Research projects



Present:


Past:
  • FCT-Fundação para a Ciência e a Tecnologia
    1. Optimal reinsurance strategies
      (16 Oct 2007 - 16 Oct 2010). PI: M.L. Centeno. 42,000
    2. Randomness in deterministic dynamical systems and applications
      (1 Jan 2010 - 31 Jul 2013). PI: J. Lopes Dias. 105,911
    3. Statistical analysis of computer models
      (1 Jan 2010 - 15 Jul 2013). PI: R. Paulo. 18,600
    4. Evaluation of dividend barrier variables in the actuarial dual risk model
      (1 Feb 2010 - 31 Jul 2013). PI: A.D. Egídio dos Reis. 21,510
    5. Solving vehicle routing problems by using meta-heuristics
      (15 Mar 2010 - 14 Sep 2013). PI: J. Brandão. 51,331
    6. Pricing and behavioural responses in the water sector.
      (1 Sep 2010 - 31 Aug 2013). PI: J. Murteira. 63,258
    7. Stochastic Analysis and Numerical Approximations in Mathematical Finance - SANAF
      (9 Jun 2011 - 31 Dec 2014).
    8. Theoretical developments in the regression analysis of fractional data and its applications to Finance
      (1 Jan 2012 - 31 Dec 2014).
    9. Incumprimento de crédito bancário e as consequências para o financiamento das empresas
      (1 Oct 2012 - 30 Jul 2015). PI: D.A. Dias. 15,000
    10. Analysis of Nonlinear Partial Differential Equations in Mathematical Finance
      (1 Jan 2013 - 31 Dec 2014). PI: M.R. Grossinho. 4,000
    11. Ruin probabilities and dividend problems in the primal and dual risk models
      (1 Oct 2014 - 30 Sep 2015). PI: A.D. Egídio dos Reis. 12,000
    12. New trends in Lyapunov exponents
      (1 Sep 2018 - 30 Jun 2022).
    13. Sustainable Management of Fisheries with Stochastic Differential Equations
      (1 Jan 2022 - 30 Jun 2023). PI: N.M. Brites. 31,765
    14. Optimal-Re: Optimal reinsurance with dependencies
      (1 Jan 2022 - 30 Jun 2023). PI: A. Moura. 49
  • European Commission - 7th Framework Programme - Marie Curie Initial Training Networks
    1. Multi-ITN STRIKE - Novel Methods in Computational Finance (Portuguese team of a Consortium of 11European universities)
      (1 Jan 2013 - 31 Dec 2016). PI: M.R. Grossinho. 200,000
  • Fundación MAPFRE
    1. Estimating the effects of technology advancement on pricing automobile insurance
      (1 Oct 2017 - 31 Mar 2018). PI: A.D. Egídio dos Reis. 15,000
    2. Affine Processes for Insurance Products linked to Financial Markets (2020-2021)
      (31 Jul 2020 - 31 Jul 2021). PI: R.M. Gaspar. 15,000
  • Comissão para a Cidadania e Igualdade de Género - EEA Grants
    1. Os benefícios sociais e económicos da igualdade salarial entre mulheres e homens
      (15 Sep 2020 - 15 Mar 2022).



2024
  1. A measure of child exposure to household material deprivation, Year IV
  2. A Tail Index Estimation Approach Using a Novel Least-Squares Framework
  3. Child Labor determinants and outcomes in Europe: a historical, comparative and empirical approach (cont.)
  4. Child Poverty - measurement issues
  5. Classification and clustering of time series with data-driven fragmented statistics
  6. Desenho de rotas de inspeção de linhas elétricas: Parte 1
  7. Design risk and Structured Products
  8. Dispersive PDEs
  9. Endogenous switching of expectations and the impact of policy changes - continuation
  10. Fractional responses with spatial dependence
  11. Heuristicas para problemas multiobjetivo
  12. Lyapunov exponents of randomly perturbed billiards II
  13. Machine learning applications in economics
  14. Mecanismos de emergência de caos (e sua caracterização)
  15. Micro and Spatial econometrics Modelling in economics and management (continuation)
  16. Microeconometric models for limited or discrete dependent variables
  17. On Generalizations of Sprague-Grundy Theory
  18. Optimal reinsurance with dependencies
  19. Pareto front estimation for DRO models
  20. Portfolio Management & Investor Profiling
  21. Portfolio Management & Investor Profiling ii
  22. PRISEMA - Pricing of Financial Instruments in Emission Markets
  23. Revisiting a Cornuéjols-Nemhauser-Wolsey formulation for the p-median problem
  24. Rough Volatility Models
  25. Ruin, cyber risk, pricing, pension and ALM problems in risk modelling, for application in insurance, pensions and finance. Continuation.
  26. Scheduling of Medical Appointments for Outpatients
  27. Screening computer models
  28. Statistical Modelling in Higher Education Research: Prior achievement and degree completion on time
  29. Structural changes in the variance of time series (cont.)
  30. Sustainable harvesting: a real options approach
  31. The occurrence of Switching on Polymatrix Replicators
  32. Title: How did Covid 19 Pandemic affect Students’ school learning in the transition from Upper Secondary to Higher Education
  33. Topics in Mode regression and the bootstrap - 2024
  34. Treatment Effects with Spatial Data
  35. Two-index formulations
2023
  1. A measure of child exposure to household material deprivation in the European Union
  2. A multidimensional approach to the analysis of poverty and social exclusion among children (3)
  3. Aneyrism tool: model updating, uncertainty quantification and validation
  4. A Nonlinear Spatial Lag Model for Fractional Responses (continuation)
  5. A note on numbers: the ruleset PUSH
  6. Arc routing with additional constraints from real world applications
  7. Child Labor determinants and outcomes in Europe: a historical, comparative and empirical approach (cont.)
  8. Credit Risk
  9. Design risk and Auto-calls
  10. Detecting statistical regularities at International Large Scale Assessment education studies (continuation)
  11. Dispersive PDEs
  12. Distributionally Robust Optimization for the QCSP
  13. Endogenous switching of expectations
  14. Estimation and Inference in Panel Models With Attrition and Refreshment
  15. Fractional responses with spatial dependence
  16. Fragmented-periodogram and fragmented-autocorrelation approaches for clustering big data time series
  17. How did Covid 19 Pandemic affect Students’ school achievement and expectations in the transition from Upper Secondary to Higher Education
  18. Investors’ risk tolerance
  19. Lyapunov exponents of randomly perturbed billiards
  20. Machine learning methods in financial economics
  21. Micro and Spatial econometrics Modelling in economics and management (continuation)
  22. Microeconometric models for limited dependent variables
  23. Nonlinear effects
  24. Nonparametric estimation of first passage time probabilities
  25. On stability of a cyclic economic behavior
  26. Optimal reinsurance with dependencies and applications
  27. Optimization, functional analysis, and applications
  28. Pricing of Financial Instruments in Emission Markets - PRISEMA
  29. Rough volatility models - numerical methods and stochastic change of measures
  30. Ruin, cyber risk, pricing, pension and ALM problems in risk modelling, for application in insurance, pensions and finance.
  31. SDEFish (II)
  32. Statistical Modelling in Higher Education Research
  33. Stock Market Forecasting Accuracy of Asymmetric GARCH Models during the COVID-19 Pandemic
  34. Structural changes in the variance of time series
  35. The Capacitated Family Traveling Salesman Problem
  36. The occurrence of Switching on Polymatrix Replicators
  37. Topics in Mode regression and the bootstrap -2023
2022
  1. Almost linearization of irrational toroidal flows
  2. A measure of child exposure to household material deprivation in the European Union
  3. A multidimensional approach to the analysis of poverty and social exclusion among children
  4. Aneyrism tool: model updating, uncertainty quantification and validation
  5. A Nonlinear Spatial Lag Model for Fractional Responses
  6. Applications of algebro-geometric techniques to the study of market design problems
  7. Arc routing with additional constraints from real world applications
  8. Berth allocation under uncertainty
  9. Child Labor determinants and outcomes in Europe: a historical, comparative and empirical approach (cont.)
  10. Classification and clustering of big data time series with spectral measures (continuation for year 2022)
  11. Conditional Expected time - Estimation and Inference
  12. Credit Risk: implementing Basel regulations in developing countries
  13. Cyclic games
  14. Detecting statistical regularities at International Large Scale Assessment education studies (continuation)
  15. Dispersive PDEs
  16. Dynamics of Polymatrix Replicators
  17. Fractional Response models under Response Based Sampling
  18. Fractional responses with spatial dependence
  19. How did economic cycle affect students expectations about transition from Upper Secondary to Higher Education [Prior note: this project is the same submitted last year because due to the pandemic it was not possible to collect the data last year]
  20. Inflation in the G7 and the expected time to reach the reference rate: further details
  21. Machine learning methods in financial economics
  22. Micro and Spatial econometrics Modelling in economics and management
  23. Nonlinear problems for option pricing - classical and new insights
  24. Optimal reinsurance with dependencies
  25. Optimal Stopping, stochastic control, and big data
  26. Optimization, functional analysis, and applications
  27. Pricing automobile insurance and the effects of technology advancement estimation
  28. Pricing of Financial Instruments in Emission Markets
  29. Profiling of Portuguese Investors: finance literacy and risk tolerance
  30. Residential property prices and energy efficiency in Portugal before and after the crisis (continuing the project of the last year)
  31. Rough volatility models - numerical methods and stochastic change of measures
  32. Ruin, cyber risk, pension and ALM problems in risk modelling, for application in insurance, pensions and finance
  33. Screening and Confounding
  34. SDEFish
  35. Stability of the solutions of the Solow growth model with time dependent labor growth
  36. Statistical Modelling in Higher Education Research
  37. The Impact of COVID 19 on student's performance. The Case of ISEG- Ulisbon”
  38. Topics in Mode regression and the bootstrap -2022
  39. Value-at-Risk and Expected Shortfall with cryptocurrency portfolios part III
  40. Variants of the Family Traveling Salesman Problem
2021
  1. A measure of child exposure to household material deprivation in the European Union
  2. A multidimensional approach to the analysis of poverty and social exclusion among children
  3. Applications with Microeconometric models for panel data (continuation)
  4. Child Labor determinants and outcomes in Europe: a historical, comparative and empirical approach
  5. Classification and clustering of big data time series with spectral measures (continuation for year 2021)
  6. Detecting statistical regularities at International Large Scale Assessment education studies
  7. Dispersive PDEs
  8. Dynamics on polytopes and polymatrix replicators
  9. Explainable machine learning models in financial economics
  10. Financial innovation in Developing countries: microfinance and regulation (2021)
  11. For an Efficient Quantification of Model Discrepancy in Non-linear Highly Parametrised State-Space Models using Deep Learning Techniques
  12. Forecasting Under Real Estate Bubbles part II
  13. General method to identify numbers in CGT
  14. Generic conservative systems with positive topological entropy
  15. Household waste collection: routing and data collection
  16. How did economic cycle affect students expectations about transition from Upper Secondary to Higher Education
  17. Impact of incentives and regulations on sustainable investment
  18. Investor profiling: from questionnaires to risk tolerance functions (2021)
  19. Lévy processes and fractional processes: Financial models and Option pricing
  20. Nonlinear Models on Computational Finance
  21. Optimal Reinsurance of Dependent Risks with Applications
  22. Optimization, functional analysis, and applications
  23. Optimization under uncertainty
  24. Piecewise Linear Dynamics meets Economics and Biology
  25. Pricing automobile insurance and the effects of technology advancement estimation (continuation)
  26. Residential Property Prices and Energy Efficiency: a microeconometric approach based on hedonic models (continuing the project of the last year)
  27. Ruin, dividend, cyber risk and ALM problems in the primal and dual risk models, for application in actuarial science, pensions and finance. Continuation.
  28. Statistical Modelling in Higher Education Research
  29. Sustainable Management of Fisheries with Stochastic Differential Equations: Optimisation, Estimation and Prediction (II)
  30. Tail index regression model and Time Series Analysis
  31. “The Impact of COVID 19 on Teaching and Learning. The Case of ISEG- Ulisbon”
  32. “The Impact of COVID 19 on Teaching and Learning. The Case of ISEG- Ulisbon”
  33. Topics in Mode regression and the bootstrap
  34. Value-at-Risk and Expected Shortfall with cryptocurrency portfolios part II
  35. Variable selection for simulators
  36. Varying Coefficient Spatial Econometric Models (continuation)
2020
  1. A multidimensional approach to the analysis of poverty and social exclusion among children
  2. Application of self-normalization approaches for statistical testing in panel data (3rd year)
  3. Applications with Microeconometric models for panel data
  4. Assessment of higher education quality in Mozambique based on student perception
  5. Bayesian model selection and point null hypotheses
  6. Child and Adolescent Well-being index - Year 2
  7. Classification and clustering of big data time series with spectral measures (continuation for year 2020)
  8. Combinatorial Game Theory: Simplicity rule of order n
  9. Detecting statistical regularities at International Large Scale Assessment education studies
  10. Dispersive PDEs
  11. Dynamics on polytopes and polymatrix replicators
  12. Forecasting Under Real Estate Bubbles
  13. FRACTAL FRActional models and ComputaTionAL finance - Modelos fracionários e finanças computacionais
  14. From Ruin Theory to Credit Risk (continuation)
  15. Hamiltonian dynamics: new developments beyond integrability III
  16. How did economic cycle affect Students expectations about transition from Upper Secondary to Higher Education.
  17. Identification of (nonlinear) models under Response Based Sampling
  18. Impact of incentives and regulations on the investment in renewable energies
  19. Interpretable models of loss given default
  20. Lévy processes, fractional differential equations and fractional processes: Financial models and Option pricing
  21. Modeling routing with network flows in waste collection problems
  22. Optimal Reinsurance of Dependent Risks
  23. Optimization, functional analysis, and applications
  24. Piecewise Linear Dynamics meets Economics and Biology
  25. Pricing automobile insurance and the effects of technology advancement estimation (continuation)
  26. Residential Property Prices and Energy Efficiency: a microeconometric approach based on hedonic models
  27. Robo Advising: investor profiling and performance evaluation
  28. Ruin and dividend problems in the primal and dual risk models, for application in actuarial science and finance (Continuation)
  29. Screening
  30. Stability of the solutions of the Solow growth model with time delays
  31. Statistical Modelling in Higher Education Research
  32. Sustainable Management of Fisheries with Stochastic Differential Equations: Optimisation, Estimation and Prediction
  33. Tail index regression model and Quantile Order Regression
  34. Uncertainty Quantification Using a Discrepancy Term with a Gaussian Process Prior: An Example from Macroeconomics
  35. Value-at-Risk and Expected Shortfall with cryptocurrency portfolios
  36. Varying Coefficient Spatial Econometric Models
2019
  1. A multidimensional approach to the analysis of poverty and social exclusion among children
  2. Application of self-normalization approaches for statistical testing in panel data (2nd year)
  3. Assessment of Higher Education Quality in Mozambique based on Student Perceptions
  4. Bayesian digit analysis
  5. Billiards in polytopes
  6. Child and adolescent well-being index
  7. Classification and clustering of big data time series with spectral measures
  8. Combinatorial Game Theory: Disjunctive Short Sum
  9. Design risk and Investor profiling (2019)
  10. Dispersive PDEs
  11. Dynamics on polytopes and polymatrix replicators
  12. Essays in Spatial Econometrics
  13. Forecasting Under Real Estate Bubbles
  14. FRACTAL FRActional models and ComputaTionAL finance - Modelos fracionários e finanças computacionais
  15. From Ruin Theory to Credit Risk
  16. Generic properties of $C^2$ Hamiltonians IV
  17. Hamiltonian dynamics: new developments beyond integrability II
  18. Lévy processes and fractional differential equations: Financial models and Option pricing
  19. Microeconometric models for limited dependent variables with applications (continuing the former project)
  20. Modeling routing with network flows in waste collection problems
  21. Nonlinear panel data models with unobserved individual heterogeneity
  22. Optimal Reinsurance of Dependent Risks
  23. Optimization, differential equations, and applications
  24. Piecewise Linear Dynamics meets Economics and Biology II
  25. Pricing automobile insurance and the effects of technology advancement estimation (continuation)
  26. Public transport demand in times of austerity : Evidence for Lisbon's metro system
  27. Ruin and dividend problems in the primal and dual risk models, for application in actuarial science and nance. Continuation.
  28. Statistical modelling in Education Research: Multilevel models applied to large and complex data - year four
  29. Tail index regression model and Quantile Order Regression
  30. Thermodynamic formalism of random dynamical systems
  31. Uncertainty Quantification in State-Space Models using a Discrepancy Term
  32. Variable selection for computer models
2018
  1. A multidimensional approach to the analysis of poverty and social exclusion among children
  2. Application of self-normalization approaches for statistical testing in panel data
  3. Assessment of Higher Education Quality in Mozambique based on Student Perceptions
  4. Bayesian ANOVA
  5. Control theory, optimization, and applications
  6. Development of metaheuristics for two variants of the vehicle routing problem.
  7. Dispersive Equations and Systems
  8. Dynamics on polytopes and polymatrix replicators
  9. ESSAYS IN CORPORATE INVESTMENT WITH PANEL DATA
  10. Essays in Spatial Econometrics
  11. Essays on Microeconometrics Analysis of Child Poverty
  12. Estimating partial effects for nonlinear dynamic panel data models with unobserved individual heterogeneity
  13. Estimation of Panel data Models in the Presence of Nonignorable Attrition
  14. Evaluation of the firm-level VaR and ES forecasting performance of parametric volatility time series models
  15. From Ruin Theory to Credit Risk
  16. Generic properties of $C^2$ Hamiltonians III
  17. Hamiltonian dynamics: new developments beyond integrability
  18. Mathematical and numerical modelling in medicine and biology
  19. Microeconometric models for limited dependent variables with applications
  20. Modeling routing with network flows in waste collection problems
  21. More on Risk Dependencies
  22. Option pricing in Lévy models with transaction costs
  23. Parabolic dynamics of weak resonances in area-preserving maps II
  24. Periodic patterns of bidimensional subtraction games
  25. Piecewise Linear Dynamics meets Economics and Biology
  26. Pricing automobile insurance and the effects of technology advancement estimation
  27. Public transport demand in times of austerity : Evidence for Lisbon's metro system
  28. Redesigning a non-profit supply chain network in a triple bottom context
  29. Regression-Based Tail Index Estimator
  30. Reinsurance of dependent risks
  31. Ruin and dividend problems in the primal and dual risk models, for application in actuarial science and finance. Continuation.
  32. Solow growth model with time delays labor growth
  33. Statistical modelling in Education: multilevel models applied to large and complex data - year three
  34. STUDENTS GRADE RETENTION -- A MULTILEVEL MODELLING APPROACH
2017
  1. Analysis of school failure through multilevel models
  2. Application of bivariate discrete distributions to actuarial modelling
  3. Application of nonlinear regression models to Markov Chain estimation
  4. A simple nonparametric method to estimate the expected time to cross a threshold - The continuous time case
  5. Assessment of Higher Education Quality in Mozambique based on Student Perceptions
  6. Bayesian ANOVA
  7. Children and dynamics of poverty and social exclusion
  8. Control of evolution equations and Markov processes
  9. Development of an algorithm for vehicle routing problem with backhauls and soft time windows
  10. Developments in ruin theory, the primal and dual risk models, ruin probabilities and dividend strategies for application in actuarial science and finance. Continuation.
  11. Double unit roots and structural breaks
  12. Dynamics on polytopes and polymatrix replicators
  13. Essays in Spatial Econometrics
  14. Essays on Microeconometrics Analysis of Child Poverty
  15. Estimating partial effects for nonlinear dynamic panel data models with unobserved individual heterogeneity
  16. Estimating the effects of technology advancement on pricing automobile insurance
  17. Evaluation of the firm-level VaR and ES forecasting performance of parametric volatility time series models
  18. Generic properties of $C^2$ Hamiltonians II
  19. Habitats of sets of combinatorial game values
  20. Mathematical and numerical modelling in medicine and biology
  21. Modeling routing with network flows in waste collection problems
  22. Modelling short term memory effects in financial derivatives
  23. Option pricing in Lévy models and integro-differential equations
  24. Parabolic dynamics of weak resonances in area-preserving maps
  25. Periodic versus oscillating solutions in Solow growth model
  26. Regression-Based Tail Index Estimator
  27. Reinsurance of dependent risks
  28. Semiparametric estimation in sample selection models for quarterly data
  29. SRB measures for piecewise diffeomorphisms
  30. Statistical modelling in Education: multilevel models applied to large and complex data - year two
  31. Stochastic and computational finance
  32. Stochastic optimization and decisions under uncertainty
  33. The impact of bonus-malus systems in finite and continuous time ruin probabilities in motor insurance for large portfolios. The open model.
  34. The National Network for Long-term Integrated Care in Portugal
  35. The weekend effect in Acute Myocardial Infarction
2016
  1. A multidimensional approach to the dynamics of child poverty
  2. Application of bivariate discrete distributions to actuarial modelling
  3. Application of nonlinear regression models to Markov Chain estimation
  4. Assessment of Higher Education Quality in Mozambique based on Student Perceptions
  5. Bayesian testing in Analysis of Covariance models
  6. Bayesian Validation of Behavioural Parameters in Economic Models
  7. Bone Geometry, Physical Activity and Bone Mass at Fracture-Critical Bone Regions of Proximal Femur
  8. Control of evolution equations and Markov processes
  9. Development of an algorithm for the open vehicle routing problem with time windows.
  10. Developments in ruin theory, the primal and dual risk models, ruin probabilities and dividend strategies for application in actuarial science and finance
  11. Dissipative outer billiards on polygons
  12. Dynamic Models for Extreme Events
  13. Essays in Spatial Econometrics
  14. Essays on Microeconometrics Analysis of Child Poverty
  15. Generic properties of $C^2$ Hamiltonians
  16. Geometric renormalization of area-preserving twist maps
  17. Gevrey renormalization of vector fields on the torus
  18. Implications of poverty and social exclusion on students grade retention $-$ a multilevel modelling approach.
  19. Mathematical and numerical modelling in medicine and biology
  20. Modeling routing with network flows in waste collection problems
  21. Modelling short term memory effects in financial derivatives
  22. MTD-Probit Model
  23. Option pricing in Lévy models and integro-differential equations
  24. Persistence of homoclinic tangencies near saddle-centre bifurcations
  25. Regression-Based Tail Index Estimator
  26. Semiparametric estimation in sample selection models for quarterly data
  27. Splitting of separatrices near resonant elliptic fixed points of area preserving maps
  28. Statistical analysis of wind farms
  29. Statistical modelling in Education: multilevel models applied to large and complex data
  30. Stochastic and computational finance
  31. Stochastic optimization and decisions under uncertainty
  32. Strategic decisions on a Food Banks' supply chain
  33. Students Attitudes, Learning, Achievement in Quantitative curricular units: The case of ISEG- ULisbon
  34. Testing for Breaks in the Tails
  35. The impact of bonus-malus systems in finite and continuous time ruin probabilities in motor insurance for large portfolios.
  36. The National Network for Long-term Integrated Care in Portugal
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