Educação
| 2001 | Doutoramento em Matemática Universidade de Aveiro (Portugal) |
Publicações e Citações
Proceedings from scholarly meetings
| Ano | Título / Publicação | Link |
|---|---|---|
| 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 |
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| 2015 | Value of a Firm with Suspension and Exit Options Proceedings of the International Conference on Stochastics and Computational Finance 2015, July 6-10, 2015, Lisbon, Portugal |
Ver |
Journal article
| Ano | Título / Publicação | Link |
|---|---|---|
| 2022 | Product formulas and convolutions for Laplace-Beltrami operators on product spaces: beyond the trivial case MATHEMATISCHE ANNALEN |
Ver |
| 2022 | On some effects of dependencies on an insurer’s risk exposure, probability of ruin, and optimal premium loading European Actuarial Journal |
Ver |
| 2021 | A unified construction of product formulas and convolutions for Sturm–Liouville operators ANALYSIS AND MATHEMATICAL PHYSICS |
Ver |
| 2021 | Reinsurance of multiple risks with generic dependence structures Insurance: Mathematics and Economics |
Ver |
| 2021 | Lévy processes with respect to the index Whittaker convolution Transactions of the American Mathematical Society |
Ver |
| 2020 | Optimal stopping of one-dimensional diffusions with integral criteria Journal of Mathematical Analysis and Applications |
Ver |
| 2020 | Option pricing with exponential Lévy models with transaction costs Journal of Computational Finance |
Ver |
| 2019 | On the product formula and convolution associated with the index Whittaker transform Journal of Mathematical Analysis and Applications |
Ver |
| 2019 | The optimal stopping problem revisited Statistical Papers |
Ver |
| 2018 | Hysteresis due to irreversible exit: Addressing the option to mothball Journal of Economic Dynamics and Control |
|
| 2017 | Optimal stopping of one-dimensional diffusions with integral criteria Annals of Applied Probability |
Ver |
| 2016 | Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS |
Ver |
| 2016 | Option pricing in exponential Lévy models with transaction costs Applied Mathematical Finance |
Ver |
| 2016 | Exit option for a class of profit functions International Journal of Computer Mathematics |
|
| 2014 | Option Pricing in Exponential Lévy Models with Transaction Costs ECMI Newsletter |
Ver |
| Barrier option pricing under the 2-hypergeometric stochastic volatility model Journal of Computational and Applied Mathematics |
||
| On a Class of Optimal Stopping Problems with Applications to Real Option Theory 8 OR Spectrum |
||
| Optimal stopping of one-dimensional diffusions with integral criteria Annals of Applied Probability |
Paper presented at academic or professional meetings
| Ano | Título / Publicação | Link |
|---|---|---|
| 2023 | Optimal reinsurance for minimum probability of Parisian ruin |
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| 2022 | Computing the optimal reinsurance treaty under dependencies in different scenarios |
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| 2022 | On the impact of dependences and constraints in the optimal reinsurance treaty |
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| 2021 | Generalized convolutions, differential operators, and Lévy-like processes |
Ver |
| 2021 | Minimizing ruin probability under dependencies for insurance pricing |
Ver |
| 2021 | Obtaining the optimal reinsurance treaty of several dependent risks in practice |
Ver |
| 2021 | On the numerical computation of optimal reinsurance treaties for dependent risks |
Ver |
| 2021 | Optimal reinsurance of general dependent risks with Lipschitz constraints |
Ver |
| 2020 | Reinsurance of multiple dependent risks |
Ver |
| 2019 | Generalized convolutions and Laplacian eigenfunctions |
|
| 2019 | Optimal reinsurance of several risks: the effect of dependencies |
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| 2019 | Product formulas and convolutions for solutions of Sturm-Liouville equations |
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| 2019 | On generalized convolutions for Sturm-Liouville and elliptic operators |
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| 2019 | Product formulas and convolutions for solutions of Sturm-Liouville equations |
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| 2019 | Optimal Reinsurance of Several Risks. The effect of dependencies |
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| 2019 | Optimal reinsurance of dependent risks |
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| 2019 | Asset Allocation using option-implied distributions in an Exponentially Tempered Stable Lévy model |
Ver |
| 2018 | On the structure of the stochastic Lie algebra |
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| 2018 | Lévy processes with respect to the index Whittaker convolution |
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| 2018 | The dynamic programming approach in optimal control |
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| 2018 | On the transport of measures by controlled flows |
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| 2018 | Product formulas, generalized convolutions and integral transforms |
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| 2017 | Optimal stopping of one-dimensional diffusions with integral criteria |
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| 2017 | Optimal stopping of one-dimensional diffusions with integral criteria |
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| 2017 | Optimal control: deterministic, stochastic, and ramifications |
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| 2017 | Control of finite-dimensional Kolmogorov equations |
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| 2016 | Option pricing in jump-diffusion models with transaction costs and stochastic control |
Ver |
| 2016 | On input-to-trajectory mappings of control systems with delays and impulses |
Ver |
| 2016 | Analysis of Lévy market models and PIDEs |
Ver |
| 2016 | Optimal control problems of low growth |
Ver |
| 2015 | Indifference pricing in exponential Lévy models with transaction costs |
Ver |
| 2014 | Option pricing in exponential Lévy models with transaction costs |
|
| 2014 | A Black-Scholes equation for illiquid markets |
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| 2014 | Fréchet curves and generalized minimizers for Lagrange variational problems with integrands of linear growth |
Ver |
| 2014 | The value of a firm with exit and suspension options |
Ver |
| 2013 | Approximate optimal control of Markov processes |
Ver |
Book editor
| Ano | Título / Publicação | Link |
|---|---|---|
| 2015 | Proceedings of the International Conference on Stochastics & Computational Finance CEMAPRE |
Ver |
Chapter
| Ano | Título / Publicação | Link |
|---|---|---|
| 2020 | The hyperbolic maximum principle approach to the construction of generalized convolutions CRC Press. |
Ver |
| 2017 | Stochastic dynamic programming and control of Markov processes Springer |
Ver |
| 2017 | Indifference pricing in a market with transaction costs and jumps Springer International Publishing |
Miscellaneous book
| Ano | Título / Publicação | Link |
|---|---|---|
| 2017 | ICCF2017 -International Conference on Computational Finance CEMAPRE |
Others contributions
| Ano | Título / Publicação | Link |
|---|---|---|
| 2021 | Minimizing ruin probability under dependencies for insurance pricing arXiv |
Ver |
| 2020 | On the construction of convolution- like operators associated with multidimensional diffusion processes arXiv |
|
| 2020 | Product formulas and convolutions for two-dimensional Laplace-Beltrami operators: beyond the trivial case arXiv |
|
| 2019 | Sturm-Liouville hypergroups without the compactness axiom arXiv |
|
| 2018 | Lévy processes with respect to the index Whittaker convolution arXiv |
|
| 2018 | On the stochastic Lie algebra arXiv |
Ver |
| 2018 | On the product formula and convolution associated with the index Whittaker transform arXiv |
|
| 2017 | On a Class of Optimal Stopping Problems with Applications to Real Option Theory arXiv |
Working Papers
| Ano | Título / Publicação | Link |
|---|---|---|
| 2021 | Minimizing ruin probability under dependencies for insurance pricing REM Working Paper |
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| 2020 | Reinsurance of multiple risks with generic dependence structures REM Working Paper |
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| 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 |
Book
| Ano | Título / Publicação | Link |
|---|---|---|
| 2022 | Convolution-like structures, differential operators and diffusion processes Springer |
Ensino
2023/2024
| Semester | Curso | Graduação | Coordenação |
|---|---|---|---|
| 2º | Análise Matemática II | Licenciatura Bolonha em Economia - Economia, Licenciatura Bolonha em Gestão - Gestão, Licenciatura Bolonha em Finanças - Finanças, Licenciatura Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão, Licenciatura Bolonha em Finance - Finance | Yes |
| 1º | Análise e Optimização | Doutoramento Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão | Yes |
| 2º | Optimização e Teoria do Controlo em Finanças | Mestrado Bolonha em Mathematical Finance - Mathematical Finance, Mestrado Bolonha em Economia - Economia | Yes |
| Ano | Aluno / Título / Instituição | Tipo | Link |
|---|---|---|---|
| 2020/2021 | SUSANA PIPER BIVAR SEGURADO Development of a notional financial instrument for ethical investment in fisheries |
Master | Ver |
| 2011/2012 | PEDRO RIBEIRO COELHO FOUTO PÓLVORA Optimal Value of a Firm Investing in Exogeneous Technology |
Master | Ver |
| 2011/2012 | CARLOS MIGUEL DOS SANTOS OLIVEIRA Mercados ilíquidos e equações HJB |
Master | Ver |