Presentations

Efficient Monte Carlo algorithms for risk allocation

Research in Options (RiO), 2017, Rio de Janeiro, Brazil (slides) (video)

Realistic Risk Parity Portfolios

3rd International Workshop in Financial Econometrics, 2017, Arraial d'Ajuda, Bahia, Brazil (poster)

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

31st Brazilian Mathematical Colloquium, 2017, Rio de Janeiro, Brazil (slides)

UCT - Mid-Challenge Workshop in Financial Mathematics, 2017, Cape Town, South Africa (slides)

UFRJ - Statistical Methods Department Seminar, 2017, Rio de Janeiro, Brazil (slides)

IMPA - Mathematical Methods in Finance Seminar, 2017, Rio de Janeiro, Brazil (slides)

3rd Workshop on Assessment of Risk (WAR), 2016, Sao Paulo, Brazil (poster)

Research in Options (RiO), 2016, Rio de Janeiro, Brazil (slides) (video)

FGV - School of Applied Mathematics Seminar, 2016, Rio de Janeiro, Brazil (slides)

Cass Business School - Faculty of Actuarial Science and Insurance Seminar, 2016, London, United Kingdom (slides)

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Christmas Workshop on Sequential Monte Carlo and related methods, 2015, London, United Kingdom (slides)

Sequential Monte Carlo Workshop, 2015, Paris, France (poster)

Congress on Insurance: Mathematics and Economics, 2015, Liverpool, United Kingdom (slides)

UFRJ - Statistical Methods Department Seminar, 2015, Rio de Janeiro, Brazil (slides)

UNSW - Statistics and Probability Seminar, 2014, Sydney, Australia (slides)

Research Students Conference, 2014, Nottingham, United Kingdom (slides)

Monte Carlo and Quasi Monte Carlo, 2014, Leuven, Belgium (slides)

Optimal exercise strategies for operational risk insurance via multiple stopping times

UFRJ - Statistical Methods Department Seminar, 2013, Rio de Janeiro, RJ, Brazil (slides)

CFE-ERCIM, 2013, London, United Kingdom (slides)

Macquarie University - Statistics Department Seminar, 2013, Sydney, Australia (slides)

Hedging in Incomplete Markets using Fourier Series Method

Research In Options, 2009, Buzios, RJ, Brazil. With Saporito, Y., Merkle, M. (slides)

Applications of the Fractional Brownian Motion in Finance

XIII Brazilian School of Probability, 2009, Maresias, SP, Brazil. (Poster) With Valle, G. (pdf)

Estimation of the Parameters of the Heston Model by Fourier Series Method

13a Escola de Series Temporais e Econometria, 2009, Sao Carlos, SP, Brazil. With Saporito, Y., Merkle, M.

Calibration of the Heston model by Fourier series method

Fourth Brazilian Conference on Statistical Modelling in Insurance and Finance, 2009, Maresias, SP, Brazil. With Saporito, Y., Merkle, M. (pdf)

Bayesian selection for Heston models with volatilities determined by Fourier series method

Research In Options, 2008, Angra dos Reis, RJ, Brazil. With Saporito, Y., Merkle, M. (poster)

Soccer Plays Prediction Using Bayesian Dynamic Models (In Portuguese)

XXIX Jornada de Iniciacao Cientifica UFRJ, 2007, Rio de Janeiro, RJ, Brazil