Quantitative Finance / Insurance

Álvaro Veiga, and collaborators

Development and application of non-parametric option-pricing methods based on risk-neutral distribution.

• Development and application of non-parametric option-pricing methods based on risk-neutral distribution of return obtained by the empirical Esscher Transform. (with Manoel Pereira, Camila Epprecht, Renato Costa)
• Development and application of stochastic optimization methods for asset liability management in corporations and pension funds. (with Davi Michel Valladão, Thiago Barata, Geraldo Veiga, Alexandre Street)
• IBNR (Incurred but not report claims) reserve estimation via hierarchical models. (with Luciene Gomes)