Dr Fabio S Dias
Biography
Fabio S Dias is a Lecturer of Finance and Econometrics at the University of Surrey, Guildford (UK). Prior to this role he worked as a Senior Manager for the Analytics & Modelling Team of Lloyds Banking Group and as a Vice President for the Front Office Technology at Credit Suisse. Currently his main research focus is the use of quantum information science to enhance financial stress testing and pricing of derivatives.
Education:
BSc Computer Science, Universidade de Sao Paulo;
MSc Statistics, Universidade de Sao Paulo;
PhD Econometrics and Statistical Science, University College London.
My publications
Additional publications
Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence; FS Dias, GW Peters; Applied Mathematics and Computation 411, 2021
Using conditional asymmetry to predict commodity futures prices; FS Dias; International Journal of Financial Markets and Derivatives 8 (2), 185-203, 2021
A Non-parametric Test and Predictive Model for Signed Path Dependence; FS Dias, GW Peters; Computational Economics 56 (2), 461-498, 2020
An equity-credit hybrid model for asset correlations; FS Dias; International Journal of Financial Engineering and Risk Management 3 (3), 223-239, 2020