Raquel M Gaspar

2 Articles in international journals with referee

Default propensity implicit in pulled to par VaR for bonds
M. Esquível, R. M. Gaspar and J. B. Sousa
Discussiones Mathematicae: Probability and Statistics, to appear (2017).

On Swap Rate Dynamics: To Freeze or Not to Freeze?
R. M. Gaspar and R. Pimentel
International Journal of Computer Mathematics, to appear (2017).

1 Books - editor

Mean-Variance Theory: applications and risks
R. M. Gaspar
AEdition ISBN: 978-989-20-9276-8, (2018).

4 Preprints

Accuracy of European Stock Target Prices
J. Almeida and R. M. Gaspar
preprint (2020). PDF

Investors' perspective on portfolio insurance: expected utility versus prospect theories
R. M. Gaspar and P. M. Silva
preprint (2019). PDF

Pulled-to-par returns for zero coupon bonds: historical simulation value-at-risk
and M. Esquível
preprint (2019). PDF

On path-dependency of constant proportion portfolio insurance strategies
J. Carvalho and R. M. Gaspar
preprint (2018). PDF