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Nunes, João Pedro Vidal's
Scholarly Papers
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1,877 |
Total
Citations
4 |
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1.
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Nunes, João Pedro Vidal
ISCTE Business School
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1,227
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Exponential-affine term structure models, Change of measures, Power utility, Log utility
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2.
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Dias, José Carlos
ISCAC Business School Nunes, João Pedro Vidal
ISCTE Business School
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05 Mar 08
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Last Revised:
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17 Mar 11
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323
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real options, CEV diffusion
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3.
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Oliveira, Luís
Instituto Superior de Ciências do Trabalho e da Empresa (ISCTE) - ISCTE Business School Nunes, João Pedro Vidal
ISCTE Business School Malcato, Luís
ISCTE Business School / Portuguese Association of Insurers (APS)
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303
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Interest Rate Risk, Asset-Liability Management, Immunization Strategies, Stochastic Duration, HJM Framework, Nelson-Siegel
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4.
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Nunes, João Pedro Vidal
ISCTE Business School
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5.
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Nunes, João Pedro Vidal
ISCTE Business School Alcaria, Tiago
affiliation not provided to SSRN
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Forward start options, stochastic volatility, stochastic interest rates, jump-diffusion processes, fast Fourier transform, Gaussian quadratures
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6.
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Nunes, João Pedro Vidal
ISCTE Business School
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Gaussian HJM models, Time-change, Change of probability measure, Barrier caps and floors, Rebates
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7.
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Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option
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Oliveira, Luís
Instituto Superior de Ciências do Trabalho e da Empresa (ISCTE) - ISCTE Business School Nunes, João Pedro Vidal
ISCTE Business School
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Posted:
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23 Jul 04
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Last Revised:
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01 Mar 08
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Oliveira, Luís
Instituto Superior de Ciências do Trabalho e da Empresa (ISCTE) - ISCTE Business School Nunes, João Pedro Vidal
ISCTE Business School
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Gaussian HJM multi-factor models, Quality option, Consistent forward rate curves, Treasury bond futures, EUREX market
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Oliveira, Luís
Instituto Superior de Ciências do Trabalho e da Empresa (ISCTE) - ISCTE Business School Nunes, João Pedro Vidal
ISCTE Business School
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Gaussian HJM multi-factor models, Quality option, Consistent forward rate curves, Treasury bond futures, EUREX market
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8.
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Multi-Factor Valuation of Floating Range Notes
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Versions (2)
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Nunes, João Pedro Vidal
ISCTE Business School
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Posted:
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24 Jan 02
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Last Revised:
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26 Nov 02
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Nunes, João Pedro Vidal
ISCTE Business School
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Gaussian HJM multi-factor models, Change of probability measure, Bivariate normal distribution, Interest rate digital options, Range notes
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Nunes, João Pedro Vidal
ISCTE Business School
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Gaussian HJM multi-factor models, Change of probability measure, Bivariate normal distribution, Interest rate digital options, Range notes
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9.
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Nunes, João Pedro Vidal
ISCTE Business School Clewlow, Les
Lacima Hodges, Stewart D.
University of Warwick - Financial Options Research Centre (FORC)
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10.
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Nunes, João Pedro Vidal
ISCTE Business School
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11.
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Oliveira, Luís
Instituto Superior de Ciências do Trabalho e da Empresa (ISCTE) - ISCTE Business School Nunes, João Pedro Vidal
ISCTE Business School Malcato, Luís
ISCTE Business School / Portuguese Association of Insurers (APS)
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Interest rate risk, asset-liability management, immunization strategies, stochastic duration, HJM models, stochastic dominance
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