Manuel Guerra

Option pricing in exponential Lévy models with transaction costs

N. Cantarutti, M. Guerra, J. M. E. Guerra and M. R. Grossinho

*Journal of Computational Finance* 23, Number 4, 93-113 (2020).

Optimal stopping of one-dimensional diffusions with integral criteria

M. Guerra, C. Nunes and C. Oliveira

*Journal of Mathematical Analysis and Applications*, (2019).

The optimal stopping problem revisited

M. Guerra, C. Nunes and C. Oliveira

*Statistical Papers*, (2019).

Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model

R. A. Sousa, A. B. Cruzeiro and M. Guerra

*Journal of Computational and Applied Mathematics* 328, 197-213 (2018).

Hysteresis due to irreversible exit: Addressing the option to mothball

M. Guerra, P. M. Kort, C. Nunes and C. Oliveira

*Journal of Economic Dynamics and Control* 92, 69-83 (2018).

Exit option for a class of profit functions

M. Guerra, C. Nunes and C. Oliveira

*International Journal of Computer Mathematics* 94, 2178-2193 (2017).

Fréchet Generalized Trajectories and Minimizers for Variational Problems of Low Coercivity

M. Guerra and A. Sarychev

*Journal of Dynamical and Control Systems*, (2014).

Are quantile risk measures suitable for risk-transfer decisions?

M. Guerra and M. L. Centeno

*Insurance: Mathematics and Economics* 50, 446-461 (2012).

Optimal reinsurance for variance related premium calculation principles

M. Guerra and M. L. Centeno

*ASTIN Bulletin* 40, 63-87 (2010).

The optimal reinsurance strategy - the individual claim case

M. L. Centeno and M. Guerra

*Insurance: Mathematics and Economics* 46, 450-460 (2010).

Generalized solutions for singular optimal control problems

M. Guerra

*Journal of Mathematical Sciences* 156, No3, 440-567 (2009).

Measuring singularity of generalized minimizers for control-affine problems

M. Guerra and A. Sarychev

*Journal of Dynamical and Control Systems* 15, N.2, 177-221 (2009).

Generalized synthesis for singular nonlinear optimal control problems

M. Guerra

*Automation and Remote Control* 69, No4, 579-589 (2008).

Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria

M. Guerra and M. L. Centeno

*Insurance: Mathematics and Economics* 42, 529-539 (2008).

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).

Mathematical Control Theory and Finance

M. R. Grossinho, M. Guerra, A. Sarychev and A. Shiryaev

Springer, (2008).

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).

Stochastic dynamic programming and control of Markov processes

M. Guerra

*Novel methods in mathematical finance, Eds. M. Ehrhardt, M. Gunther, and J. ter Matten*, Springer, (2017).

Existence and Lipschitzian regularity for relaxed minimizers

M. Guerra and A. Sarychev

*in Mathematical Control Theory and Finance, Eds A. Sarychev et al.*, Springer, (2008).

Sturm-Liouville hypergroups without the compactness axiom

R. Sousa, M. Guerra and S. Yakubovich

* preprint* (2019).

The hyperbolic maximum principle approach to the construction of generalized convolutions

R. Sousa, M. Guerra and S. Yakubovich

* preprint* (2019).

Lévy processes with respect to the index Whittaker convolution

R. Sousa, M. Guerra and S. Yakubovich

* preprint* (2018).

On the product formula and convolution associated with the index Whittaker transform

R. Sousa, M. Guerra and S. Yakubovich

* preprint* (2018).

On the stochastic Lie algebra

M. Guerra and A. Sarychev

* preprint* (2018).

Black-Scholes equation for illiquid market

C. Oliveira and M. Guerra

* preprint* (2014).