Working Papers and Preprints
2021
2020
2019
- Gaspar, R.M. and P.M. Silva, " Investors' prespective on portfolio insurance: expected utility versus prospect theories", REM working paper series n.092, 2019.
- Beleza Sousa, J.; M.L. Esquível and R.M. Gaspar, " Pulled-to-par returns for zero coupon bonds: historical simulation value-at-risk" , REM working paper series n.093, 2019.
2018
- Carvalho, J.; R.M. Gaspar and J. B. Sousa XXX, REM working paper series, 2018.
2017
- Gaspar, R.M., "Design Risk: the curse of CPPIs", REM working paper series, 2017.
- Cardoso, J. and R. M. Gaspar, "XXX", REM working paper series, 2017.
2016
- Carvalho, J., R.M. Gaspar and J.B. Sousa, " On path denpendcy of constant proportion portfolio incurance strategies", WP available at SSRN, 2016.
- XXX
2015
- Gaspar, R. M. and R. Pimentel, " On swap rate dynamics: to freeze or not to freeze?", WP available at SSRN 2677709, 2015.
- XXX
2014
- Albuquerque, R. A.; R.M. Gaspar and A. Michel, " Investment analysis of autocallable contingent income securities", WP available at SSRN 2411789, 2014
- XXX
2013
- Ferreira, S. and R. M. Gaspar (2013)
- XXX
2012
- Almeida, R. e R.M. Gaspar (2012)
- Arriaga Cunha, A; R. M. Gaspar e P. Rino Vieira (2012)
- Belchior, D. e R.M. Gaspar (2012)
- Beleza Sousa, J.; M.L. Esquível and R.M. Gaspar, " Brownian Bridge Vectorial Simulation", CEMAPRE working paper series (also available at SSRN), 2012.
- Castelo Branco, F e R.M. Gaspar (2012)
- Costa, A., R. M. Gaspar e S. Vaz (2012)
- Gaspar, R. M. e D. Jalles (2012)
- Gaspar, R. M.; P. Rino Vieira e R. Silva (2012)
2011
- Gaspar, R.M. and P. Silva, "The determinants of corporate option adjusted spreads - the case of Portugal", Advance Working Paper Series ISEG, n. 4/2011
- Fonseca, V. and R.M. Gaspar, " Counterparty and Liquidity Risk - and analysis of the negative basis", Advance Working Paper Series ISEG, n. 3/2011
- Costa, J. and R.M. Gaspar, " Portfolio Insurance - a comparison of alternative strategies", Advance Working Paper Series ISEG, n. 2/2011.
- França, R. and R.M. Gaspar, " Expectation Hypothesis Bias - risk aversion versus stochastic adjustment", Advance Working Paper Series ISEG, n. 1/2011.
2010
- Beleza Sousa, J.; M. L. Esquível and R. M. Gaspar, " Machine Learning Vasicek Model Calibration with Gaussian Processes", available at SSRN, 2010.
- Gaspar, R.M and P. Pereira, " Liquidity Risk Premia - an analysis of European Corporate bond spreads", Advance Working Paper Series ISEG, n.3/2010.
- Gaspar, R.M. and T. Schmidt, " Credit Risk Modelling with Shot-noise Processes", available at SSRN, 2010.
- Gaminha, B.; R.M. Gaspar and O. Oliveira, " LIBOR convexity adjustments for the Vasicek and CIR models", available at SSRN, 2010.
2009
- Gaspar, R.M. " Implied Volatility and Forward Price Term Structures", Advance Working Paper Series ISEG, n. 3/2009.
2008
- Gaspar, R.M. and A. Murgoci " Convexity Adjustments for ATS models", Advance Working Paper Series ISEG, n.9/2008.
2007
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Gaspar, R. M. and T. Schmidt " Term Structure Models with Shot-Noise Effects ", Advance Working Paper Series ISEG , n.3/2007.
2005
- Gaspar, R. M. and T. Schmidt " Quadratic Models for Portfolio Credit Risk with Shot-noise Effects " , SSE/EFI working papers Series in Economics and Finance , n.616/2005.
- Gaspar, R. M. and I. Slinko " Correlation Between Intensity and Recovery in Credit Risk Models" , SSE/EFI working papers Series in Economics and Finance , n.614/2005.
2004
- Gaspar, R. M. " General Quadratic Term Structures of Bonds, Futures anad Forward Prices", SSE/EFI working papers Series in Economics and Finance , n.559/2004.