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  • Search: person:"Nunes, Joaõ Pedro Vidal"
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Year of publication
Subject
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Option pricing theory 15 Optionspreistheorie 15 Theorie 9 Theory 9 Stochastic process 8 Stochastischer Prozess 8 Option trading 7 Optionsgeschäft 7 Derivat 5 Derivative 5 Yield curve 5 Zinsstruktur 5 CEV model 4 Volatility 4 Volatilität 4 Hedging 3 American options 2 Anleihe 2 Bond 2 Finance 2 Insolvency 2 Insolvenz 2 Interest rate risk 2 JDCEV model 2 Markov chain 2 Markov-Kette 2 Real options analysis 2 Realoptionsansatz 2 Static hedging 2 Statistical distribution 2 Statistische Verteilung 2 Zinsrisiko 2 2000-2004 1 Affine mortality models 1 Agency theory 1 Aktienoption 1 American-style knock-in options 1 American-style knock-out options 1 Applied probability 1 Asian calls 1
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Online availability
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Undetermined 9 Free 8
Type of publication
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Article 28 Book / Working Paper 13
Type of publication (narrower categories)
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Article in journal 22 Aufsatz in Zeitschrift 22 Bibliografie enthalten 1 Bibliography included 1 Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1 Thesis 1
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Language
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English 24 Undetermined 17
Author
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Nunes, Joaõ Pedro Vidal 23 Nunes, João Pedro Vidal 18 Dias, José Carlos 13 Oliveira, Luís 6 Ruas, João Pedro 6 Malcato, Luís 3 Oliveira, Luís Alberto Ferreira De 2 Silva, Fernando Correia da 2 Alcaria, Tiago 1 Bravo, Jorge Miguel Ventura 1 Clewlow, Les 1 Correia Fernandes, Mário 1 Cruz, Aricson 1 Curto, José Dias 1 Fernandes, Mário Correia 1 Glória, Carlos Miguel 1 Hodges, Stewart D. 1 Oliveira, Luís Alberto Ferreira de 1 Prazeres, Pedro Miguel Silva 1 Simão, José Carlos Dias 1
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Published in...
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Review of derivatives research 4 The journal of futures markets 4 European journal of operational research : EJOR 3 Journal of Futures Markets 2 Journal of banking & finance 2 Mathematical finance : an international journal of mathematics, statistics and financial theory 2 The journal of derivatives : the official publication of the International Association of Financial Engineers 2 Economic modelling 1 Finance research letters 1 Insurance / Mathematics & economics 1 Journal of Financial and Quantitative Analysis 1 Journal of financial and quantitative analysis : JFQA 1 Journal of international financial markets, institutions & money 1 Mathematical Finance 1 Portuguese economic journal 1
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Source
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ECONIS (ZBW) 35 RePEc 4 OLC EcoSci 2
Showing 1 - 10 of 41
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The interaction between equity-based compensation and debt in managerial risk choices
Glória, Carlos Miguel; Dias, José Carlos; Ruas, João … - In: Review of derivatives research 27 (2024) 3, pp. 227-258
Persistent link: https://www.econbiz.de/10015133986
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A note on the Gumbel convergence for the Lee and Mykland jump tests
Nunes, Joaõ Pedro Vidal; Ruas, João Pedro - In: Finance research letters 59 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014445402
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Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia; Dias, José Carlos; Nunes, … - In: The journal of futures markets 44 (2024) 3, pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
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Finite maturity caps and floors on continuous flows under the constant elasticity of variance process
Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Silva, … - In: European journal of operational research : EJOR 316 (2024) 1, pp. 361-385
Persistent link: https://www.econbiz.de/10014574043
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Novel analytic representations for caps, floors, collars, and exchange options on continuous flows, arbitrage-free relations, and optimal investments
Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Silva, … - 2024
Persistent link: https://www.econbiz.de/10015110747
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Pricing longevity derivatives via Fourier transforms
Bravo, Jorge Miguel Ventura; Nunes, Joaõ Pedro Vidal - In: Insurance / Mathematics & economics 96 (2021), pp. 81-97
Persistent link: https://www.econbiz.de/10012482752
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Modeling energy prices under energy transition : a novel stochastic-copula approach
Correia Fernandes, Mário; Dias, José Carlos; Nunes, … - In: Economic modelling 105 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10013367312
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Early exercise boundaries for American-style knock-out options
Nunes, Joaõ Pedro Vidal; Ruas, João Pedro; Dias, … - In: European journal of operational research : EJOR 285 (2020) 2, pp. 753-766
Persistent link: https://www.econbiz.de/10012239665
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A note on options and bubbles under the CEV model : implications for pricing and hedging
Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - In: Review of derivatives research 23 (2020) 3, pp. 249-272
Persistent link: https://www.econbiz.de/10012303226
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The Performance of Deterministic and Stochastic Interest Rate Risk Measures : Another Question of Dimension?
Oliveira, Luís - 2013
The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor Gauss-Markov HJM term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December...
Persistent link: https://www.econbiz.de/10013081545
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