Research Groups

Research Groups

Curriculum Vitae

Profile

Personal

Name José Carlos Gonçalves Dias
Department Department of Finance
Category Assistant Professor with "Agregação"
Research group Finance
Last update Undefined

Teaching and Research Interests

  • Option pricing
  • Exotic options
  • Real options
  • Credit risk

Contacts

E-mail
OfficeD5.21
Phone217903961
ORCID ProfileVisit ORCID Profile
Ciência-IUL ProfileVisit Ciência-IUL Profile

Academic activities

Courses

"Corporate Valuation (2nd Cycle)"
"Corporate Finance II (3rd Cycle)" (Coordinator)
"Futures and Option (Ele)" (Coordinator)
"Financial Management of Businesses and Projects I" (Coordinator)
"Financial Management of Businesses and Projects II" (Coordinator)
"Fundamentals of Computational Finance" (Coordinator)
"Capital Investment & Real Options" (Coordinator)
"Credit Risk" (Coordinator)
"Credit Risk and Operational" (Coordinator)
"Master Project in Finance" (Coordinator)

Supervisions

PhD Thesis

João Pedro Bento Ruas, "Three Essays on the Valuation of American-Style Options", José Carlos Gonçalves Dias, PhD Thesis, Concluded, 2013

Master Thesis

Sara Maria Correia Pereira, "Pricing of a Credit Default Swap", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2015
Carlos António Fernandes Casimiro, "Structural Models in Credit Risk", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2015
Filipe Luís Abraúl Rosa Gonçalves Pereira, "The Kim(1990) American Options Valuation Method: A comparative analysis", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2014
Marcelo Gomes Raposo dos Santos Pereira, "The Cyclical Behavior of Commodities and their Investment Benefits", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2013
Gustavo de Souza Barros, "Variable Volatility in Option Pricing", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2012
Ana Cristina dos Santos Oliveira, "Avaliação Da Qualidade Percebida Dos Serviços Académicos De Uma Universidade Portuguesa", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2012
Catarina Filipa Lopes Ramos, "Measuring Perceived Service Quality at Portuguese Helthcare Centres: The moderating effect of outsourcing a core activity", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2012

Final Project

Miguel Seixas do Val Ferreira, "Decomposition of a Financial Structured Product "Lloyds double up", José Carlos Gonçalves Dias, Final Project, Concluded, 2014
Carolina Albardeiro Santana, "Modelos de Risco de Crédito: Análise de Telecoms Europeias e Bancos Americanos", José Carlos Gonçalves Dias, Final Project, Concluded, 2014
Pedro Marzagão Barbuto, "LSMC for Pricing American Options under the Heston Model", José Carlos Gonçalves Dias, Final Project, Concluded, 2013
Mário António Limede, "Modelos de Avaliação de Risco de Crédito - Análise e Aplicação", José Carlos Gonçalves Dias, Final Project, Concluded, 2013
João de Andrade Dias da Costa, "Carbon Markets and Emission Derivaties - pricing of derivatives in the EU ETS", José Carlos Gonçalves Dias, Final Project, Concluded, 2012
Paulo Fernando Marques Ferreira, "Evaluating Investment Opportunities under Different Model Dynamics: Some Managerial Insights", José Carlos Gonçalves Dias, Final Project, Concluded, 2012
Carla Alexandra Botas Prates, "", José Carlos Gonçalves Dias, Final Project, Concluded, 2011

Scientific Activities

Scientific Articles in International Journals

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
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
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. Quantitative Finance., Ciência-IUL, Indexada (SCOPUS)
Dias, J.C., Larguinho, M. & Braumann, C.A. (2013). On the Computation of Option Prices and Greeks under the CEV Model. Quantitative Finance. 13 (6), 907-917, Ciência-IUL, Indexada (SCOPUS/ISI)
Ruas, J., Dias, J. & 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)
Dias, J.C. & Shackleton, M.B. (2011). Hysteresis Effects under CIR Interest Rates. European Journal of Operational Research . 211 (3), 594-600, 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)
Dias, J.C. & Shackleton, M.B. (2009). Durable vs. Disposable Equipment Choice under Interest Rate Uncertainty. European Journal of Finance. 15 (2), 157-167, Ciência-IUL, Indexada (SCOPUS/ISI)

Books

Dias, J. C. (2014). Hysteresis: Types, Applications and Behavior Patterns in Complex Systems. New York / USA. Nova Science Publishers., Ciência-IUL

Book Chapters

José Carlos Gonçalves Dias, Maria Manuela Larguinho, Carlos A. Braumann (2014) "Valuation of Bond Options under the CIR Model: Some Computational Remarks", SpringerDias, J. C., Larguinho, M. & Braumann, C.A. (2014). Valuation of Bond Options under the CIR Model: Some Computational Remarks. New Advances in Statistical Modeling and Applications, Studies in Theoretical and Applied Statistics. 125-133, Ciência-IUL
José Carlos Gonçalves Dias, Maria Manuela Larguinho (2014) "Hysteresis Effects and First Passage Time Densities under Alternative Modeling Architecture Assumptions", Nova Science PublishersDias, J. C. & Larguinho, M. (2014). Hysteresis Effects and First Passage Time Densities under Alternative Modeling Architecture Assumptions. Hysteresis: Types, Applications and Behavior Patterns in Complex Systems. 1-17, Ciência-IUL
José Carlos Gonçalves Dias, Maria Manuela Larguinho, Carlos A. Braumann (2012) "A Note on (Dis)Investment Options and Perpetuities under CIR Interest Rates", SpringerDias, J.C., Larguinho, M. & Braumann, C.A. (2012). A Note on (Dis)Investment Options and Perpetuities under CIR Interest Rates. Recent Developments in Modeling and Applications in Statistics, Studies in Theoretical and Applied Statistics. 203-211, Ciência-IUL
José Carlos Gonçalves Dias, Maria Manuela Larguinho, Carlos A. Braumann (2012) "Absolute Diffusion Process: Sensitivity Measures", SpringerDias, J.C., Larguinho, M. & Braumann, C.A. (2012). Absolute Diffusion Process: Sensitivity Measures. Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications, Studies in Theoretical and Applied Statistics. 233-241, Ciência-IUL

Printed in Scientific Book

Dias, J. C. (2014). Hysteresis: Types, Applications and Behavior Patterns in Complex Systems. New York / USA. Nova Science Publishers., Ciência-IUL

International Communications

Panel / Poster

Dias, J.C., Larguinho, M. & Braumann, C.A. (2011). Análise da Distribuição Chi-Quadrado Não Central na Avaliação de Opções Europeias num Processo de Difusão CIR. XIX Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL
Dias, J.C., Larguinho, M. & Braumann, C.A. (2010). Comparação Numérica de Métodos de Cálculo das Perpetuidades sob a Difusão CIR. XVIII Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL
Dias, J.C., Larguinho, M. & Braumann, C.A. (2009). Processo Estocástico de Difusão Absoluta: Medidas de Sensibilidade. XVII Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL

Oral Presentation

Dias, J. C., Larguinho, M. & Braumann, C.A. (2015). Entry and Exit Decisions under Output Price Uncertainty: A Generalized Class of One-Dimensional Diffusions. 19th International Conference on Real Options., 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. & 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.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. (2013). Pricing and Static Hedging of American Options under the Jump to Default Extended CEV Model. FMA 17th European Conference., 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
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., Larguinho, M. & Braumann, C.A. (2012). Bond Options, Sensitivity Measures, and Sinking-Fund Bonds under the CIR Framework. 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. & Ruas, J. P. (2012). Pricing and Static Hedging of American Options under the Jump to Default Extended CEV Model. INFORMS Annual Meeting., Ciência-IUL
Dias, J.C., Larguinho, M. & Braumann, C.A. (2012). Medidas de Sensibilidade para Opções sobre Obrigações sob o Modelo CIR. XX Congresso da Sociedade Portuguesa de Estatística., 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). 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., Larguinho, M. & Braumann, C.A. (2011). Valuation of Non-Central Chi-Square Distribution Methods for Options On Zero Coupon Bonds under The CIR Diffusion. 16th Congresso da AECA., Ciência-IUL
Dias, J.C., Larguinho, M. & Braumann, C.A. (2011). Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model. 18th International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management., 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. (2011). The Valuation of Double Barrier Options under Multifactor Pricing Models. International Conference on Mathematical Finance and Economics., Ciência-IUL
Dias, J.C., Larguinho, M. & Braumann, C.A. (2011). Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model. Mathematical Finance Days 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., Larguinho, M. & Braumann, C.A. (2010). Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging. 6th International Conference of the Portuguese Finance Network., Ciência-IUL
Dias, J.C. & Shackleton, M. B (2009). Investment Hysteresis and Hitting Time for Mean-Reverting CIR Diffusions. 13th 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
Dias, J.C. & Nunes, J.P. (2008). Pricing Real Options under the CEV Diffusion. 12th International Conference on Real Options., Ciência-IUL

Other Activities

Academic Management Positions

Coordenação de Mestrado - entre 26 e 45 alunos (2013/2013)