Groups & Publications

Groups & Publications

Curriculum Vitae

Profile

Personal

Name João Pedro Vidal Nunes
Department Department of Finance
Category Full Professor
Research group Finance
Last update 2013-07-23 18:06:43

Teaching and Research Interests

  • Option Pricing Interest rate models Exotic options and Structured products Stochastic calculus

Qualifications

Type Course Institution Year
Doctorate degree Gestão University of Warwick 2000
Master degree Economia Instituto Superior de Economia e Gestão - UTL 1994
Undergraduate degree Organização e Gestão de Empresas ISCTE-IUL - Instituto Superior Ciências Trabalho e da Empresa 1990

Contacts

E-mail
OfficeD5.31
Post box103-A
Phone217650526
DeGóis ResumeVisit the DeGóis curriculum
Ciência-IUL ProfileVisit Ciência-IUL Profile

Academic activities

Courses

"Corporate Finance for Lawyers" (Coordinator)
"Continuous-Time Finance" (Coordinator)
"Investments" (Coordinator)
"Modelos, Estrutura Temporal E Taxa De Juro" (Coordinator)
"Exotic Options" (Coordinator)

Supervisions

PhD Thesis

João Pedro Ruas, "Three Essays on the Valuation of American-style Options", João Pedro Vidal Nunes, PhD Thesis, Concluded, 2013

Master Thesis

Inês Sofia Morais Ferreira, "Opções sobre commodities ", João Pedro Vidal Nunes, Master Thesis, Concluded, 2016
Bruno Filipe Soares dos Santos Sousa, "Credit Valuation Adjustment ", João Pedro Vidal Nunes, Master Thesis, Concluded, 2016
Ricardo Nuno Santos Aleixo de Matos, "Stochestic Volatility Jump-diffusion Models us time-changed levy Processes", João Pedro Vidal Nunes, Master Thesis, Concluded, 2014
Pedro Simões Oliveira, "The corvolution method for princing American options under levy processes", João Pedro Vidal Nunes, Master Thesis, Concluded, 2014
Igor Viktorovich Kravchenko, "Barrier Option Pricing Via Heston Model", João Pedro Vidal Nunes, Master Thesis, Concluded, 2013
Sara Alexandra da Costa Veloso, "O Modelo Fiscal de Avaliação de Prédios Urbanos e o Ciclo Económico do País", João Pedro Vidal Nunes, Master Thesis, Concluded, 2013

Final Project

Margarida Dinis Silvestre, "Pateo Wine Bar & Heritage Shop", João Pedro Vidal Nunes, Final Project, Concluded, 2012
Sara Isabel Poço Ramos, "Decomposição, Avaliação e Hedging de um Produto Estruturado", João Pedro Vidal Nunes, Final Project, Concluded, 2012
Tiago Miguel Vargas Tavares, "Modelos de Taxa de Juro após a Crise de Crédito e Liquidez", João Pedro Vidal Nunes, Final Project, Concluded, 2012
Iva Bagic, "Singue and Combined Option Trading Strategies. ", João Pedro Vidal Nunes, Final Project, Concluded, 2011
William Hilebrand, "The Valuation of Callable Defaultable Bonds. ", João Pedro Vidal Nunes, Final Project, Concluded, 2011
Arne Neumann, "Assembly and Preparation for the Derivative Market - A Convenience Comparison Between Financial Options and Futures with View to the Eurex and Liffe. ", João Pedro Vidal Nunes, Final Project, Concluded, 2011
Luís Filipe Dôres Veiga, "", João Pedro Vidal Nunes, Final Project, Concluded, 2011
Jorge Alexandre Rodrigues Domingues, "", João Pedro Vidal Nunes, Final Project, Concluded, 2011
Filipa Isabel Ferreira Alcaide, "Covered Bond Market - Is Legislation Impact Measurable? ", João Pedro Vidal Nunes, Final Project, Concluded, 2011
Maria da Graça Teixeira Duarte de Aguiar Câmara, "O Efeito Smile - Uma Aplicação ao DAX. ", João Pedro Vidal Nunes, Final Project, Concluded, 2010
Cláudia Patrícia Gonçalves Simões, "Euro Área Inflation-Linked Bonds Market: Analysis and immunization abilities. ", João Pedro Vidal Nunes, Final Project, Concluded, 2010
Diogo Monteiro da Costa Soares Justino, "Hedging of Barrier Options. ", João Pedro Vidal Nunes, Final Project, Concluded, 2010
Aloísio Bragança Gomes Will, "Ambidiesel - Produção de Combustíveis Alternativos.", João Pedro Vidal Nunes, Final Project, Concluded, 2010
Carina Sofia Ferreira da Silva, "O Mercado Organizado de CO2 - Oportunidade de Investimento e Melhoria do Ambiente Compatíveis?", João Pedro Vidal Nunes, Final Project, Concluded, 2009
Fernando Manuel de Deus Infante, "Basileia II: Análise das Implicações do Pilar 2 na Organização do Processo de Supervisão.", João Pedro Vidal Nunes, Final Project, Concluded, 2009

Scientific Activities

Scientific Articles in International Journals

Nunes, J. & Alcaria, T. (2016). Valuation of forward start options under affine jump-diffusion models. Quantitative Finance. 16 (5), 727-747, Ciência-IUL, Indexada (SCOPUS/ISI)
Ruas, J., Nunes, J. & Dias, J. C. (2016). In-out parity relations for American-style barrier options. Journal of Derivatives. 23 (4), 20-32, Ciência-IUL, Indexada (SCOPUS/ISI)
Dias, J. C., Nunes, J. & Ruas, J. (2015). Pricing and static hedging of european-style double barrier options under the jump to default extended CEV model. Quantitative Finance. 15 (12), 1995-2010, Ciência-IUL, Indexada (SCOPUS/ISI)
Nunes, J., Ruas, J. & Dias, J. C. (2015). Pricing and static hedging of American-style knock-in options on defaultable stocks. Journal of Banking and Finance. 58, 343-360, Ciência-IUL, Indexada (SCOPUS/ISI)
Oliveira, L., Nunes, J. & Malcato, L. (2014). The performance of deterministic and stochastic interest rate risk measures: another question of dimensions?. Portuguese Economic Journal. 13 (3), 141-165, Ciência-IUL, Indexada (SCOPUS/ISI)
Nunes, J. & Prazeres, P. (2014). Pricing swaptions under multifactor gaussian HJM models. Mathematical Finance. 24 (4), 762-789, Ciência-IUL, Indexada (SCOPUS/ISI)
Ruas, J. P., Dias, J. C. & Nunes, J. (2013). Pricing and static hedging of American-style options under the jump to default extended CEV model. Journal of Banking and Finance. 37 (11), 4059-4072, Ciência-IUL, Indexada (SCOPUS/ISI)
Oliveira, L., Nunes, J. & Curto, J. (2012). The determinants of sovereign credit spreads in the euro-zone. Journal of International Financial Markets, Institutions & Money. 22 (2), 278-304, Ciência-IUL, Indexada (SCOPUS/ISI)
Dias, J. C. & Nunes, J. P. (2011). Pricing real options under the constant elasticity of variance diffusion. Journal of Futures Markets. 31 (3), 230-250, Ciência-IUL, Indexada (SCOPUS/ISI)
Nunes, J. P. V. (2011). American options and callable bonds under stochastic interest rates and endogenous bankruptcy. Review of Derivatives Research. 14 (3), 283-332, Ciência-IUL, Indexada (SCOPUS/ISI)
Nunes, J. (2009). Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy. Journal of Financial and Quantitative Analysis. 44, 1231-1263, Ciência-IUL, Indexada (SCOPUS/ISI)
Oliveira, L. & Nunes, J. (2007). Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option. Journal of Futures Markets. 27, 275-303, Ciência-IUL
Nunes, J. (2006). Barrier Options on Spot LIBOR Rates under Multi-Factor Gaussian HJM Models. Journal of Derivatives. 14, 61-81, Ciência-IUL, Indexada (SCOPUS)
Nunes, J. (2004). Multi-Factor Valuation of Floating Range Notes. Mathematical Finance. 14, 79-97, Ciência-IUL, Indexada (SCOPUS/ISI)
Nunes, J. (2004). A General Equilibrium Framework for the Affine Class of Term Structure Models. Portuguese Economic Journal. 3, 15-48, Ciência-IUL
Nunes, J., Pereira da Silva, C. & Cadete, J. (2003). The Immunisation of a Workers' Compensation Fund. Bulletin of the Portuguese Institute of Actuaries. 42, 11-39, Ciência-IUL
Nunes, J., Clewlow, L. & Hodges, S. (1999). Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach. Review of Derivatives Research. 3, 5-66, Ciência-IUL, Indexada (SCOPUS)
Nunes, J. (1998). Interest Rate Options in a Duffie-Kan Model with Deterministic Volatility. Portuguese Review of Financial Markets. 1, 63-101, Ciência-IUL

Books

Mota, A., Barroso, C., Nunes, J., Miguel A. Ferreira & Oliveira, L. (2012). Finanças da Empresa: Teoria e Prática . Lisboa/Portugal. Sílabo., Ciência-IUL
Mota, António, Barroso, C., Nunes, J. & Miguel A. Ferreira (2011). Finanças da Empresa Teoria e Prática. Portugal. Sílabo., Ciência-IUL

Other publications

Luís Alberto Ferreira de Oliveira, João Pedro Vidal Nunes (2012) "The Performance of Deterministic and Stochastic Interest Rate Risk Measures: Another Question of Dimension?", Oliveira, L. & Nunes, J. (2012). The Performance of Deterministic and Stochastic Interest Rate Risk Measures: Another Question of Dimension?. SSRN. 0-0, Ciência-IUL
Luís Alberto Ferreira de Oliveira, João Pedro Vidal Nunes (2008) "The Performance of Deterministic and Stochastic Interest Rate Risk Measures ", Oliveira, L. & Nunes, J. (2008). The Performance of Deterministic and Stochastic Interest Rate Risk Measures . SSRN. 0-0, Ciência-IUL

Printed in Scientific Book

Mota, A., Barroso, C., Nunes, J., Miguel A. Ferreira & Oliveira, L. (2012). Finanças da Empresa: Teoria e Prática . Lisboa/Portugal. Sílabo., Ciência-IUL
Mota, António, Barroso, C., Nunes, J. & Miguel A. Ferreira (2011). Finanças da Empresa Teoria e Prática. Portugal. Sílabo., Ciência-IUL

International Communications

Oral Presentation

Nunes, J., Dias, J. C. & Ruas, J. (2016). The Early Exercise Boundary under the Jump to Default Extended CEV Model. 9th World Congress of the Bachelier Finance Society., Ciência-IUL
Dias, J. C. & Nunes, J. (2016). Valuation of Lookback Options and Turbo Warrants on Defaultable Stocks. 9th World Congress of the Bachelier Finance Society., Ciência-IUL
Dias, J. C., Nunes, J. & Ruas, J. (2014). Pricing and Static Hedging of European-style Double Barrier Options under the Jump to Default Extended CEV Model. 8th International Conference of the Portuguese Finance Network., Ciência-IUL
Nunes, J., Ruas, J. & Dias, J. C. (2014). Static Hedging and Early Exercise Boundaries for American-style Barrier Options. 8th World Congress of the Bachelier Finance Society., Ciência-IUL
Dias, J. C., Nunes, J. & Ruas, J. (2014). Pricing and Static Hedging of American-style Double Knock-In Options. Mathematical Finance Workshop: Stochastic Analysis and Numerical Approximations in Mathematical Finance., Ciência-IUL
Dias, J.C., Nunes, J.P. & Ruas, J. P. (2013). Pricing and Static Hedging of American Options under the Jump to Default Extended CEV Model. FMA 17th European Conference., Ciência-IUL
Nunes, J. & Oliveira, L. (2013). The Performance of Deterministic and Stochastic Interest Rate Risk Measures: Another Question of Dimension?. FMA Europe 2013 Meeting., Ciência-IUL
Nunes, J. & Oliveira, L. (2013). The Performance of Deterministic and Stochastic Interest Rate Risk Measures: Another Question of Dimension?. 7th Annual Meeting of the Portuguese Economic Journal., Ciência-IUL
Dias, J.C., Nunes, J.P. & Ruas, J. P. (2013). In-Out Parity Relations and Early Exercise Boundaries for American-Style Barrier Options. FMA 17th European Conference., Ciência-IUL
Dias, J.C., Nunes, J.P. & Ruas, J. P. (2012). Pricing and Static Hedging of American Options under the Jump to Default Extended CEV Model. INFORMS Annual Meeting., Ciência-IUL
Nunes, J. & Ruas, J. (2012). The Implied Volatility Bias: A No-Arbitrage Approach for Short-Dated Options. EFMA 2012 Meeting., Ciência-IUL
Dias, J.C. & Nunes, J.P. (2012). The Valuation of Double Barrier Options under Multifactor Pricing Models. SIAM Conference on Financial Mathematics & Engineering., Ciência-IUL
Dias, J.C. & Nunes, J.P. (2012). Pricing Double Barrier Options under the CEV Process: A Speed-Accuracy Comparison of Alternative Methods. 7th World Congress of the Bachelier Finance Society., Ciência-IUL
Dias, J.C. & Nunes, J.P. (2012). Truncated Moments of a Noncentral ?2 Random Variable: An Extension of the Benton and Krishnamoorthy Approach. XX Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL
Nunes, J. & Prazeres, P. (2012). Pricing Swaptions under Multifactor Gaussian HJM Models. SIAM Conference on Financial Mathematics and Engeneering., Ciência-IUL
Nunes, J. & Prazeres, P. (2012). Pricing Swaptions under Multifactor Gaussian HJM Models. Mathematical Finance Days 2012 Meeting., Ciência-IUL
Dias, J.C. & Nunes, J.P. (2012). The Valuation of Double Barrier Options under Multifactor Pricing Models. 7th International Conference of the Portuguese Finance Network., Ciência-IUL
Dias, J.C. & Nunes, J.P. (2012). The Valuation of Double Barrier Options under Multifactor Pricing Models. Mathematical Finance Days Conference., Ciência-IUL
Dias, J.C. & Nunes, J.P. (2011). The Valuation of Double Barrier Options under Multifactor Pricing Models. International Conference on Mathematical Finance and Economics., Ciência-IUL
Dias, J.C. & Nunes, J.P. (2011). Double Barrier Options Valuation under Multifactor Pricing Models. 21st Annual Derivatives Securities and Risk Management Conference., Ciência-IUL
Dias, J.C. & Nunes, J.P. (2010). Double Barrier Options Valuation under Multifactor Pricing Models. 6th World Congress of the Bachelier Finance Society., Ciência-IUL
Dias, J.C. & Nunes, J.P. (2008). Pricing Real Options under the CEV Diffusion. 12th International Conference on Real Options., Ciência-IUL
Dias, J.C. & Nunes, J.P. (2008). Pricing Real Options under the CEV Diffusion. 5th International Conference of the Portuguese Finance Network., Ciência-IUL

Other Activities

Academic Management Positions

Subdirector do Departamento de Finanças (2014/2018)
Membro do Plenário da Comissão Científica da Escola de Gestão (2014/2018)
Membro da Comissão Permanente da Comissão Científica do Departamento de Finanças (2014/2018)
Coordenador de ECTS do Departamento de Finanças (2015/2018)
Coordenador da unidade curricular Investimentos (2017/2017)
Membro do Conselho Geral (2017/2021)
Director do Mestrado em Matemática Financeira (ISCTE/FCUL) (2017/2019)
Coordenador da unidade curricular Investimentos (2018/2018)