VIX pricing in the rBergomi model under a regime switching change of measure
H. Guerreiro and J. M. E. Guerra
Quantitative Finance, to appear (2023).
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
H. Guerreiro and J. M. E. Guerra
Journal of Computational Finance 26, 73-101 (2022).
Residue Sum Formula for Pricing Options under the Variance Gamma Model
P. Febrer and J. M. E. Guerra
Mathematics 9, 1143-1171 (2021).
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, 1-31 (2020).
Risk-Neutral Densities: Advanced Methods of Estimating Non-Normal Options Underlying Asset Prices and Returns
A. Santos and J. M. E. Guerra
Journal of Risk Model Validation 14, 41-64 (2020).
Multinomial method for option pricing under Variance Gamma
J. M. E. Guerra and N. Cantarutti
International Journal of Computer Mathematics 96, 1087-1106 (2019).
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 96, 2229-2244 (2019).
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).
Modelos de Cox-Ingersoll-Ross modi ficados, 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).
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).
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).
Beyond Brownian motion: topics on stochastic calculus for fractional Brownian motion and Lévy markets
J. M. E. Guerra
PhD Thesis, Universitat de Barcelona, (2009).
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).
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).
Optimal investment in non-homogeneous Lévy markets
J. M. Corcuera and J. M. E. Guerra
preprint (2007).
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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).