Biography
João Guerra é Professor Associado do ISEG na área científica de Análise e Matemática Financeira (Departamento de Matemática). É licenciado em Engenharia Física Tecnológica pelo Instituto Superior Técnico e obteve o grau de Doutor em Matemática em 2009, pela Universidade de Barcelona, Espanha.
Tem como principais interesses de investigação a Análise estocástica, Processos de Lévy, Processos Estocásticos Fracionários e aplicações à Matemática Financeira. Publicou 14 artigos em revistas académicas internacionais, 2 artigos em revistas académicas nacionais e várias outras publicações (relatórios técnicos, capítulos de livros, working papers/preprints). Tem sido revisor de várias revistas académicas internacionais. Foi investigador em seis projetos de investigação internacionais, sendo atualmente investigador principal de um projeto de investigação bilateral (Portugal-Alemanha) desde janeiro de 2024.
No ensino superior, foi responsável por várias unidades curriculares do 1º, 2º e 3º ciclos, como por exemplo: Cálculo Estocástico, Processos de Lévy e Aplicações, Equações Diferenciais, Matemática I, Matemática II, Análise Matemática I, Análise Matemática II, Estatística I, Modelos em Finanças, Métodos Matemáticos para Finanças, Investimentos e Mercados de Capitais, Estudos de caso em Engenharia Fiananceira.
Orientou duas teses de Doutoramento e 19 teses de Mestrado.
É atualmente membro da equipa de coordenação do Mestrado em Matemática Financeira e do programa de Doutoramento em Matemática Aplicada à Economia e Gestão (MAEG). Foi coordenador da área científica de Análise e Matemática Financeira e também foi membro da direção do CEMAPRE.
Foi Assistente do ISEG entre 1999 e 2007, Professor Auxiliar entre 2009 e 2023 e é Professor Associado desde fevereiro de 2023.
Education
| 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) |
Publications & Citations
Journal article
| Year | Title / Publication | Link |
|---|---|---|
| 2023 | VIX pricing in the rBergomi model under a regime switching change of measure Quantitative Finance |
See more |
| 2023 | Least squares Monte Carlo methods in stochastic Volterra rough volatility models Journal of Computational Finance |
See more |
| 2021 | Residue Sum Formula for Pricing Options under the Variance Gamma Model Mathematics |
See more |
| 2020 | Risk-neutral densities: advanced methods of estimating nonnormal options underlying asset prices and returns Journal of Risk Model Validation |
See more |
| 2020 | Option pricing with exponential Lévy models with transaction costs Journal of Computational Finance |
See more |
| 2019 | Multinomial method for option pricing under Variance Gamma International Journal of Computer Mathematics |
See more |
| 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 |
See more |
| 2016 | Risk-Neutral Densities Estimation: performance of Non-Structural Methods in a a true world marked by jumps Journal of Emerging Market Finance |
See more |
| 2016 | Option pricing in exponential Lévy models with transaction costs Applied Mathematical Finance |
See more |
| 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 |
See more |
| 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 |
See more |
| 1999 | One-Particle Spectral Properties of 1D Mott-Hubbard Insulators Physical Review Letters |
Working Papers
| Year | Title / Publication | 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 |
See more |
| 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 |
See more |
| 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
| Year | Title / Publication | Link |
|---|---|---|
| 2024 | Rough volatility models |
See more |
| 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 |
See more |
| 2022 | VIX pricing in the rBergomi model under a regime switching change of measure, In International Conference on Computational Finance 2022, June 6 -10 |
See more |
| 2021 | Application of multidimensional residue calculus for pricing options driven by the Variance Gamma process |
See more |
| 2021 | Least Squares Monte Carlo Methods in Stochastic Volterra Rough Volatility Models |
See more |
| 2019 | Asset Allocation using option-implied distributions in an Exponentially Tempered Stable Lévy model |
See more |
| 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 |
See more |
| 2016 | Option pricing in jump-diffusion models with transaction costs and stochastic control |
See more |
| 2016 | Analysis of Lévy market models and PIDEs |
See more |
| 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 |
See more |
| 2015 | Option pricing under a jump-telegraph diffusion model with jumps of random size |
See more |
| 2014 | Risk-Neutral Densities Estimation: performance of Non-Structural Methods in a true world marked by jumps in asset returns |
See more |
| 2014 | Option pricing in exponential Lévy models with transaction costs |
|
| 2011 | The predictable representation property for Lévy processes and applications in Finance |
See more |
| 2010 | Lévy Market Models and Hedging Portfolios |
See more |
| 2004 | Utility maximization in Lévy markets |
See more |
| 2003 | The 1/H variation of the divergence integral with respect to fractional Brownian motion for H>1/2 and fractional Bessel processes |
See more |
Pedagogical paper to provide theoretical support to part of a course
| Year | Title / Publication | Link |
|---|---|---|
| 2013 | Stochastic calculus for models in Finance |
|
| 2010 | Introdução às Equações Diferenciais Estocásticas Academic Press |
Others contributions
| Year | Title / Publication | Link |
|---|---|---|
| 2011 | Multiplier and innovation effect of the engineering & tooling sector in Portugal - Technical Report Mathematics in Industry |
See more |
Pedagogical paper to provide full theoretical support to a course
| Year | Title / Publication | 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
| Year | Title / Publication | 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
| Year | Title / Publication | 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
| Year | Title / Publication | Link |
|---|---|---|
| 2017 | Indifference pricing in a market with transaction costs and jumps Springer International Publishing |
Faculty research seminar
| Year | Title / Publication | Link |
|---|---|---|
| 2019 | Fractional Brownian motion: Applications in Finance |
|
| 2019 | Fractional Brownian motion, Fractional equations and some applications in Finance |
Teaching
2025/2026
| Semester | Course | Degree | Coordinator |
|---|---|---|---|
| 1º | Processos de Lévy e Aplicações | Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Matemática Financeira - Mathematical Finance | No |
| 1º | Models in Finance | Mestrado Bolonha em Econometria Aplicada e Previsão - Econometria Aplicada e Previsão, Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Ciências Actuariais - Actuarial Science | No |
| Year | Student Name / Title / Institution | Supervision Type | Link |
|---|---|---|---|
| 2023/2024 | FILIPE FELICIANO DINIS TOMÉ Models for option pricing in energy markets |
Master | Ver |
| 2022/2023 | JOÃO FRANCISCO MESQUITA D'ÁGUA Modelling electricity and emission markets 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 |
Professional Experience
| Name / Description | Date | Organization |
|---|---|---|
| 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 |