Teaching & Supervision

I regularly supervise bachelor's and master's students. Examples of projects I supervised are:

• Using deep learning algorithms for: predicting the equity risk premium; pricing vanilla and exotic options; predicting volatility; sentiment analysis.

• State space modeling of time series data.

• Comparing the (point, density and tail risk) predictive performances of models with time-varying parameters.

• Empirical asset pricing projects with a focus on the role of ESG ratings and metrics.