Educação
| 2002 | Aggregation, Matemática Instituto Superior de Economia e Gestão (Portugal) |
| 1988 | PhD in Mathematics Faculdade de Ciências da Universidade de Lisboa (Portugal) |
Publicações e Citações
Journal article
| Ano | Título / Publicação | Link |
|---|---|---|
| 2020 | A note on the approximation of PDEs with unbounded coefficients International Journal of Applied Mathematics |
Ver |
| 2020 | Option pricing with exponential Lévy models with transaction costs Journal of Computational Finance |
Ver |
| 2020 | Pricing American call options using the Black–Scholes equation with a nonlinear volatility function . Journal of Computational Finance |
Ver |
| 2017 | Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function Asia-Pacific Financial Markets |
Ver |
| 2016 | Option pricing in exponential Lévy models with transaction costs Applied Mathematical Finance |
Ver |
| 2015 | On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs Boundary Value Problems |
|
| 2014 | Spatial approximation of nondivergent type parabolic PDEs with unbounded coeffcients related to finance Abstract and Applied Analysis |
|
| 2014 | Option Pricing in Exponential Lévy Models with Transaction Costs ECMI Newsletter |
Ver |
| 2012 | Discretisation of abstract linear evolution equations of parabolic type Advances in Difference Equations |
|
| 2010 | On the space discretization of PDEs with unbounded coefficients arising in Financial Mathematics COMPTES RENDUS DE L ACADEMIE BULGARE DES SCIENCES |
|
| 2009 | A note on the numerical approximation of parabolic equations in Holder spaces International Journal of Applied Mathematics |
|
| 2009 | Numerical approximation of multidimensional parabolic partial differential equations arising in Financial Mathematics Mathematica Balkanica |
|
| 2009 | Space discretization of Cauchy problems for multidimensional PDEs with unbounded coefficients arising in financial mathematics COMPTES RENDUS DE L ACADEMIE BULGARE DES SCIENCES |
Proceedings from scholarly meetings
| Ano | Título / Publicação | Link |
|---|---|---|
| 2012 | Stationary Solutions of Some Nonlinear Black-Scholes Type Equations Arising in Option Pricing Springer |
Ver |
Chapter
| Ano | Título / Publicação | Link |
|---|---|---|
| 2017 | Indifference pricing in a market with transaction costs and jumps STRIKE – Novel Methods in Computational |
|
| 2017 | Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations STRIKE – Novel Methods in Computational |
|
| 2017 | Indifference pricing in a market with transaction costs and jumps Springer International Publishing |
Paper presented at academic or professional meetings
| Ano | Título / Publicação | Link |
|---|---|---|
| 2016 | Option pricing in jump-diffusion models with transaction costs and stochastic control |
Ver |
| 2016 | Analysis of Lévy market models and PIDEs |
Ver |
Book
| Ano | Título / Publicação | Link |
|---|---|---|
| 2018 | Exercícios de Cálculo diferencial e Integral em Rn para Economia e Gestão AEISEG |
|
| 2017 | Elementos de Cálculo Diferencial e Integral em Rn para Economia e Gestão AEISEG |
Others contributions
| Ano | Título / Publicação | Link |
|---|---|---|
| 2019 | Matemática e Economia: breves notas sobre o caminho da humanidade, entre o equilíbrio e o risco. Edições Colibri |
Journal editor
| Ano | Título / Publicação | Link |
|---|---|---|
| 2019 | et al. - ICCF 2017 - International Conference on Computational Finance 2017 (ICCF 2017) - special issue International Journal of Computer Mathematics |
|
| 2018 | et al., ICCF 2017 - Special issue of AMF - VOL 25 (2018) Applied Mathematical Finance |
Ensino
2023/2024
| Semester | Curso | Graduação | Coordenação |
|---|---|---|---|
| 1º | Mathematical Methods in Finance | Doutoramento Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão, Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Mathematical Finance - Mathematical Finance | Yes |
| Ano | Aluno / Título / Instituição | Tipo | Link |
|---|---|---|---|
| 2020/2021 | DUARTE VAZ FREIRE Forecasting U.S. REIT Index Prices with Artificial Neural Networks |
Master | Ver |
| 2020/2021 | MIGUEL DE SÁ FIGUEIREDO PEIXOTO ALVES Utilização de um Modelo de Movimento Browniano para estimar custos futuros |
Master | Ver |
| 2020/2021 | FRANCISCA HINTZE RIBEIRO MACHADO DE MEDEIROS UK Pension Funds - Processes and Risk Monitoring |
Master | Ver |
| 2020/2021 | MIGUEL GANTES DE ALBERGARIA Nonlinear models in Option Pricing |
Master | Ver |
| 2019/2020 | DUARTE VAZ FREIRE Forecasting REIT returns: A Machine Learning approach |
Master | |
| 2019/2020 | AFONSO VALENTE RICARDO DE SEABRA COELHO American Options and the Black-Scholes Model |
Master | Ver |
| 2019/2020 | SUSANA PIPER BIVAR SEGURADO Modelo de investimento na sustentabilidade das pescarias |
Master | |
| 2015/2016 | BELCHIOR CÉSAR XAVIER MÁRIO APREÇAMENTO DE OPÇÕES EUROPEIAS, AMERICANAS E BERMUDAS USANDO MODELOS BINOMIAL E TRINOMIAL |
Master | Ver |
| 2015/2016 | MARIA SOFIA VAZ RAMIRES GOMES DA COSTA Nova Abordagem de Requisitos de Capital para Risco de Mercado |
Master | Ver |
| 2011/2012 | SOFIA SANDE DE ARAÚJO Numerical Algorithms for the Valuation of Continuous Installment Options |
Master | Ver |
Experiência Profissional
| Nome / Descrição | Data | Organização |
|---|---|---|
| Responsible for the Master Double Degree, concerning the Master in Mathematical Finance, with the University of Lorraine in Nancy, France and Uniwersytet Ekonomiczny w Poznaniu , in Poland, whereby the student can obtain two degrees (one from University of Lorraine or Uniwersytet Ekonomiczny w Poznaniu and another from ISEG) |
2019 | |
| Senate board member (permanent committee) Membro da comissão permanente do senado |
2017 | |
| Membro da Comissão Científica do Programa de Doutoramento em MAEG Membro da coordenação de curso |
2009 - 2016 | ISEG |