Gustavo Freire

Gustavo Freire serves as an Assistant Professor at the Econometric Institute within the Erasmus School of Economics at Erasmus University Rotterdam. He additionally holds significant research positions as a Research Fellow at the Tinbergen Institute and a Member at the Erasmus Research Institute of Management (ERIM), demonstrating his substantial contributions to Rotterdam's academic and research community.

Dr. Freire's research program centers on the intersection of financial theory and advanced analytical methods, with primary focus areas in asset pricing, option pricing, financial economics, financial econometrics, and the innovative application of machine learning techniques to financial problems. His recent work explores high-frequency tail risk premiums, zero days to expiry (0DTE) options, nonparametric pricing methods using entropic estimators, and the application of autoencoders to financial modeling. He has demonstrated particular interest in how machine learning can correct and enhance traditional option pricing models, bridging computational science with financial theory.

Dr. Freire actively participates in international academic discourse, having presented at the Society for Financial Econometrics (SoFiE) Conference in Seoul alongside researchers Lumsdaine and Tetereva. His publication record spans contemporary financial market analysis to historical economic patterns, as evidenced by his research on US industrial production from 1828-1915. This breadth demonstrates his capacity to integrate historical perspective with cutting-edge financial research.

• Current Position: Assistant Professor, Econometric Institute
• Additional Affiliations: Research Fellow (Tinbergen Institute), Member (ERIM)
• Contact: freire@ese.eur.nl