Quantitative Finance / Insurance
Álvaro Veiga, and collaborators
Development and application of non-parametric option-pricing methods based on risk-neutral distribution. Read More →
Machine Learning / High Dimensional Statistics / Multivariate Analysis
Álvaro Veiga and collaborators
Exploiting low-rank structure in semi-definite programming to obtain an approximation of a data matrix by the product of a low rank matrix and a sparse matrix. Read More →
Data Science, Machine Learning, Statistics, Time Series
Time series models with time varying coefficients: applications in Energy, Meteorology, Cyber Security, Insurance and Retail.
Cristiano Fernandes and Collaborators
We use the recently proposed class of time series models with time varying coefficients named dynamic score models to address relevant practical problems in Energy Read More →
Econometrics, Energy, Insurance, Retail, Time Series