Tyler Abbot

About Me

I am a doctoral candidate in the Department of Economics at Sciences Po Paris. My research focuses on heterogeneous agent models which include both idiosyncratic and aggregate risk. I am particularly interested in Mean Field Games, mathematical finance, stochastic calculus, and non-linear filtering. Although the majority of my work so far has been theoretical, I am working on empirical methods in high dimension using non-linear filtering.

Feel free to download my CV.

Research

  1. T. Abbot, “General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences (MAJOR REVISION),” 2018. [PDF][SSRN][arXiv]
  2. T. Abbot, “Heterogeneous Risk Preferences in Financial Markets,” 2017. [PDF][SSRN]

In Progress

  1. T. Abbot and J. Pascal, “The D-CAPM: Reconciling Consumption and Asset Pricing,” 2018.
  2. T. Abbot, “Estimating Risk Preferences From Options Price Data,” 2018.
  3. T. Abbot and J.-F. Chassagneux, “Portfolio Constraints and Labor Income Risk,” 2018.

Teaching

Programming for Economists (Instructor). Sciences Po. Fall 2016 A first year master's course on programming in R and Python.

Graduate Macroeconomics 2 (Assistant Instructor). Sciences Po. Spring 2016 Lead two hour weekly session on problem sets for associated lecture course.

PyShop: Python for Economists (Instructor). Sciences Po. Fall 2015 A five week workshop on Python for economists

Intermediate Macroeconomics (Teaching Assistant). Sciences Po. Fall 2014 Mainly grading and answering questions. Lead two sessions on excel and basic time series.

Contact

Tyler Abbot
tyler.abbot@sciencespo.fr

Department of Economics
Sciences Po
28 rue des Saints Pères
75007 Paris
France