Gustavo Freire

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Assistant Professor

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

http://https://www.eur.nl/people/gustavo-freire

Tinbergen Institute

Research Fellow

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

http://https://tinbergen.nl/person/2029/gustavo-freire

Erasmus Research Institute of Management (ERIM)

Member

P.O. Box 1738

3000 DR Rotterdam

Netherlands

http://https://www.erim.eur.nl/people/gustavo-freire/

SCHOLARLY PAPERS

11

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5,104

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Top 43,123

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20

CROSSREF CITATIONS

1

Scholarly Papers (11)

1.

Can a Machine Correct Option Pricing Models?

Almeida, Fan, Freire, Tang (2022)
Number of pages: 35 Posted: 04 May 2021 Last Revised: 28 Dec 2022
Princeton University, Princeton University - Bendheim Center for Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Princeton University - Department of Political Science
Downloads 1,462 (24,899)
Citation 2

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Deep Learning, Boosting, Implied Volatility, Stochastic Volatility, Model Correction

2.

High-Frequency Tail Risk Premium and Stock Return Predictability

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 57 Posted: 31 Jul 2018 Last Revised: 27 Jul 2023
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Université de Montréal and HEC Montréal
Downloads 699 (70,074)

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Tail Risk, Risk-Neutral Measure, Expected Shortfall, Intra-day Market Returns, Return Predictability

3.

0DTE Asset Pricing

Number of pages: 53 Posted: 13 Feb 2024
Caio Almeida, Gustavo Freire and Rodrigo Hizmeri
Princeton University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Liverpool - Management School (ULMS)
Downloads 502 (106,245)

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zero days-to-expiration (0DTE) options, equity premium, variance risk premium, pricing kernel, option returns

4.

Tail Risk and Asset Prices in the Short-term

Number of pages: 51 Posted: 23 Sep 2022 Last Revised: 02 Dec 2023
Princeton University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Université de Montréal and University of Liverpool - Management School (ULMS)
Downloads 484 (110,999)
Citation 1

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Left tail risk, return predictability, factor models, risk-neutralization, high-frequency data

5.

Pricing of Index Options in Incomplete Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 22 Mar 2021 Last Revised: 10 Jun 2021
Caio Almeida and Gustavo Freire
Princeton University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 479 (112,130)

Abstract:

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6.

Which (Nonlinear) Factor Models?

Number of pages: 60 Posted: 25 Apr 2023 Last Revised: 27 Nov 2023
Caio Almeida and Gustavo Freire
Princeton University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 384 (144,926)

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Model Comparison, Factor Models, Anomalies, Stochastic Discount Factor, Nonlinearities

7.

Nonparametric Option Pricing with Generalized Entropic Estimators

Number of pages: 35 Posted: 10 Dec 2014 Last Revised: 02 May 2022
Caio Almeida, Gustavo Freire, Rafael Azevedo and Kym Ardison
Princeton University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Getulio Vargas Foundation (FGV) and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Downloads 339 (166,059)
Citation 1

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Risk-Neutral Measure, Option Pricing, Risk Premium, Nonparametric Estimation, Stochastic Volatility, Jumps, Cressie-Read Discrepancies

8.

Equity Option Prices and Firm Characteristics

Number of pages: 46 Posted: 31 Jan 2023 Last Revised: 21 Mar 2024
Gustavo Freire and Onno Kleen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 317 (178,375)

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Equity options, firm characteristics, implied volatility, random forest, machine learning

9.

Demand in the Option Market and the Pricing Kernel

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 64 Posted: 30 Dec 2022
Caio Almeida and Gustavo Freire
Princeton University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 300 (189,097)

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Pricing Kernel, Option Returns, Option Demand, Market Makers, Risk Premium

10.

Asymmetric Violations of the Spanning Hypothesis

Number of pages: 57 Posted: 17 Jan 2024
Gustavo Freire and Raul Riva
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Northwestern University, Kellogg School of Management
Downloads 91 (520,263)
Citation 1

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Bond risk premia, yield curve, spanning hypothesis, Nelson-Siegel factors, machine learning

11.

Tail Risk and Investors' Concerns: Evidence from Brazil

North_American Journal of Economics and Finance, Forthcoming
Number of pages: 38 Posted: 02 Aug 2021
Gustavo Freire
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 47 (733,276)

Abstract:

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Tail Risk, Risk-Neutral Measure, Return Predictability, Machine Learning, Text-based Analysis