Publications

João M E Guerra

9 Articles in international journals with referee

Option Pricing Under a Jump-Telegraph Diffusion Model with Jumps of Random size
J. Janela, J. M. E. Guerra and G. S. Silva
International Journal of Computer Mathematics, (2019).

Multinomial method for option pricing under Variance Gamma
J. M. E. Guerra and N. Cantarutti
International Journal of Computer Mathematics, to appear (2018).

Subjective Probability Density Functions from FX Option Prices: Predictive Power and Performance on a Carry Trade Strategy
A. Santos, J. M. E. Guerra and T. Neves
International Review of Finance, (2017).

Implied risk neutral densities from option prices: hypergeometric, spline, lognormal and edgeworth functions
A. Santos and J. M. E. Guerra
Journal of Futures Markets 35, 655-678 (2015).

Dynamic complex hedging in additive markets
J. M. Corcuera and J. M. E. Guerra
Quantitative Finance 10, 1023-1037 (2010).

Stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
J. M. E. Guerra and D. Nualart
Stochastic Analysis and Applications 26, 1053-1075 (2008).

Optimal investment in a Lévy market
J. M. Corcuera, J. M. E. Guerra, D. Nualart and W. Schoutens
Applied Mathematics and Optimization 53, 270-309 (2006).

The $1/H$-variation of the divergence integral with respect to the fractional Brownian motion for $H>1/2$ and fractional Bessel processes
J. M. E. Guerra and D. Nualart
Stochastic Processes and their Applications 115, 91-115 (2005).

One-particle spectral properties of 1D Mott-Hubbard insulators.
J. M. P. Carmelo, J. M. E. Guerra, J. M. B. L. dos Santos and A. H. C. Neto
Physical Review Letters 83, 3892-3895 (1999).


1 Articles in national journals with referee

Modelos de Cox-Ingersoll-Ross modificados, ergodicidade e estimação
A. Lacerda, C. Veiga, E. S. Ferreira and J. M. E. Guerra
Boletim do Instituto dos Actuários Portugueses 41, 109-123 (2002).


1 Articles in international journals without referee

Option Pricing in Exponential Lévy Models with Transaction Costs
N. Cantarutti, J. M. E. Guerra, M. Guerra and M. R. Grossinho
ECMI Newsletter 56, 79-80 (2014).


1 Articles in national journals without referee

Equações Diferenciais Estocásticas: alguns exemplos e aplicações em Finanças
J. M. E. Guerra and J. Nicolau
Boletim da Sociedade Portuguesa de Estatística Outono 2018, 31-39 (2018).


1 Theses

Beyond Brownian motion: topics on stochastic calculus for fractional Brownian motion and Lévy markets
J. M. E. Guerra
PhD Thesis, Universitat de Barcelona, (2009).


1 Chapters in international books with referee

Indifference pricing in a market with transaction costs and jumps
N. Cantarutti, J. M. E. Guerra, M. Guerra and M. R. Grossinho
Novel Methods in Computational Finance, Eds. M. Ehrhardt, M. Günther and E.J.W. ter Maten, Springer 25, 31-46 (2017).


1 Conference proceedings with referee

A Quadrature-Difference Method for systems of second order Fredholm Integro-Differential Equations
J. M. E. Guerra, J. Janela and G. S. Silva
Proceedings of the 17th International Conference on Mathematical Methods in Science and Engineering, CMMSE 2017 - Rota, Càdiz, Spain, Editor J. Vigo-Aguiar, CMMSE 3, 1085-1096 (2017).


3 Preprints

Option pricing in exponential Lévy models with transaction costs
N. Cantarutti, J. M. E. Guerra, M. Guerra and M. R. Grossinho
preprint (2016). PDF

Risk-Neutral Densities Estimation: performance of Non-Structural Methods in a "true" world marked by jumps in asset returns
A. Santos and J. M. E. Guerra
preprint (2015). PDF

Optimal investment in non-homogeneous Lévy markets
J. M. Corcuera and J. M. E. Guerra
preprint (2007). PDF


1 Manuscripts not intended for publication

Multiplier and inovation effect of the engineering & tooling sector in Portugal
N. Azevedo, J. Correia, J. M. E. Guerra, J. Kennedy, D. Pinheiro and R. Smits
81st European study group with industry, (2011).