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Publications
Articles in Referred Academic Journals
"Pricing longevity derivatives via Fourier
transforms", Insurance: Mathematics and
Economics (forthcoming),
with Jorge Bravo.
"Early exercise boundaries for American-style
knock-out options", European Journal of Operational Research 285 (2020), 753-766, with João Pedro Ruas and José
Carlos Dias.
"A note on options and bubbles under the CEV
model: implications for pricing and hedging", Review of Derivatives
Research 23 (2020), 249–272, with José
Carlos Dias and Aricson Cruz.
"The early exercise boundary under the jump
to default extended CEV model", Applied Mathematics and Optimization 82 (2020), 151–181, with José Carlos Dias and João Ruas.
"Universal recurrence algorithm for computing
Nuttall, generalized Marcum and incomplete Toronto functions and moments of
a noncentral x2 random variable", European Journal of Operational
Research 265 (2018),
559-570, with José Carlos Dias.
"In-out parity relations for American-style
barrier options", Journal of Derivatives 23 (2016), 20-32, with João Ruas and José Carlos Dias.
"Valuation of Forward Start Options under
Affine Jump-Diffusion Models", Quantitative Finance 16 (2016), 727-747, with Tiago Alcaria.
"Pricing and Static Hedging of American-style
Knock-in Options on Defaultable Stocks", Journal of Banking and Finance 58 (2015), 343-360, with João Ruas and José Carlos Dias.
"Pricing and Static Hedging of European-style
Double Barrier Options under the Jump to Default Extended CEV Model", Quantitative Finance 15 (2015), 1995-2010, with José Carlos Dias and João Ruas.
"Pricing Swaptions
under Multifactor Gaussian HJM Models", Mathematical Finance 24 (2014), 762-789, with Pedro Prazeres.
"The Performance of Deterministic and
Stochastic Interest Rate Risk Measures: Another Question of Dimensions?", Portuguese Economic Journal 13 (2014),
141-165, with Luís Oliveira and Luís Malcato.
"Pricing and Static Hedging of American-style
Options under the Jump to Default Extended CEV Model", Journal of Banking and
Finance 37 (2013),
4059-4072, with João Ruas and José Carlos Dias.
"The determinants of sovereign credit spread
changes in the Euro-zone", Journal of International Financial Markets, Institutions and Money 22 (2012), 230-250, with Luís Oliveira and José
Dias Curto.
"American Options and Callable Bonds under Stochastic
Interest Rates and Endogenous Bankruptcy", Review of
Derivatives Research 14 (2011), 283-332.
"Pricing Real Options under the Constant
Elasticity of Variance Diffusion", Journal of Futures Markets 31 (2011), 230-250, with José Carlos Dias.
“Pricing American Options under
the Constant Elasticity of Variance Model and Subject to Bankruptcy”, Journal of Financial and Quantitative Analysis 44 (2009), 1231–1263.
"Multi-Factor and Analytical
Valuation of Treasury Bond Futures with an Embedded Quality Option", Journal of Futures Markets 27 (2007), 275-303, with Luís Oliveira.
"Barrier Options on Spot LIBOR
Rates under Multi-Factor Gaussian HJM Models", Journal of Derivatives Fall (2006), 61-81.
"Multi-Factor Valuation of
Floating Range Notes", Mathematical Finance 14 (2004), 79-97.
"A General Equilibrium Framework
for the Affine Class of Term Structure Models", Portuguese Economic Journal 3 (2004), 15-48.
"The Immunisation
of a Workers’ Compensation Fund", Bulletin of the Portuguese Institute of Actuaries 42 (2003), 11-39, with C. Pereira da Silva, and
J. Cadete.
"Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu
Pricing Approach", Review of Derivatives Research 3 (1999), 5-66, with Les Clewlow, and Stewart
Hodges.
"Interest Rate Options in a Duffie-Kan Model with Deterministic Volatility", Portuguese Review of Financial Markets 1 (1998), 63-101.
Books
Ferreira,
M., A. Gomes Mota, J. Nunes, e outros (1995): Gestão Financeira: Casos
Práticos, edições CEMAF.
Gomes
Mota, A., J. Nunes, e M. Ferreira (2004): Finanças Empresariais: Teoria e
Prática, Publisher Team.
Gomes
Mota, A., J. Nunes, M. Ferreira e C. Barroso (2012): Investimentos Financeiros:
Teoria e Prática, Publisher Team.
Working papers
"Early Exercise Boundaries for American-Style
Barrier Options", Working
paper, ISCTE-IUL Business School, with João Ruas, and José Carlos
Dias
"General Put-Call Symmetries for
American-Style Barrier Options", Working paper, ISCTE-IUL Business School, with João Ruas,
and José Carlos Dias.
"Static Hedging and Early Exercise Boundaries
for American-style Knock-Out Options", Working paper, ISCTE-IUL Business School, with João Ruas, and
José Carlos Dias.
Conference Presentations
French Financial Association Conference, “Interest
Rate Options in a Duffie-Kan Model with
Deterministic Volatility”, Grenoble, June 1997.
European Financial Management Association
Conference, “Interest Rate Derivatives in a Duffie
and Kan Model with Stochastic Volatility:
Application of Green's Functions”, Lisbon, June 1998.
French Financial Association Conference, “Interest
Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: Application of
Green's Functions”, Lille, July 1998.
European Finance Association Conference, “Interest
Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: Application of
Green's Functions”, Fontainebleau, August 1998.
Southern Finance Association Conference, “Interest
Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: Application of
Green's Functions”, Florida, November 1998.
Quantitative Methods in Finance Conference,
“Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: Application of
Green's Functions”, Sydney, December 1998.
Derivatives Securities Conference, “Kalman Filtering of Gaussian Exponential-Affine
LIBOR-Rate Models Using Caps and Swaptions”,
Boston, April 1999.
Financial Options Research Center Conference,
“Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu
Pricing Approach”, Warwick, July 1999.
European Finance Association Conference, “Kalman Filtering of Gaussian Exponential-Affine
LIBOR-Rate Models Using Caps and Swaptions”,
Helsinki, August 1999.
Math Week 2001 Europe Conference, “Valuation of
Interest Rate Path Dependent Options under Multi-Factor Gaussian HJM
Models”, London, November 2001.
Quantitative Methods in Finance Conference, “Valuation
of Interest Rate Path Dependent Options under Multi-Factor Gaussian HJM
Models”, Sydney, December 2001.
Portuguese Finance Network Conference, “Valuation
of Interest Rate Path Dependent Options under Multi-Factor Gaussian HJM
Models”, Évora, June 2002.
IEA 13th World Congress, “Multi-Factor Valuation of Floating Range
Notes”, Lisboa, September 2002.
DGF 2003 Conference, “Quasi-Analytical
Multi-Factor Valuation of Treasury Bond Futures with an Embedded Quality
Option”, Mainz, October 2003.
European Finance Association Conference,
“Multi-Factor and Analytical Valuation of Treasury Bond Futures with an
Embedded Quality Option”, Maastricht, August 2004.
International Conference on Stochastic Finance,
“Barrier Options on Spot LIBOR Rates under Multi-Factor Gaussian HJM
Models”, Lisbon, September 2004.
Derivatives Securities Conference, “A General
Characterization of the Early Exercise Premium”, Arlington, April 2006.
Bachelier Finance Society Conference, “A General
Characterization of the Early Exercise Premium”, Tokyo, August 2006.
EFMA Conference, “A General Characterization of
the Early Exercise Premium”, Vienna, June 2007.
Portuguese Finance Network Conference, “Analytical
Valuation of American Options under Stochastic Interest Rates: An Optimal Stopping
Approach”, Coimbra, July 2008.
Portuguese Finance Network Conference, “Pricing
Real Options under the CEV Diffusion”, Coimbra, July 2008.
Portuguese Finance
Network Conference, “The Determinants of Sovereign Credit Spread Changes in
the Euro-Zone”, Coimbra, July 2008.
Derivatives
Securities Conference, “Analytical Valuation of American Options and
Callable Bonds under Stochastic Interest Rates and Endogenous Bankruptcy”,
Arlington, April 2009.
Bachelier Finance Society
Conference, “Valuation of Forward Start Options under Affine Jump-Diffusion
Models”, Toronto, June 2010.
SIAM Conference on
Financial Mathematics and Engineering, “American Options and Callable Bonds
under Stochastic Interest Rates and Endogenous Bankruptcy”, San Francisco,
November 2010.
International Conference on Mathematical Finance
and Economics, “Valuation of Forward Start Options under Affine
Jump-Diffusion Models”, Istanbul, July 2011.
Mathematical Finance Days 2012 Meeting,
"Pricing Swaptions under Multifactor
Gaussian HJM Models", Montreal, Canada, May 2012
EFMA 2012 Meeting, "The Implied Volatility
Bias: A No-Arbitrage Approach for Short-Dated Options", Barcelona,
June 2012.
SIAM Conference on Financial Mathematics and Engeneering, "Pricing Swaptions
under Multifactor Gaussian HJM Models", Minneapolis, Minnesota, USA,
July 2012
FMA Europe 2013 Meeting, "The Performance of
Deterministic and Stochastic Interest Rate Risk Measures: Another Question
of Dimension?", Luxembourg, June 2013
7th Annual Meeting of the Portuguese Economic
Journal, "The Performance of Deterministic and Stochastic Interest
Rate Risk Measures: Another Question of Dimension?", Covilhã, July 2013
Bachelier Finance Society Conference, "Static Hedging
and Early Exercise Boundaries for American-style Barrier Options",
Brussels, June 2014
Bachelier Finance Society Conference, "The Early
Exercise Boundary under the Jump to Default Extended CEV Model", New
York, June 2016
Bachelier Finance Society Conference, " Early Exercise Boundaries for American-Style Knock-Out
Options", Dublin, July 2018
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