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, “Heterogeneous Risk Preferences in Financial Markets,” 2017. [PDF][SSRN]
  2. T. Abbot, “Heterogeneous Preferences, Constraints, and the Cyclicality of Leverage,” 2017. [PDF][SSRN][arXiv]

In Progress

  1. T. Abbot and J. Pascal, “The D-CAPM: Reconciling Consumption and Asset Pricing,” 2017.

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

Contact

Tyler Abbot
tyler.abbot@sciencespo.fr

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