OF FUTURES MARKETS
AUTHORS: Monteiro, AM; Santos, AAF;
PUBLISHED: 2021, SOURCE: JOURNAL OF FUTURES MARKETS
INDEXED IN: Scopus WOS
Scopus WOS3
TITLE: Big-data for high-frequency volatility analysis with time-deformed observations
AUTHORS: António F Santos;
PUBLISHED: 2021, SOURCE: Mathematical and Statistical Methods for Actuarial Sciences and Finance: eMAF2020
AUTHORS: António F Santos;
PUBLISHED: 2021, SOURCE: Mathematical and Statistical Methods for Actuarial Sciences and Finance: eMAF2020
INDEXED IN: Scopus
Scopus4
TITLE: Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework Full Text
AUTHORS: Antonio A F Santos;
PUBLISHED: 2019, SOURCE: COMPUTATIONAL ECONOMICS
AUTHORS: Antonio A F Santos;
PUBLISHED: 2019, SOURCE: COMPUTATIONAL ECONOMICS
INDEXED IN: Scopus WOS
Scopus WOS5
TITLE: Second-order filter distribution approximations for financial time series with extreme outliers
AUTHORS: Smith, JQ; Santos, AAF;
PUBLISHED: 2006, SOURCE: JOURNAL OF BUSINESS & ECONOMIC STATISTICS, VOLUME: 24, ISSUE: 3
AUTHORS: Smith, JQ; Santos, AAF;
PUBLISHED: 2006, SOURCE: JOURNAL OF BUSINESS & ECONOMIC STATISTICS, VOLUME: 24, ISSUE: 3
