Biografia
João Guerra is an Associate Professor at ISEG in the scientific area of Analysis and Mathematical Finance (Department of Mathematics). He has a degree in Physics Engineering from Instituto Superior Técnico and obtained a PhD in Mathematics in 2009 from the University of Barcelona, Spain.
His main research interests are Stochastic Analysis, Lévy Processes, Fractional Stochastic Processes and applications to Mathematical Finance. He published 14 articles in international academic journals, 2 articles in national academic journals and several other publications (technical reports, book chapters, working papers/preprints). He has been referee for several international academic journals. He was a researcher in six international research projects, and is currently the principal investigator of a bilateral research project (Portugal-Germany) since January 2024.
In higher education, he was responsible for several curricular units in the 1st, 2nd and 3rd cycles, such as: Stochastic Calculus, Lévy Processes and Applications, Differential Equations, Mathematics I, Mathematics II, Mathematical Analysis I, Mathematical Analysis II, Statistics I, Models in Finance, Mathematical Methods for Finance, Investments and Capital Markets, Case studies in Financial Engineering.
João Guerra supervised two PhD theses and 19 Master's theses. He is currently a member of the coordination team for the Master's in Mathematical finance and the PhD program in Mathematics Applied to Economics and Management (MAEG). He was coordinator of the scientific area of Analysis and Mathematical Finance and was also a member of the board of CEMAPRE.
He was a Lecturer at ISEG between 1999 and 2007, Assistant Professor between 2009 and 2023 and has been an Associate Professor since February 2023.
Educação
| 2009 | Doutoramento em Matemática Universitat de Barcelona (Spain) |
| 2003 | D. E. A. Matemática Universitat de Barcelona (Spain) |
| 1999 | Mestrado em Matemática Aplicada Universidade de Évora (Portugal) |
| 1995 | Licenciatura em Engenharia Física Tecnológica Instituto Superior Técnico (Portugal) |
Publicações e Citações
Journal article
| Ano | Título / Publicação | Link |
|---|---|---|
| 2023 | VIX pricing in the rBergomi model under a regime switching change of measure Quantitative Finance |
Ver |
| 2023 | Least squares Monte Carlo methods in stochastic Volterra rough volatility models Journal of Computational Finance |
Ver |
| 2021 | Residue Sum Formula for Pricing Options under the Variance Gamma Model Mathematics |
Ver |
| 2020 | Risk-neutral densities: advanced methods of estimating nonnormal options underlying asset prices and returns Journal of Risk Model Validation |
Ver |
| 2020 | Option pricing with exponential Lévy models with transaction costs Journal of Computational Finance |
Ver |
| 2019 | Multinomial method for option pricing under Variance Gamma International Journal of Computer Mathematics |
Ver |
| 2018 | Equações Diferenciais Estocásticas: Alguns Exemplos e Aplicações em Finanças Boletim da Sociedade Portuguesa de Estatística |
|
| 2017 | Performance and predictive power of risk-neutral densities and subjective probability density functions International Review of Finance |
Ver |
| 2016 | Risk-Neutral Densities Estimation: performance of Non-Structural Methods in a a true world marked by jumps Journal of Emerging Market Finance |
Ver |
| 2016 | Option pricing in exponential Lévy models with transaction costs Applied Mathematical Finance |
Ver |
| 2014 | Implied risk neutral densities from option prices: hypergeometric, spline, lognormal and edgeworth functions Journal of Futures Markets |
|
| 2014 | Option Pricing in Exponential Lévy Models with Transaction Costs ECMI Newsletter |
Ver |
| 2010 | Dynamic complex hedging in additive markets Quantitative Finance |
|
| 2008 | Stochastic differential equations driven by fractional Brownian motion and standard Brownian motion Stochastic Analysis and Applications |
|
| 2006 | Optimal investment in Lévy markets Applied Mathematics and Optimization |
|
| 2005 | The 1/H variation of the divergence integral with respect to fractional Brownian motion for H>1/2 and fractional Bessel processes Stochastic Processes and Their Applications |
|
| 2002 | Cox-Ingersoll-Ross modified models: ergodic properties and parameter estimation Boletim do Instituto dos Actuários Portugueses |
Ver |
| 1999 | One-Particle Spectral Properties of 1D Mott-Hubbard Insulators Physical Review Letters |
Working Papers
| Ano | Título / Publicação | Link |
|---|---|---|
| 2024 | Pseudo rough vol-of-vol through Markovian approximation REM Working Paper |
|
| 2021 | Least squares Monte Carlo methods in stochastic Volterra rough volatility models Working Paper REM (Research in Economics and Mathematics) - ISEG (School of Economics and Management) /Universidade de Lisboa |
Ver |
| 2019 | Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market Working Paper REM (Research in Economics and Mathematics) - ISEG (School of Economics and Management) /Universidade de Lisboa |
Ver |
| 2011 | Implied risk neutral densities from option prices: hypergeometric, spline, lognormal and edgeworth functions CEMAPRE |
|
| 2007 | Optimal investment in non-homogeneous Lévy markets IMUB - universitat de Barcelona |
|
| 2003 | Malliavin Calculus and applications to the Besov norm of Brownian motion CEMAPRE |
Paper presented at academic or professional meetings
| Ano | Título / Publicação | Link |
|---|---|---|
| 2024 | Rough volatility models |
|
| 2022 | VIX pricing in the rBergomi model under a regime switching change of measure, In Lisbon Young Mathematicians Conference 2022 (LYMC 2022), 13-14 April 2022 |
Ver |
| 2022 | VIX pricing in the rBergomi model under a regime switching change of measure, In International Conference on Computational Finance 2022, June 6 -10 |
Ver |
| 2021 | Application of multidimensional residue calculus for pricing options driven by the Variance Gamma process |
Ver |
| 2021 | Least Squares Monte Carlo Methods in Stochastic Volterra Rough Volatility Models |
Ver |
| 2019 | Asset Allocation using option-implied distributions in an Exponentially Tempered Stable Lévy model |
Ver |
| 2019 | Some problems and research topics in fractional processes, fractional equations and finance |
|
| 2018 | Stochastic differential equations driven by mixed fractional Brownian motion and an application in finance |
Ver |
| 2016 | Option pricing in jump-diffusion models with transaction costs and stochastic control |
Ver |
| 2016 | Analysis of Lévy market models and PIDEs |
Ver |
| 2015 | A Jump-Telegraph Diffusion Model with Jumps of Random Size: Option Pricing and Numerical Experiments |
|
| 2015 | Indifference pricing in exponential Lévy models with transaction costs |
Ver |
| 2015 | Option pricing under a jump-telegraph diffusion model with jumps of random size |
Ver |
| 2014 | Risk-Neutral Densities Estimation: performance of Non-Structural Methods in a true world marked by jumps in asset returns |
Ver |
| 2014 | Option pricing in exponential Lévy models with transaction costs |
|
| 2011 | The predictable representation property for Lévy processes and applications in Finance |
Ver |
| 2010 | Lévy Market Models and Hedging Portfolios |
Ver |
| 2004 | Utility maximization in Lévy markets |
Ver |
| 2003 | The 1/H variation of the divergence integral with respect to fractional Brownian motion for H>1/2 and fractional Bessel processes |
Ver |
Pedagogical paper to provide theoretical support to part of a course
| Ano | Título / Publicação | Link |
|---|---|---|
| 2013 | Stochastic calculus for models in Finance |
|
| 2010 | Introdução às Equações Diferenciais Estocásticas Academic Press |
Others contributions
| Ano | Título / Publicação | Link |
|---|---|---|
| 2011 | Multiplier and innovation effect of the engineering & tooling sector in Portugal - Technical Report Mathematics in Industry |
Ver |
Pedagogical paper to provide full theoretical support to a course
| Ano | Título / Publicação | Link |
|---|---|---|
| 2016 | Lecture Notes on Stochastic Calculus |
|
| 2015 | Matemática I - Notações, Definições, Teoremas e resultados teóricos |
|
| 2012 | Cálculo Estocástico |
|
| 2012 | Processos de Lévy e aplicações |
Pedagogical paper to provide full practical support to a course
| Ano | Título / Publicação | Link |
|---|---|---|
| 2016 | Stochastic Calculus - Exercises |
|
| 2013 | Exercises of Models in Finance |
|
| 2012 | Exercises - Lévy Processes and applications |
|
| 2012 | Exercícios de Cálculo Estocástico |
|
| 2010 | Exercícios de Investimentos e Mercados de Capitais |
|
| 2010 | Estudo de Casos em Engenharia Financeira |
Proceedings from scholarly meetings
| Ano | Título / Publicação | Link |
|---|---|---|
| 2017 | A Quadrature-Difference Method for systems of second order Fredholm Integro-Differential Equations CMMSE |
|
| 2015 | Indifference pricing in exponential Lévy models with transaction costs Proceedings of the International Conference on Stochastics and Computational Finance 2015, July 6-10, 2015, Lisbon, Portugal |
|
| 2015 | Option pricing under a jump - telegraph diffusion model with jumps of random size Proceedings of the International Conference on Stochastics and Computational Finance 2015, July 6-10, 2015, Lisbon, Portugal |
Chapter
| Ano | Título / Publicação | Link |
|---|---|---|
| 2017 | Indifference pricing in a market with transaction costs and jumps Springer International Publishing |
Faculty research seminar
| Ano | Título / Publicação | Link |
|---|---|---|
| 2019 | Fractional Brownian motion: Applications in Finance |
|
| 2019 | Fractional Brownian motion, Fractional equations and some applications in Finance |
Ensino
2023/2024
| Semester | Curso | Graduação | Coordenação |
|---|---|---|---|
| 1º | Processos de Lévy e Aplicações | Mestrado Bolonha em Mathematical Finance - Mathematical Finance | Yes |
| 2º | Cálculo Estocástico | Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Mathematical Finance - Mathematical Finance, Doutoramento Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão | Yes |
| 1º | Models in Finance | Mestrado Bolonha em Econometria Aplicada e Previsão - Econometria Aplicada e Previsão, Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Actuarial Science - Actuarial Science | Yes |
| Ano | Student Name / Título / Institution | Supervision Type | Link |
|---|---|---|---|
| 2022/2023 | JOÃO FRANCISCO MESQUITA D'ÁGUA Instituto Superior de Economia e Gestão |
Master | Ver |
| 2022/2023 | VASCO CAPELA TAVARES Pricing Renewable Energy Certificates Instituto Superior de Economia e Gestão |
Master | Ver |
| 2021/2022 | IÑIGO RESCO SAN JOSE The rBergomi rough volatility model |
Master | Ver |
| 2021/2022 | JOAQUIM MIGUEL COUTO DOS SANTOS CAVALHEIRO Partial Differential Equations for pricing in Carbon markets |
Master | Ver |
| 2021/2022 | ANDRÉ MONTEIRO BENTO Forward-Backward Stochastic Differential Equations and pricing in Emission markets Instituto Superior de Economia e Gestão |
Master | Ver |
| 2020/2021 | IÑIGO RESCO SAN JOSE The rBergomi rough volatility model |
Master | |
| 2019/2020 | PEDRO MARIA ULISSES DOS SANTOS JALHAY FEBRER Formulas for Pricing European Options in the Finite Moment Log-Stable Model |
Master | Ver |
| 2018/2019 | FRANCISCO MARIA DE MATEUS E JORGE DA FONSECA Fractional Diffusion models and option pricing in jump models |
Master | Ver |
| 2017/2018 | ZACHARY MITCHELL POLASKI DYNAMIC ASSET ALLOCATION USING OPTION IMPLIED DISTRIBUTIONS IN AN EXPONENTIALLY TEMPERED STABLE LÉVY MARKET |
Master | Ver |
| 2015/2016 | FRANCISCO DE CASTILHO MONTEIRO GIL SERRANO Processos de Lévy fracionários |
Master | Ver |
| 2013/2014 | NUNO FILIPE COSTA MARTINS Avaliação de opções com processos de Lévy e transformações temporais |
Master | Ver |
| 2012/2013 | JOSÉ MANUEL TEIXEIRA SANTOS CRUZ Integro-differential equations for option pricing in exponential Lévy models |
Master | Ver |
| 2011/2012 | NATALIA NAVIN Percolação em sistemas financeiros simulados |
Master | Ver |
| 2011/2012 | SUSANA DE MATOS NEVES Fractional Brownian Motion in Finance |
Master | Ver |
Experiência Profissional
| Nome / Descrição | Data | Organização |
|---|---|---|
| Associate Professor |
2023 | ISEG |
| Membro da coordenação do programa de doutoramento em MAEG (Matemática Aplicada à Economia e Gestão), ISEG Membro da coordenação de curso |
2021 | ISEG |
| Membro da coordenação do curso de Mestrado em Matemática Financeira, Matemática Membro da coordenação de curso |
2020 | ISEG |
| Coordenador da Área Científica de Análise e Matemática Financeira, Matemática Coordenador da área científica |
2018 - 2020 | ISEG |