List of Publications

ISEG > Gestão > RAQUEL MEDEIROS GASPAR

Gaspar, R.M. & P.M. Silva (2021). Portfolio Insurance Investments: Friend or Foe? Expected Utility Theory vs Prospect Theory, Portuguese Economic Journal.

Carvalho, V.H. & Gaspar, R.M. (2021). Relativistic option pricing, International Journal of Financial Studies, 9 (2), 32.
Agostinho, E. & Gaspar, R.M. (2021). Desenvolvimento do sector financeiro e desempenho das instituições de microfinanças: análise dos países membros da SADC, in Proceeding of the International Forum on Management - connected in a multipolar world, 540-568.
Agostinho, E. & Gaspar, R.M. (2021). Efficiency of microfinance institutions: analysis of Southern Afrian Development Community (SADC) Member Countries. Journal of Bussiness & Economic Policy, 8 (1), 12-23.

Gaspar, R., Lopes, S. D., & Sequeira, B. (2020). Neural Network pricing of American put options. Risks, 8 (73), 1-24.
Sousa, J. B., Esquível, M. L., & Gaspar, R. M. (2020). Pulled-to-Par Returns for Zero-Coupon Bonds Historical Simulation Value at Risk. Journal of Statistical Theory and Practice, 14, 1-17.
Gaspar, R. M., Henriques, P. L., & Corrente, A. R. (2020). Trust in Financial Markets: the role of the human element. RBGN Review of Management Studies, 22(3), 647-668.

Gaspar, R. M. and R. Pimentel (2017), " On swap rate dynamics: to freeze ot not to freeze?", International Journal of Computer Mathematics, 94 (11), 2208 - 2222.
Esquível, M.L.; R.M. Gaspar and J.B. Sousa (2017), " Default propensity implicit in pulled to par VaR for bonds", Discussiones Mathematicae Probability and Statistics 37, 79 - 99.

Albuquerque, R., Gaspar, R. M., & Michel, A. (2015). " Investment analysis of autocallable contingent income securities". Financial Analysts Journal, 71 (3), 61-83.
Beleza Sousa, J. , Esquível, M. L., & Gaspar, R. M. (2015). " Brownian bridge and other path dependent Gaussian vectorial sumulation". Communications in Statistics-Simulation and Computation , 44 (10), 2608-2621.

Beleza Sousa, J.; Esquível, M. L; R. M. Gaspar and P. C. Real (2014), " Historical VaR for Bonds - a new approach", in Proceedings of the 8th Portuguese Finance Network Conference (Ed. by L. Coelho and R. Peixinho), ISBN 978-989-20-4584, Portugal, pp. 1951-1970
Costa, J. and R.M. Gaspar (2014), " Portfolio Insurance - a comparison of naive versus popular strategies", Insurance Markets and Companies: Analyses and Actuarial Computations, 5 (1), 53-82.

Fonseca, V. e R. M. Gaspar (2013), " Counterparty and Liquidity Risk: analysis of the France Telecom negative basis ", Cadernos do Mercado de Valores Mobiliários, 46, 37-59.

Beleza Sousa, J., M.L. Esquível e R.M. Gaspar (2012), " Machine Learning Vasicek model calibration with Gaussian processes", Communications in Statistics - Simulation and Computation, Vol. 41, 1-11.
Gaspar, R. M. (2012), Comment on "Better to Give than to Receive" by Francis X.Dielbold and Kamil Yilmaz , International Journal of Forecasting, Vol. 28, No.1, pp: 67-69.

Gaspar, R. M. e P. Pereira (2011), " Liquidity Risk Premia: An Empirical Analysis of European Corporate Bond Yields", Portuguese Journal of Management Studies, Vol. 16, No.2, pp: 131-151.

Gaspar, R.M. e H. Sousa (2010), " Liquidity Risk and Solvency II", Insurance Markets and Companies: Analyses and Actuarial Computations, Vol.1, No.3, pp. 87-98.
Gaspar, R.M. e A. Murgoci (2010), "Convexity Adjustments" em Encyclopedia of Quantitative Finance (Ed. por R. Cont), Wiley Finance, Vol.1, pp. 363-368. (WP version available)
Björk, T. e R.M. Gaspar (2010), " Interest Rate Theory and Geometry", Portugaliae Mathematica, Vol. 67, No. 3, pp. 321-367

Gaspar, R.M. e T. Schmidt (2009) "CDOs in the light of the Current Crisis" em Financial Risks: New Developments in Structured Product & Credit Derivatives (Ed. por C. Gourieroux e M. Jeanblanc), Economica, ISBN 978-2-7178-5719-1, Capítulo 4, pp.33-48. (WP version available)
Egídio dos Reis, A., R.M. Gaspar e A.T. Vicente (2009) "Solvency II - an important case in applied VaR", em The VaR Modeling Handbook: practical applications in alternative investments, banking, insurance and portfolio management (Ed. por G.N. Gregoriou), McGraw-Hill, ISBN: 9780071625159, Capítulo 12, pp. 267-294. (WP version available)

Gaspar, R.M. e I. Slinko (2008), " On recovery and intensity's correlation: a new class of credit risk models", Journal of Credit Risk, Vol.4/ No.2, pp. 1-3
Gaspar, R.M. e T. Schmidt (2008) "On the Pricing of CDOs", em Credit Derivatives Handbook (Ed. por P.U. Ali e G.N. Gregoriou), McGraw-Hill, ISBN: 9780071549523, Capítulo 11, pp: 229-258. (WP version available)

Gaspar, R.M. (2005) "On Finite Dimensional Markovian Realizations of Forward Price Term Structure Models", in Stochastic Finance (Ed. por M.R. Grossinho, A. Shiriaev, M.L. Esquível e P.E. Oliveira), Springer-Verlag, ISBN: 9780387282626, Capítulo 10, pp: 265-320. (WP version available)