João Pedro Vidal Nunes

ISCTE Business School

Ed. INDEG/ISCTE

Av. Prof. Anibal Bettencourt

Lisboa, 1600-189

Portugal

http://iscte.pt/~jpvn/

SCHOLARLY PAPERS

12

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CROSSREF CITATIONS

7

Scholarly Papers (12)

1.

A General Equilibrium Duffie and Kan Term Structure Model

Number of pages: 29 Posted: 01 Feb 1997
João Pedro Vidal Nunes
ISCTE Business School
Downloads 1,274 (17,151)

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Exponential-affine term structure models, Change of measures, Power utility, Log utility

2.

Pricing Real Options under the CEV Diffusion

Journal of Futures Markets, Vol. 31, No. 3, pp. 230-250, 2011
Number of pages: 33 Posted: 05 Mar 2008 Last Revised: 17 Mar 2011
José Carlos Dias and João Pedro Vidal Nunes
Instituto Universitário de Lisboa (ISCTE-IUL) and ISCTE Business School
Downloads 390 (84,297)

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real options, CEV diffusion

3.

The Performance of Deterministic and Stochastic Interest Rate Risk Measures

Number of pages: 46 Posted: 08 Mar 2008
Luís Oliveira, João Pedro Vidal Nunes and Luís Malcato
Instituto Superior de Ciências do Trabalho e da Empresa (ISCTE) - ISCTE Business School, ISCTE Business School and ISCTE Business School / Portuguese Association of Insurers (APS)
Downloads 378 (87,465)

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Interest Rate Risk, Asset-Liability Management, Immunization Strategies, Stochastic Duration, HJM Framework, Nelson-Siegel

4.

The Performance of Deterministic and Stochastic Interest Rate Risk Measures: Another Question of Dimension?

Number of pages: 38 Posted: 25 May 2013 Last Revised: 04 Jun 2013
Luís Oliveira, João Pedro Vidal Nunes and Luís Malcato
Instituto Superior de Ciências do Trabalho e da Empresa (ISCTE) - ISCTE Business School, ISCTE Business School and ISCTE Business School / Portuguese Association of Insurers (APS)
Downloads 82 (333,789)

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Interest rate risk, asset-liability management, immunization strategies, stochastic duration, HJM models, stochastic dominance

5.

Multifactor Valuation of Floating Range Notes

Number of pages: 19 Posted: 13 Apr 2004
João Pedro Vidal Nunes
ISCTE Business School
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6.

Pricing Swaptions Under Multifactor Gaussian HJM Models

Mathematical Finance, Vol. 24, Issue 4, pp. 762-789, 2014
Number of pages: 28 Posted: 24 Sep 2014
João Pedro Vidal Nunes and Pedro Miguel Silva Prazeres
ISCTE Business School and Bank of Portugal
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Gaussian HJM multifactor models, European‐style swaptions, conditioning approach, rank 1 approximation, lognormal approximation, stochastic duration, Edgeworth expansion, hyperplane approximation, low‐variance martingale approximation

7.

Two Extensions to Forward Start Options Valuation

Posted: 18 Jan 2009
João Pedro Vidal Nunes and Tiago Alcaria
ISCTE Business School and 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

8.

Barrier Options on Spot Libor Rates Under Multi-Factor Gaussian HJM Models

Journal of Derivatives, Fall 2006
Posted: 12 Nov 2006
João Pedro Vidal Nunes
ISCTE Business School

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Gaussian HJM models, Time-change, Change of probability measure, Barrier caps and floors, Rebates

Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option

Posted: 23 Jul 2004
Luís Oliveira and João Pedro Vidal Nunes
Instituto Superior de Ciências do Trabalho e da Empresa (ISCTE) - ISCTE Business School and ISCTE Business School

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Gaussian HJM multi-factor models, Quality option, Consistent forward rate curves, Treasury bond futures, EUREX market

Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option

Journal of Futures Markets, Vol. 27, No. 3, 2007
Posted: 12 Nov 2006
Luís Oliveira and João Pedro Vidal Nunes
Instituto Superior de Ciências do Trabalho e da Empresa (ISCTE) - ISCTE Business School and ISCTE Business School

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Gaussian HJM multi-factor models, Quality option, Consistent forward rate curves, Treasury bond futures, EUREX market

Multi-Factor Valuation of Floating Range Notes

Posted: 26 Nov 2002
João Pedro Vidal Nunes
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

Multi-Factor Valuation of Floating Range Notes

Posted: 24 Jan 2002
João Pedro Vidal Nunes
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

11.

Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach

Posted: 18 Apr 2000
João Pedro Vidal Nunes, Les Clewlow and Stewart D. Hodges
ISCTE Business School, Lacima and University of Warwick - Financial Options Research Centre (FORC)

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12.

Interest Rate Options in a Duffie-Kan Model with Deterministic Volatility

Posted: 20 Mar 1997
João Pedro Vidal Nunes
ISCTE Business School

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