Interesses de Ensino e Investigação

• Option pricing
• Structured products and exotic options
• Volatility derivatives
• Real options
• Credit risk

Tipo	Programa	Instituição	Ano
Agregação	Finance	ISCTE-IUL	2015
Doutoramento	Finance	ISCTE-IUL	2006
Mestrado	Ciências Empresariais	ISCTE-IUL	1998
Licenciatura	Gestão de Empresas	ISLA - Lisboa	1994

Unidades curriculares

Orientações

Dissertação de Doutoramento

Fernando Correia da Silva, "Three Essays on Option Pricing", José Carlos Gonçalves Dias, Dissertação de Doutoramento, Concluída, 2023

Yang Fengyue, ""Price Dynamics of Farmland Transfer in Chengdu, China: Evidence from a Multilevel Model"", José Carlos Gonçalves Dias, Dissertação de Doutoramento, Concluída, 2022

João Miguel Mendes dos Reis, "Barrier Options and Dynamic Debt", José Carlos Gonçalves Dias, Dissertação de Doutoramento, Concluída, 2022

Tiago Mota Dutra, "Essays on Financial Cycles and Banks' Risk", José Carlos Gonçalves Dias, Dissertação de Doutoramento, Concluída, 2021

Mário Jorge Correia Fernandes, "Three Essays on Modeling Energy Prices with Time-Varying Volatility and Jumps", José Carlos Gonçalves Dias, Dissertação de Doutoramento, Concluída, 2021

Li Chen, "Service quality and customer satisfaction - a case study of nursing homes in Beijing", José Carlos Gonçalves Dias, Dissertação de Doutoramento, Concluída, 2019

Carlos Miguel Aguiar da Glória, "Essays on option pricing", José Carlos Gonçalves Dias, Dissertação de Doutoramento,

Li Ting, "The effect of standardized training reform on quality of life medical students and doctors in Shanghai", José Carlos Gonçalves Dias, Dissertação de Doutoramento,

Bruno Miguel Teixeira Taborda, "MAIS: Market Artificial Intelligence", José Carlos Gonçalves Dias, Dissertação de Doutoramento,

Hu Shunen, "Influencing Factors of Using SaaS Software in China´s Primary Medical Information System Based on TAM", José Carlos Gonçalves Dias, Dissertação de Doutoramento,

João Diogo Barros Moura, "Financial Options: Options Returns, Hedging Strategy and Static Hedge Portfolio", José Carlos Gonçalves Dias, Dissertação de Doutoramento,

Dissertação de Mestrado

Duarte Miguel da Cunha Domingues Amador Marques, "Comparação Empírica sobre as Opções do Índice S&P 500: Modelo Black-Scholes-Merton e Modelo Heston", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2023

Ana Maria Dias Vicente, "Avaliar investimentos em energia eólica onshore com incentivos governamentais utilizando opções reais: o caso Português", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2023

João Pedro Rodrigues Soares, "Comparação dos modelos Black-Scholes e Heston", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2023

Daniela Fernanda Martinez Vargas, "Análise do modelo de market-making no trading de alta frequência para a bolsa de valores norte-americana", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2023

Raquel Lopes Coutinho, "Avaliação de opções através de métodos de machine learning", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2023

Margarida Silva Marques, "Avaliação de Opções Reais: O Caso dos Percursos Pedestres na Ilha da Madeira", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2023

Diogo Filipe Sousa Vieira, "Cobertura de Carbono", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2023

Célia dos Santos Subtil, "Estímulo Público ao Investimento Privado e Prevenção de Disinvestimento: uma abordagem CEV", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2022

Yannik Ehlert, "Avaliação da opção com o Modelo Heston", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2022

Ivan Alexandre Costa Guerra, "Aplicação de opções reais em projetos de inovação empresarial e I&D", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2022

Luís Simão Almeida Ferreira, "Simulação de Monte Carlo exata de Difusões com Saltos", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2021

Rodrigo Sant Ana Lourenço, "Modelos estruturais de risco de crédito e os determinantes de credit default swap spreads", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2021

João Seguro Ildefonso, "Repeated Richardson Extrapolation and Static Hedging of Barrier Options", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2021

Joana Margarida de Sousa Barbosa, "Será o Preço dos Produtos Estruturados Justo? - Barrier Reverse Convertibles e Turbo Warrants do Mercado Suíço", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2020

Catarina Isabel dos Santos Oliveira, "A avaliação de produtos estruturados em Portugal: Qual foi o impacto causado no preço dos produtos depois do protocolo da CMVM ter entrado em vigor em 2014?", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2020

Hugo António Figueiredo Matias, "Derivados Voláteis - Retorno Esperado das Opções", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2019

Aricson Cesar Jesus da Cruz, "Essays on Option Pricing", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2019

Vítor Hugo Ferreira Pinto, "Performance empírica de três modelos de precificação de opções", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2018

Inês Pereira Santos, "Modelos estruturais de risco de crédito: análise de empresas cotadas em Portugal", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2018

Carlos Sérgio Serrado Ramos Ricardo, "Construção do Novo Edifício Sede do Município de Oeiras. Análise de viabilidade económico-financeira", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2018

Igor Viktorovich Kravchenko, "Valuation of Financial Derivatives through transmutation operator methods", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2018

Catarina da Silva Ferro Costa Pereira, "Testing High Volatility Expectation Trades on Macroeconomic and Political Events of 2016", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2017

André Gonçalo Lopes Fernandes, "Structured Products Insights: Pricing reverse convertibles and discount certificates in the german market", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2017

Mário Raul Santiago do Céu, "Análise da Evolução do Risco de Crédito na Agricultura em Portugal", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2017

Pedro Filipe Botelho Negrão de Sousa, "Algorithms for Improving the Efficiency of CEV, CIR and JDCEV Option Pricing Models", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2017

Marcelo Bettencourt Santos Nunes Capitão, "Análise das Metodologias de Seleção de Projetos de Investimentos das PME", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2016

Qi Dong, "Credit Risk Measurement of the Listed Companies in China Based on Kmv Model", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2016

Svetlana Klimova, "Real Options Valuation - Investment Under New Techonological Adoption and Carbon Policy Uncertain: An application to Volkswagen automobile industry", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2016

João Miguel Mendes Carrilho, "Stock Market Returns and Football Match Results", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2015

Vincent Jean Maurice Mouralis, "Commodity Futures in Portfolio Allocation", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2015

Antoine Hugo Mairal, "Equity-Linked Structured Products: A complex Industry in evolution", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2015

Sara Maria Correia Pereira, "Pricing of a Credit Default Swap", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2015

Carlos António Fernandes Casimiro, "Structural Models in Credit Risk", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2015

Filipe Luís Abraúl Rosa Gonçalves Pereira, "The Kim(1990) American Options Valuation Method: A comparative analysis", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2014

Marcelo Gomes Raposo dos Santos Pereira, "The Cyclical Behavior of Commodities and their Investment Benefits", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2013

João Pedro Bento Ruas, "Three Essays on the Valuation of American-Style Options", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2013

Catarina Filipa Lopes Ramos, "Measuring Perceived Service Quality at Portuguese Helthcare Centres: The moderating effect of outsourcing a core activity", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2012

Ana Cristina dos Santos Oliveira, "Avaliação Da Qualidade Percebida Dos Serviços Académicos De Uma Universidade Portuguesa", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2012

Gustavo de Souza Barros, "Variable Volatility in Option Pricing", José Carlos Gonçalves Dias, Dissertação de Mestrado, Concluída, 2012

Tiago Miguel Soares Reis Bagorro, "Atribuição e pricing de lucros e perdas de opções", José Carlos Gonçalves Dias, Dissertação de Mestrado,

Tânia Patrícia Silva Malta, "", José Carlos Gonçalves Dias, Dissertação de Mestrado,

Joana Neves Andrade Silvano, "Feed-in tariffs: ferramenta de incentivo ao investimento em projetos de hidrogénio verde", José Carlos Gonçalves Dias, Dissertação de Mestrado,

Beatriz Maria Ribeiro Ferrão, "Tendências e determinantes da política de dividendos e compra de ações próprias nas empresas europeias", José Carlos Gonçalves Dias, Dissertação de Mestrado,

Projecto final

Lamberto Lorini Sgariboldi, "Avaliação do Desenvolvimento de um Novo Medicamento: VIR-7831 Case Study", José Carlos Gonçalves Dias, Projecto final, Concluída, 2021

Neuza Carina Pires dos Santos, "Linha ferroviária de alta velocidade entre Lisboa e Madrid: sim ou não? A perspetiva de opções reais", José Carlos Gonçalves Dias, Projecto final, Concluída, 2019

João Pereira Pedro de Jesus, "Oferta Pública de Aquisição do CaixaBank sobre o BPI: O Impacto na Ação do BPI", José Carlos Gonçalves Dias, Projecto final, Concluída, 2018

Diogo Correia Rino, "Costly Reversible Disinvestment Option in a Valuation of Renewable Energy case", José Carlos Gonçalves Dias, Projecto final, Concluída, 2017

João Luís Navarro de Castro Correia Botelho, "Avaliação de Empresas através de Múltiplos de Mercado - O caso da REN", José Carlos Gonçalves Dias, Projecto final, Concluída, 2017

Ana Clara de Matos Soares Pereira Jacinto Talefe, "Estudo sobre a Eficiência das Carteiras de Investimentos das Seguradoras Vida em Portugal", José Carlos Gonçalves Dias, Projecto final, Concluída, 2016

João Pedro Robalo Martins, "European Inflation-Linked Bonds: An historical overview and the benefits Amid Portfolio Management", José Carlos Gonçalves Dias, Projecto final, Concluída, 2015

Miguel Seixas do Val Ferreira, "Decomposition of a Financial Structured Product "Lloyds double up", José Carlos Gonçalves Dias, Projecto final, Concluída, 2014

Carolina Albardeiro Santana, "Modelos de Risco de Crédito: Análise de Telecoms Europeias e Bancos Americanos", José Carlos Gonçalves Dias, Projecto final, Concluída, 2014

Mário António Limede, "Modelos de Avaliação de Risco de Crédito - Análise e Aplicação", José Carlos Gonçalves Dias, Projecto final, Concluída, 2013

Pedro Marzagão Barbuto, "LSMC for Pricing American Options under the Heston Model", José Carlos Gonçalves Dias, Projecto final, Concluída, 2013

Paulo Fernando Marques Ferreira, "Evaluating Investment Opportunities under Different Model Dynamics: Some Managerial Insights", José Carlos Gonçalves Dias, Projecto final, Concluída, 2012

João de Andrade Dias da Costa, "Carbon Markets and Emission Derivaties - pricing of derivatives in the EU ETS", José Carlos Gonçalves Dias, Projecto final, Concluída, 2012

Carla Alexandra Botas Prates, "Pricing and Hedging Volatility Options.", José Carlos Gonçalves Dias, Projecto final, Concluída, 2011

Jorge Manuel Duque de Oliveira, "Pricing Corporate Debt Risk Under The Cev Model.", José Carlos Gonçalves Dias, Projecto final, Concluída, 2011

Artigos Científicos em Revistas Internacionais

Glória, C. M., Dias, J. C. & Cruz, A. (N/A). Pricing levered warrants under the CEV diffusion model. Review of Derivatives Research. N/A, Ciência-IUL

Taborda, B., de Almeida, A., Dias, J. C., Batista, F. & Ribeiro, R. (N/A). SA-MAIS: Hybrid automatic sentiment analyser for stock market. Journal of Information Science. N/A, Ciência-IUL

Dias, J. C., Nunes, J. & Silva, F. C. (2024). Finite maturity caps and floors on continuous flows under the constant elasticity of variance process. European Journal of Operational Research., Ciência-IUL

Fernandes, M. C, Dias, J. C. & Nunes, J. (2023). Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features. Journal of Futures Markets. N/A, Ciência-IUL

Dutra, T. M., Teixeira, J. C. A. & Dias, J. C. (2023). The effect of political institutions on the interplay between banking regulation and banks’ risk. Journal of Banking Regulation. N/A, Ciência-IUL

Dutra, T. M., Teixeira, J. C. A. & Dias, J. C. (2023). Banking regulation and banks’ risk-taking behavior: The role of investors’ protection. The Quarterly Review of Economics and Finance. 90, 124-148, Ciência-IUL

Fernandes, M. C, Dutra, T. M., Dias, J. C. & Teixeira, J. C. A. (2023). Modelling output gaps in the Euro Area with structural breaks: The COVID-19 recession. Economic Analysis and Policy. 78, 1046-1058, Ciência-IUL

Proença, C., Neves, M., Dias, J. C. & Martins, P. (2022). Determinants of sovereign debt ratings in clusters of European countries – effects of the crisis. Journal of Financial Economic Policy. 14 (3), 403-427, Ciência-IUL

Dutra, T. M., Dias, J. C. & Teixeira, J. C. A. (2022). Measuring financial cycles: Empirical evidence for Germany, United Kingdom and United States of America. International Review of Economics and Finance. 79, 599-630, Ciência-IUL

Kravchenko, I., Kravchenko, V. V., Torba, S. M. & Dias, J. C. (2022). Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing. Journal of Mathematical Sciences. 266, 353-377, Ciência-IUL

Larguinho, M., Dias, J. C. & Braumann, C. A. (2022). Pricing and hedging bond options and sinking-fund bonds under the CIR model. Quantitative Finance and Economics. 6 (1), 1-34, Ciência-IUL

Fernandes, M. C, Dias, J. C. & Nunes, J. (2021). Modeling energy prices under energy transition: A novel stochastic-copula approach. Economic Modelling . 105, Ciência-IUL

Nunes, J., Ruas, J. & Dias, J. C. (2020). Early exercise boundaries for American-style knock-out options. European Journal of Operational Research . 285 (2), 753-766, Ciência-IUL

Dias, J. C., Nunes, J. & Cruz, A. (2020). A note on options and bubbles under the CEV model: Implications for pricing and hedging. Review of Derivatives Research. 23 (3), 249-272, Ciência-IUL

Cruz, A. & Dias, J. C. (2020). Valuing American-style options under the CEV model: an integral representation based method. Review of Derivatives Research. 23 (1), 63-83, Ciência-IUL

Nunes, J. P. V., Dias, J. C. & Ruas, J. P. (2020). The early exercise boundary under the jump to default extended CEV model. Applied Mathematics and Optimization. 82 (1), 151-181, Ciência-IUL

Kravchenko, I., Kravchenko, V. V., Torba, S. M. & Dias, J. C. (2019). Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. International Journal of Theoretical and Applied Finance. 22 (6), Ciência-IUL

Dias, J. C. & Nunes, J. P. V. (2018). Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral x2 random variable. European Journal of Operational Research . 265 (2), 559-570, Ciência-IUL

Cruz, A. & Dias, J. C. (2017). The binomial CEV model and the Greeks. Journal of Futures Markets. 37 (1), 90-104, Ciência-IUL

Ruas, J. P., Nunes, J. P. V. & Dias, J. C. (2016). In-out parity relations for American-style barrier options. Journal of Derivatives. 23 (4), 20-32, Ciência-IUL

Dias, J. C., Nunes, J. P. V. & Ruas, J. P. (2015). Pricing and static hedging of european-style double barrier options under the jump to default extended CEV model. Quantitative Finance. 15 (12), 1995-2010, Ciência-IUL

Nunes, J., Ruas, J. & Dias, J. C. (2015). Pricing and static hedging of American-style knock-in options on defaultable stocks. Journal of Banking and Finance. 58, 343-360, Ciência-IUL

Ruas, J. P., Dias, J. C. & Nunes, J. (2013). Pricing and static hedging of American-style options under the jump to default extended CEV model. Journal of Banking and Finance. 37 (11), 4059-4072, Ciência-IUL

Larguinho, M., Dias, J. C. & Braumann, C. A. (2013). On the computation of option prices and Greeks under the CEV Model. Quantitative Finance. 13 (6), 907-917, Ciência-IUL

Dias, J. C. & Shackleton, M. B. (2011). Hysteresis effects under CIR interest rates. European Journal of Operational Research. 211 (3), 594-600, Ciência-IUL

Dias, J. C. & Nunes, J. P. (2011). Pricing real options under the constant elasticity of variance diffusion. Journal of Futures Markets. 31 (3), 230-250, Ciência-IUL

Dias, J. C. & Shackleton, M. B. (2009). Durable vs. disposable equipment choice under interest rate uncertainty. European Journal of Finance. 15 (2), 157-167, Ciência-IUL

Livros

Dias, J. C. (2014). Hysteresis: Types, Applications and Behavior Patterns in Complex Systems., Ciência-IUL

Capítulos de Livros

Dias, J. C., Larguinho, M. & Braumann, C.A. (2014). Valuation of Bond Options under the CIR Model: Some Computational Remarks. In Pacheco, A., Santos, R., Oliveira, M.R., and Paulino, C.D. (Ed.), New Advances in Statistical Modeling and Applications, Studies in Theoretical and Applied Statistics. (pp. 125-133).: Springer., Ciência-IUL

Dias, J. C. & Larguinho, M. (2014). Hysteresis Effects and First Passage Time Densities under Alternative Modeling Architecture Assumptions. In Dias, J.C. (Ed.), Hysteresis: Types, Applications and Behavior Patterns in Complex Systems. (pp. 1-17). New York / USA: Nova Science Publishers., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2012). Absolute Diffusion Process: Sensitivity Measures. In Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications, Studies in Theoretical and Applied Statistics. (pp. 233-241).: Springer., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2012). A Note on (Dis)Investment Options and Perpetuities under CIR Interest Rates. In Recent Developments in Modeling and Applications in Statistics, Studies in Theoretical and Applied Statistics. (pp. 203-211).: Springer., Ciência-IUL

Edição de livro científico

Dias, J. C. (2014). Hysteresis: Types, Applications and Behavior Patterns in Complex Systems. New York / USA. Nova Science Publishers., Ciência-IUL

Comunicações internacionais

Convidado

Dias, J. C. (2023). Caps, Floors and Collars Contractual Agreements and Optimal Investment Decisions. 1st SDE - Stochastic Days Encounters: Applications of Stochastic Differential Equations., Ciência-IUL

Dias, J. C. & Nunes, J. (2017). Valuation of Lookback Options and Turbo Warrants on Defaultable Stocks. XXIII Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL

Painel / Poster

Dias, J. C., Kravchenko, I. V. , Kravchenko, V. V. & Torba, S. M. (2018). Application of the Transmutation Operators to Parabolic Boundary and Free Boundary Problems. 10th World Congress of the Bachelier Finance Society., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2011). Análise da Distribuição Chi-Quadrado Não Central na Avaliação de Opções Europeias num Processo de Difusão CIR. XIX Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2010). Comparação Numérica de Métodos de Cálculo das Perpetuidades sob a Difusão CIR. XVIII Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2009). Processo Estocástico de Difusão Absoluta: Medidas de Sensibilidade. XVII Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL

Apresentação oral

Fernandes, M. C, Dias, J. C. & Nunes, J. (2023). The Behaviour of Stochastic Volatility in Energy Futures Contracts with the COVID- 19 and the Russia–Ukraine Conflict. 12th International Conference of the Financial Engineering and Banking Society., Ciência-IUL

Dias, J. C., Nunes, J., Ruas, J. & Silva, F. C. (2023). Optimal Investment Decisions with Minimum Price Guarantees under the Constant Elasticity of Variance Process. 26th International Conference on Real Options., Ciência-IUL

Dias, J. C., Nunes, J., Ruas, J. & Silva, F. C. (2023). Optimal Investment Decisions with Minimum Price Guarantees under the Constant Elasticity of Variance Process. 12th International Conference of the Portuguese Finance Network., Ciência-IUL

Dias, J. C., Nunes, J. & Silva, F. C. (2022). Finite Maturity Caps and Floors on Continuous Flows under the CEV Process. Informs Annual Meeting., Ciência-IUL

Dutra, T. M., Teixeira, J. C. A. & Dias, J. C. (2022). Banking Regulation and Banks' Risk-Taking Behavior: The Role of Investors' Protection. 31st European Financial Management Association (EFMA) Conference., Ciência-IUL

Dutra, T. M., Dias, J. C. & Teixeira, J. C. A. (2022). Measuring Financial Cycles: Empirical Evidence for Germany, United Kingdom and United States of America. 29th Annual Global Finance Conference., Ciência-IUL

Reis, J. & Dias, J. C. (2022). Dynamic Debt with Intensity Based Models. 29th Annual Global Finance Conference., Ciência-IUL

Dias, J. C., Nunes, J. & Silva, F. C. (2022). Finite Maturity Caps and Floors on Continuous Flows under the CEV Process. 19th EUROPT Workshop on Advances in Continuous Optimization., Ciência-IUL

Fernandes, M. C, Dias, J. C. & Nunes, J. (2022). Modeling Energy Futures Prices Under Alternative Time-Varying Volatility Dynamics. 29th Annual Global Finance Conference., Ciência-IUL

Dutra, T. M., Teixeira, J. C. A. & Dias, J. C. (2022). The Effect of Political Institutions on the Interplay Between Banking Regulation and Banks' Risk. International Society for the Advancement of Financial Economics (ISAFE)., Ciência-IUL

Gloria, C. M., Dias, J. C., Ruas, J. & Nunes, J. (2022). The Interaction Between Equity-Based Compensation and Debt in Managerial Risk Choices. Paris Financial Management Conference., Ciência-IUL

Dias, J. C., Ildefonso, J., Nunes, J. & Ruas, J. (2021). Repeated Richardson Extrapolation and Static Hedging of Barrier Options under the JDCEV Model. 11th International Conference of the Portuguese Finance Network., Ciência-IUL

Gloria, C. M., Dias, J. C. & Cruz, A. (2021). Pricing Levered Warrants under the CEV Diffusion Model. 11th International Conference of the Portuguese Finance Network., Ciência-IUL

Dutra, T. M., Teixeira, J. C. A. & Dias, J. C. (2021). Banking Regulation and Banks' Risk-Taking Behavior: The Role of Investors' Protection. 11th International Conference of the Portuguese Finance Network., Ciência-IUL

Fernandes, M. C, Dias, J. C. & Nunes, J. (2021). Modeling Electricity and Natural Gas Prices under the Electrification of Energy Firms. 14th Annual Meeting of the Portuguese Economic Journal., Ciência-IUL

Fernandes, M. C, Dias, J. C. & Nunes, J. (2021). Modeling Commodity Prices under Alternative Jump Processes and Fat Tails Dynamics. 11th International Conference of the Portuguese Finance Network., Ciência-IUL

Kravchenko, I., Kravchenko, V. V., Torba, S. M. & Dias, J. C. (2019). A Numerical Method Based on Transmutation Operators for (Free) Boundary Problems Arising in Mathematical Finance. XXIV Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL

Dias, J. C. (2019). A Note on the Loss of the Martingale Property under the CEV Process. XXIV Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL

Dias, J. C. (2019). A Note on the Loss of the Martingale Property under the CEV Process. VI Workshop on Computational Data Analysis and Numerical Methods., Ciência-IUL

Ruas, J., Nunes, J. & Dias, J. C. (2018). Early Exercise Boundaries for American-style Knock-Out Options. 10th World Congress of the Bachelier Finance Society., Ciência-IUL

Dias, J. C., Kravchenko, I. V. , Kravchenko, V. V. & Torba, S. M. (2018). Generalized Exponential Basis for Efficient Solving of Homogeneous Diffusion Free Boundary Problems: Russian Option Pricing. 10th World Congress of the Bachelier Finance Society., Ciência-IUL

Dias, J. C., Kravchenko, I. V. , Kravchenko, V. V. & Torba, S. M. (2018). Pricing Double Barrier Options on Homogeneous Diffusions: A Neumann Series of Bessel Functions Representation. 10th International Conference of the Portuguese Finance Network., Ciência-IUL

Dias, J. C., Larguinho, M. & Braumann, C.A. (2018). Entry and Exit Decisions under Uncertainty for a Generalized Class of One-Dimensional Diffusions. 10th International Conference of the Portuguese Finance Network., Ciência-IUL

Dias, J. C. & Nunes, J. (2018). Valuation of Lookback Options and Turbo Warrants on Defaultable Stocks. 12th Workshop on Statistics, Mathematics and Computation., Ciência-IUL

Dias, J. C. & Nunes, J. (2018). Valuation of Lookback Options and Turbo Warrants on Defaultable Stocks. 10th International Conference of the Portuguese Finance Network., Ciência-IUL

Dias, J. C., Laureano, L. & Nunes, J. (2017). Corporate Security Valuation under a Barrier Option Framework with State-Dependent Volatility. 5th Paris Financial Management Conference., Ciência-IUL

Leite, J., Dias, J. C. & Nunes, J. (2017). Computation of Three Discrete Distribution Mixtures of Continuous Distributions: Stability Analysis. 11th International Conference on Computational and Financial Econometrics., Ciência-IUL

Leite, J., Dias, J. C. & Nunes, J. (2017). Cálculo Computacional de Misturas Discretas de Distribuições Contínuas: Revisão do Método de Benton e Krishnamoorthy. XXIII Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL

Kravchenko, I. V. , Kravchenko, V. V., Torba, S. M. & Dias, J. C. (2017). Application of the Transmutation Operators to Parabolic Free Boundary Problems. A Numerical Method. INFORMS Annual Meeting., Ciência-IUL

Proença, C., Dias, J. C. & Neves, E. (2017). Determinants of Sovereign Debt Ratings: Effects of the Crisis. XVI Congresso Internacional de Contabilidade e Auditoria., Ciência-IUL

Dias, J. C. & Nunes, J. (2017). Valuation of Lookback Options and Turbo Warrants on Defaultable Stocks. 2nd International Conference on Computational Finance., Ciência-IUL

Dias, J. C. & Nunes, J. (2016). Valuation of Lookback Options and Turbo Warrants on Defaultable Stocks. 9th World Congress of the Bachelier Finance Society., Ciência-IUL

Dias, J. C., Larguinho, M. & Braumann, C.A. (2016). Pricing and Hedging Bond Options and Sinking-Fund Bonds under the CIR Framework. 23rd International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management., Ciência-IUL

Nunes, J., Dias, J. C. & Ruas, J. (2016). The Early Exercise Boundary under the Jump to Default Extended CEV Model. 9th World Congress of the Bachelier Finance Society., Ciência-IUL

Dias, J. C., Larguinho, M. & Braumann, C.A. (2015). Entry and Exit Decisions under Output Price Uncertainty: A Generalized Class of One-Dimensional Diffusions. 19th International Conference on Real Options., Ciência-IUL

Nunes, J., Ruas, J. & Dias, J. C. (2014). Static Hedging and Early Exercise Boundaries for American-style Barrier Options. 8th World Congress of the Bachelier Finance Society., Ciência-IUL

Dias, J. C., Nunes, J. & Ruas, J. (2014). Pricing and Static Hedging of American-style Double Knock-In Options. Mathematical Finance Workshop: Stochastic Analysis and Numerical Approximations in Mathematical Finance., Ciência-IUL

Dias, J. C., Nunes, J. & Ruas, J. (2014). Pricing and Static Hedging of European-style Double Barrier Options under the Jump to Default Extended CEV Model. 8th International Conference of the Portuguese Finance Network., Ciência-IUL

Dias, J.C., Nunes, J.P. & Ruas, J. P. (2013). In-Out Parity Relations and Early Exercise Boundaries for American-Style Barrier Options. FMA 17th European Conference., Ciência-IUL

Dias, J.C., Nunes, J.P. & Ruas, J. P. (2013). Pricing and Static Hedging of American Options under the Jump to Default Extended CEV Model. FMA 17th European Conference., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2012). Medidas de Sensibilidade para Opções sobre Obrigações sob o Modelo CIR. XX Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL

Dias, J.C. & Nunes, J.P. (2012). Truncated Moments of a Noncentral ?2 Random Variable: An Extension of the Benton and Krishnamoorthy Approach. XX Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL

Dias, J.C., Nunes, J.P. & Ruas, J. P. (2012). Pricing and Static Hedging of American Options under the Jump to Default Extended CEV Model. INFORMS Annual Meeting., Ciência-IUL

Dias, J.C. & Nunes, J.P. (2012). The Valuation of Double Barrier Options under Multifactor Pricing Models. Mathematical Finance Days Conference., Ciência-IUL

Dias, J.C. & Nunes, J.P. (2012). Pricing Double Barrier Options under the CEV Process: A Speed-Accuracy Comparison of Alternative Methods. 7th World Congress of the Bachelier Finance Society., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2012). Bond Options, Sensitivity Measures, and Sinking-Fund Bonds under the CIR Framework. 7th International Conference of the Portuguese Finance Network., Ciência-IUL

Dias, J.C. & Nunes, J.P. (2012). The Valuation of Double Barrier Options under Multifactor Pricing Models. 7th International Conference of the Portuguese Finance Network., Ciência-IUL

Dias, J.C. & Nunes, J.P. (2012). The Valuation of Double Barrier Options under Multifactor Pricing Models. SIAM Conference on Financial Mathematics & Engineering., Ciência-IUL

Dias, J.C. & Nunes, J.P. (2011). Double Barrier Options Valuation under Multifactor Pricing Models. 21st Annual Derivatives Securities and Risk Management Conference., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2011). Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model. Mathematical Finance Days Conference., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2011). Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model. 18th International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management., Ciência-IUL

Dias, J.C. & Nunes, J.P. (2011). The Valuation of Double Barrier Options under Multifactor Pricing Models. International Conference on Mathematical Finance and Economics., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2011). Valuation of Non-Central Chi-Square Distribution Methods for Options On Zero Coupon Bonds under The CIR Diffusion. 16th Congresso da AECA., Ciência-IUL

Dias, J.C. & Nunes, J.P. (2010). Double Barrier Options Valuation under Multifactor Pricing Models. 6th World Congress of the Bachelier Finance Society., Ciência-IUL

Dias, J.C., Larguinho, M. & Braumann, C.A. (2010). Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging. 6th International Conference of the Portuguese Finance Network., Ciência-IUL

Dias, J.C. & Shackleton, M. B (2009). Investment Hysteresis and Hitting Time for Mean-Reverting CIR Diffusions. 13th International Conference on Real Options., Ciência-IUL

Dias, J.C. & Nunes, J.P. (2008). Pricing Real Options under the CEV Diffusion. 5th International Conference of the Portuguese Finance Network., Ciência-IUL

Dias, J.C. & Nunes, J.P. (2008). Pricing Real Options under the CEV Diffusion. 12th International Conference on Real Options., Ciência-IUL

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