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.
BSc Computer Science, Universidade de Sao Paulo;
MSc Statistics, Universidade de Sao Paulo;
PhD Econometrics and Statistical Science, University College London.
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