José Carlos Gonçalves Dias
- Profile
- Academic Activities
- Scientific Activities
- Other Activities
- Option pricing
- Structured products and exotic options
- Volatility derivatives
- Real options
- Credit risk
Type | Program | Institution | Year |
---|---|---|---|
Aggregation | Finance | ISCTE-IUL | 2015 |
PhD | Finance | ISCTE-IUL | 2006 |
M.Sc. | Ciências Empresariais | ISCTE-IUL | 1998 |
Licenciate | Gestão de Empresas | ISLA - Lisboa | 1994 |
Curricular Courses
Supervisions
Phd Thesis
Fernando Correia da Silva, "Three Essays on Option Pricing", José Carlos Gonçalves Dias, Phd Thesis, Concluded, 2023
Yang Fengyue, ""Price Dynamics of Farmland Transfer in Chengdu, China: Evidence from a Multilevel Model"", José Carlos Gonçalves Dias, Phd Thesis, Concluded, 2022
João Miguel Mendes dos Reis, "Barrier Options and Dynamic Debt", José Carlos Gonçalves Dias, Phd Thesis, Concluded, 2022
Tiago Mota Dutra, "Essays on Financial Cycles and Banks' Risk", José Carlos Gonçalves Dias, Phd Thesis, Concluded, 2021
Mário Jorge Correia Fernandes, "Three Essays on Modeling Energy Prices with Time-Varying Volatility and Jumps", José Carlos Gonçalves Dias, Phd Thesis, Concluded, 2021
Li Chen, "Service quality and customer satisfaction - a case study of nursing homes in Beijing", José Carlos Gonçalves Dias, Phd Thesis, Concluded, 2019
Aricson Cesar Jesus da Cruz, "Essays on Option Pricing", José Carlos Gonçalves Dias, Phd Thesis, Concluded, 2019
Igor Viktorovich Kravchenko, "Valuation of Financial Derivatives through transmutation operator methods", José Carlos Gonçalves Dias, Phd Thesis, Concluded, 2018
João Pedro Bento Ruas, "Three Essays on the Valuation of American-Style Options", José Carlos Gonçalves Dias, Phd Thesis, Concluded, 2013
Carlos Miguel Aguiar da Glória, "Essays on option pricing", José Carlos Gonçalves Dias, Phd Thesis,
Bruno Miguel Teixeira Taborda, "MAIS: Market Artificial Intelligence", José Carlos Gonçalves Dias, Phd Thesis,
João Diogo Barros Moura, "Financial Options: Options Returns, Hedging Strategy and Static Hedge Portfolio", José Carlos Gonçalves Dias, Phd Thesis,
Master Thesis
Rita Sofia Marques Pedro, "Caps e Floors perpétuos sobre fluxos contínuos: Aplicações sobre taxas de juros", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2024
Beatriz Maria Ribeiro Ferrão, "O impacto dos ESG Pillars nas decisões de distribuição de lucro das empresas dos países pertencentes ao grupo G7.", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2024
Duarte Miguel da Cunha Domingues Amador Marques, "Comparação Empírica sobre as Opções do Índice S&P 500: Modelo Black-Scholes-Merton e Modelo Heston", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2023
Ana Maria Dias Vicente, "Avaliar investimentos em energia eólica onshore com incentivos governamentais utilizando opções reais: o caso Português", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2023
João Pedro Rodrigues Soares, "Comparação dos modelos Black-Scholes e Heston", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2023
Daniela Fernanda Martinez Vargas, "Análise do modelo de market-making no trading de alta frequência para a bolsa de valores norte-americana", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2023
Raquel Lopes Coutinho, "Avaliação de opções através de métodos de machine learning", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2023
Margarida Silva Marques, "Avaliação de Opções Reais: O Caso dos Percursos Pedestres na Ilha da Madeira", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2023
Diogo Filipe Sousa Vieira, "Cobertura de Carbono", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2023
Célia dos Santos Subtil, "Estímulo Público ao Investimento Privado e Prevenção de Disinvestimento: uma abordagem CEV", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2022
Yannik Ehlert, "Avaliação da opção com o Modelo Heston", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2022
Ivan Alexandre Costa Guerra, "Aplicação de opções reais em projetos de inovação empresarial e I&D", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2022
Luís Simão Almeida Ferreira, "Simulação de Monte Carlo exata de Difusões com Saltos", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2021
Rodrigo Sant Ana Lourenço, "Modelos estruturais de risco de crédito e os determinantes de credit default swap spreads", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2021
João Seguro Ildefonso, "Repeated Richardson Extrapolation and Static Hedging of Barrier Options", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2021
Joana Margarida de Sousa Barbosa, "Será o Preço dos Produtos Estruturados Justo? - Barrier Reverse Convertibles e Turbo Warrants do Mercado Suíço", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2020
Catarina Isabel dos Santos Oliveira, "A avaliação de produtos estruturados em Portugal: Qual foi o impacto causado no preço dos produtos depois do protocolo da CMVM ter entrado em vigor em 2014?", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2020
Hugo António Figueiredo Matias, "Derivados Voláteis - Retorno Esperado das Opções", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2019
Vitor Hugo Ferreira Pinto, "Performance empírica de três modelos de precificação de opções", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2018
Carlos Sérgio Serrado Ramos Ricardo, "Construção do Novo Edifício Sede do Município de Oeiras. Análise de viabilidade económico-financeira", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2018
Inês Pereira Santos, "Modelos estruturais de risco de crédito: análise de empresas cotadas em Portugal", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2018
Catarina da Silva Ferro Costa Pereira, "Testing High Volatility Expectation Trades on Macroeconomic and Political Events of 2016", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2017
André Gonçalo Lopes Fernandes, "Structured Products Insights: Pricing reverse convertibles and discount certificates in the german market", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2017
Mário Raul Santiago do Céu, "Análise da Evolução do Risco de Crédito na Agricultura em Portugal", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2017
Pedro Filipe Botelho Negrão de Sousa, "Algorithms for Improving the Efficiency of CEV, CIR and JDCEV Option Pricing Models", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2017
Marcelo Bettencourt Santos Nunes Capitão, "Análise das Metodologias de Seleção de Projetos de Investimentos das PME", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2016
Svetlana Klimova, "Real Options Valuation - Investment Under New Techonological Adoption and Carbon Policy Uncertain: An application to Volkswagen automobile industry", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2016
Qi Dong, "Credit Risk Measurement of the Listed Companies in China Based on Kmv Model", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2016
João Miguel Mendes Carrilho, "Stock Market Returns and Football Match Results", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2015
Vincent Jean Maurice Mouralis, "Commodity Futures in Portfolio Allocation", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2015
Antoine Hugo Mairal, "Equity-Linked Structured Products: A complex Industry in evolution", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2015
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
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
Ana Cristina dos Santos Oliveira, "Avaliação Da Qualidade Percebida Dos Serviços Académicos De Uma Universidade Portuguesa", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2012
Gustavo de Souza Barros, "Variable Volatility in Option Pricing", José Carlos Gonçalves Dias, Master Thesis, Concluded, 2012
Diogo Filipe da Conceição Rolo, "Como pequenas redes neuronais podem melhorar estratégias nos mercados financeiros", José Carlos Gonçalves Dias, Master Thesis,
Mariana Fernandes Carvalho, "Risco de incumprimento no crédito à habitação - O caso de Portugal", José Carlos Gonçalves Dias, Master Thesis,
Bruno Xavier Ventura de Matos, "Investimento em Capacidade Estratégica Sob Incerteza: Insights Matemáticos e Aplicações Práticas", José Carlos Gonçalves Dias, Master Thesis,
Pedro Henrique Andrade Canteiro, "Construção de um sistema de trend trading - Um guia de análise técnica", José Carlos Gonçalves Dias, Master Thesis,
Mariana Silvina Ariscain Roca, "Valuation of Revolut", José Carlos Gonçalves Dias, Master Thesis,
Tiago Miguel Soares Reis Bagorro, ".", José Carlos Gonçalves Dias, Master Thesis,
Joana Neves Andrade Silvano, "Feed-in tariffs: ferramenta de incentivo ao investimento em projetos de hidrogénio verde", José Carlos Gonçalves Dias, Master Thesis,
Beatriz Maurício Arantes Tomé, "Modelos de Machine Learning na Avaliação do Risco de Crédito", José Carlos Gonçalves Dias, Master Thesis,
Francisco Santos Simões, "Calibrar Opções de Índice S&P 500 sob Formulações Alternativas do Modelo de Heston (1993) considerando Jumps e Volatilidade Estocástica", José Carlos Gonçalves Dias, Master Thesis,
João de Almeida Martins, ""Caps" e "Floors" de maturidade finita para opções de troca em "flows" contínuos.", José Carlos Gonçalves Dias, Master Thesis,
Ana Carolina Neves Teles Evangelista Serrão, "Unveiling the Potential: Valuing Onshore and Offshore Wind Energies through Real Options Perspective", José Carlos Gonçalves Dias, Master Thesis,
João Frederico Freitas Silva, "Calibrating S&P 500 index options under alternative formulations ofthe Heston (1993) model.", José Carlos Gonçalves Dias, Master Thesis,
Final Project
Lamberto Lorini Sgariboldi, "Avaliação do Desenvolvimento de um Novo Medicamento: VIR-7831 Case Study", José Carlos Gonçalves Dias, Final Project, Concluded, 2021
Neuza Carina Pires dos Santos, "Linha ferroviária de alta velocidade entre Lisboa e Madrid: sim ou não? A perspetiva de opções reais", José Carlos Gonçalves Dias, Final Project, Concluded, 2019
João Pereira Pedro de Jesus, "Oferta Pública de Aquisição do CaixaBank sobre o BPI: O Impacto na Ação do BPI", José Carlos Gonçalves Dias, Final Project, Concluded, 2018
Diogo Correia Rino, "Costly Reversible Disinvestment Option in a Valuation of Renewable Energy case", José Carlos Gonçalves Dias, Final Project, Concluded, 2017
João Luís Navarro de Castro Correia Botelho, "Avaliação de Empresas através de Múltiplos de Mercado - O caso da REN", José Carlos Gonçalves Dias, Final Project, Concluded, 2017
Ana Clara de Matos Soares Pereira Jacinto Talefe, "Estudo sobre a Eficiência das Carteiras de Investimentos das Seguradoras Vida em Portugal", José Carlos Gonçalves Dias, Final Project, Concluded, 2016
João Pedro Robalo Martins, "European Inflation-Linked Bonds: An historical overview and the benefits Amid Portfolio Management", José Carlos Gonçalves Dias, Final Project, Concluded, 2015
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
Mário António Limede, "Modelos de Avaliação de Risco de Crédito - Análise e Aplicação", José Carlos Gonçalves Dias, Final Project, Concluded, 2013
Pedro Marzagão Barbuto, "LSMC for Pricing American Options under the Heston Model", José Carlos Gonçalves Dias, Final Project, Concluded, 2013
Paulo Fernando Marques Ferreira, "Evaluating Investment Opportunities under Different Model Dynamics: Some Managerial Insights", José Carlos Gonçalves Dias, Final Project, Concluded, 2012
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
Carla Alexandra Botas Prates, "Pricing and Hedging Volatility Options.", José Carlos Gonçalves Dias, Final Project, Concluded, 2011
Jorge Manuel Duque de Oliveira, "Pricing Corporate Debt Risk Under The Cev Model.", José Carlos Gonçalves Dias, Final Project, Concluded, 2011
Scientific Articles in International Journals
Taborda, B., de Almeida, A., Dias, J. C., Batista, F. & Ribeiro, R. (N/A). SA-MAIS: Hybrid automatic sentiment analyser for stock market. Journal of Information Science. N/A, Ciência-IUL
Dias, J. C., Nunes, J. P. V. & Silva, F. C. da. (N/A). Novel analytic representations for caps, floors, collars, and exchange options on continuous flows, arbitrage-free relations, and optimal investments. Journal of Futures Markets. N/A, Ciência-IUL
Glória, C. M., Dias, J. C., Ruas, J. & Nunes, J. (N/A). The interaction between equity-based compensation and debt in managerial risk choices. Review of Derivatives Research., Ciência-IUL
Glória, C. M., Dias, J. C. & Cruz, A. (2024). Pricing levered warrants under the CEV diffusion model. Review of Derivatives Research. 27 (1), 55-84, Ciência-IUL
Fernandes, M. C, Dias, J. C. & Nunes, J. (2024). Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features. Journal of Futures Markets. 44 (3), 343-383, Ciência-IUL
Dias, J. C., Nunes, J. & Silva, F. C. (2024). Finite maturity caps and floors on continuous flows under the constant elasticity of variance process. European Journal of Operational Research . 316 (1), 361-385, Ciência-IUL
Dutra, T. M., Teixeira, J. C. A. & Dias, J. C. (2023). The effect of political institutions on the interplay between banking regulation and banks’ risk. Journal of Banking Regulation. N/A, Ciência-IUL
Dutra, T. M., Teixeira, J. C. A. & Dias, J. C. (2023). Banking regulation and banks’ risk-taking behavior: The role of investors’ protection. The Quarterly Review of Economics and Finance. 90, 124-148, Ciência-IUL
Fernandes, M. C, Dutra, T. M., Dias, J. C. & Teixeira, J. C. A. (2023). Modelling output gaps in the Euro Area with structural breaks: The COVID-19 recession. Economic Analysis and Policy. 78, 1046-1058, Ciência-IUL
Kravchenko, I., Kravchenko, V. V., Torba, S. M. & Dias, J. C. (2022). Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing. Journal of Mathematical Sciences. 266, 353-377, Ciência-IUL
Larguinho, M., Dias, J. C. & Braumann, C. A. (2022). Pricing and hedging bond options and sinking-fund bonds under the CIR model. Quantitative Finance and Economics. 6 (1), 1-34, Ciência-IUL
Proença, C., Neves, M., Dias, J. C. & Martins, P. (2022). Determinants of sovereign debt ratings in clusters of European countries – effects of the crisis. Journal of Financial Economic Policy. 14 (3), 403-427, Ciência-IUL
Dutra, T. M., Dias, J. C. & Teixeira, J. C. A. (2022). Measuring financial cycles: Empirical evidence for Germany, United Kingdom and United States of America. International Review of Economics and Finance. 79, 599-630, Ciência-IUL
Fernandes, M. C, Dias, J. C. & Nunes, J. (2021). Modeling energy prices under energy transition: A novel stochastic-copula approach. Economic Modelling . 105, Ciência-IUL
Nunes, J., Ruas, J. & Dias, J. C. (2020). Early exercise boundaries for American-style knock-out options. European Journal of Operational Research . 285 (2), 753-766, Ciência-IUL
Dias, J. C., Nunes, J. & Cruz, A. (2020). A note on options and bubbles under the CEV model: Implications for pricing and hedging. Review of Derivatives Research. 23 (3), 249-272, Ciência-IUL
Nunes, J. P. V., Dias, J. C. & Ruas, J. P. (2020). The early exercise boundary under the jump to default extended CEV model. Applied Mathematics and Optimization. 82 (1), 151-181, Ciência-IUL
Cruz, A. & Dias, J. C. (2020). Valuing American-style options under the CEV model: an integral representation based method. Review of Derivatives Research. 23 (1), 63-83, Ciência-IUL
Kravchenko, I., Kravchenko, V. V., Torba, S. M. & Dias, J. C. (2019). Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. International Journal of Theoretical and Applied Finance. 22 (6), Ciência-IUL
Dias, J. C. & Nunes, J. P. V. (2018). 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 (2), 559-570, Ciência-IUL
Cruz, A. & Dias, J. C. (2017). The binomial CEV model and the Greeks. Journal of Futures Markets. 37 (1), 90-104, Ciência-IUL
Ruas, J. P., Nunes, J. P. V. & Dias, J. C. (2016). In-out parity relations for American-style barrier options. Journal of Derivatives. 23 (4), 20-32, Ciência-IUL
Dias, J. C., Nunes, J. P. V. & Ruas, J. P. (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
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
Larguinho, M., Dias, J. C. & Braumann, C. A. (2013). On the computation of option prices and Greeks under the CEV Model. Quantitative Finance. 13 (6), 907-917, Ciência-IUL
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
Dias, J. C. & Shackleton, M. B. (2011). Hysteresis effects under CIR interest rates. European Journal of Operational Research. 211 (3), 594-600, Ciência-IUL
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
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
Books
Dias, J. C. (2014). Hysteresis: Types, Applications and Behavior Patterns in Complex Systems., Ciência-IUL
Book Chapters
Dias, J. C., Larguinho, M. & Braumann, C.A. (2014). Valuation of Bond Options under the CIR Model: Some Computational Remarks. In Pacheco, A., Santos, R., Oliveira, M.R., and Paulino, C.D. (Ed.), New Advances in Statistical Modeling and Applications, Studies in Theoretical and Applied Statistics. (pp. 125-133).: Springer., Ciência-IUL
Dias, J. C. & Larguinho, M. (2014). Hysteresis Effects and First Passage Time Densities under Alternative Modeling Architecture Assumptions. In Dias, J.C. (Ed.), Hysteresis: Types, Applications and Behavior Patterns in Complex Systems. (pp. 1-17). New York / USA: Nova Science Publishers., Ciência-IUL
Dias, J.C., Larguinho, M. & Braumann, C.A. (2012). Absolute Diffusion Process: Sensitivity Measures. In Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications, Studies in Theoretical and Applied Statistics. (pp. 233-241).: Springer., Ciência-IUL
Dias, J.C., Larguinho, M. & Braumann, C.A. (2012). A Note on (Dis)Investment Options and Perpetuities under CIR Interest Rates. In Recent Developments in Modeling and Applications in Statistics, Studies in Theoretical and Applied Statistics. (pp. 203-211).: Springer., 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
Invited
Dias, J. C. (2023). Caps, Floors and Collars Contractual Agreements and Optimal Investment Decisions. 1st SDE - Stochastic Days Encounters: Applications of Stochastic Differential Equations., Ciência-IUL
Dias, J. C. & Nunes, J. (2017). Valuation of Lookback Options and Turbo Warrants on Defaultable Stocks. XXIII Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL
Panel / Poster
Dias, J. C., Kravchenko, I. V. , Kravchenko, V. V. & Torba, S. M. (2018). Application of the Transmutation Operators to Parabolic Boundary and Free Boundary Problems. 10th World Congress of the Bachelier Finance Society., Ciência-IUL
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
Barbosa, L., Dias, J. C. & Marques, M. (2024). Subsidies and Sustainable Tourism: Balancing Demand Guarantees With Environmental Damage From Tourism. The 27th Annual International Real Options Conference ., Ciência-IUL
Glória, C. M., Dias, J. C. & Ruas, J. (2024). Robust Optimal Strategy for an AAM of DC Pension Plans under Jump-Diffusion and with Time-Varying Ambiguity. Scandinavian Actuarial Conference 2024., Ciência-IUL
Fernandes, M. C, Dias, J. C. & Nunes, J. (2023). The Behaviour of Stochastic Volatility in Energy Futures Contracts with the COVID- 19 and the Russia–Ukraine Conflict. 12th International Conference of the Financial Engineering and Banking Society., Ciência-IUL
Dias, J. C., Nunes, J., Ruas, J. & Silva, F. C. (2023). Optimal Investment Decisions with Minimum Price Guarantees under the Constant Elasticity of Variance Process. 26th International Conference on Real Options., Ciência-IUL
Dias, J. C., Nunes, J., Ruas, J. & Silva, F. C. (2023). Optimal Investment Decisions with Minimum Price Guarantees under the Constant Elasticity of Variance Process. 12th International Conference of the Portuguese Finance Network., Ciência-IUL
Dutra, T. M., Teixeira, J. C. A. & Dias, J. C. (2022). Banking Regulation and Banks' Risk-Taking Behavior: The Role of Investors' Protection. 31st European Financial Management Association (EFMA) Conference., Ciência-IUL
Dutra, T. M., Dias, J. C. & Teixeira, J. C. A. (2022). Measuring Financial Cycles: Empirical Evidence for Germany, United Kingdom and United States of America. 29th Annual Global Finance Conference., Ciência-IUL
Reis, J. & Dias, J. C. (2022). Dynamic Debt with Intensity Based Models. 29th Annual Global Finance Conference., Ciência-IUL
Dias, J. C., Nunes, J. & Silva, F. C. (2022). Finite Maturity Caps and Floors on Continuous Flows under the CEV Process. 19th EUROPT Workshop on Advances in Continuous Optimization., Ciência-IUL
Fernandes, M. C, Dias, J. C. & Nunes, J. (2022). Modeling Energy Futures Prices Under Alternative Time-Varying Volatility Dynamics. 29th Annual Global Finance Conference., Ciência-IUL
Dutra, T. M., Teixeira, J. C. A. & Dias, J. C. (2022). The Effect of Political Institutions on the Interplay Between Banking Regulation and Banks' Risk. International Society for the Advancement of Financial Economics (ISAFE)., Ciência-IUL
Gloria, C. M., Dias, J. C., Ruas, J. & Nunes, J. (2022). The Interaction Between Equity-Based Compensation and Debt in Managerial Risk Choices. Paris Financial Management Conference., Ciência-IUL
Dias, J. C., Nunes, J. & Silva, F. C. (2022). Finite Maturity Caps and Floors on Continuous Flows under the CEV Process. Informs Annual Meeting., Ciência-IUL
Dutra, T. M., Teixeira, J. C. A. & Dias, J. C. (2021). Banking Regulation and Banks' Risk-Taking Behavior: The Role of Investors' Protection. 11th International Conference of the Portuguese Finance Network., Ciência-IUL
Fernandes, M. C, Dias, J. C. & Nunes, J. (2021). Modeling Electricity and Natural Gas Prices under the Electrification of Energy Firms. 14th Annual Meeting of the Portuguese Economic Journal., Ciência-IUL
Fernandes, M. C, Dias, J. C. & Nunes, J. (2021). Modeling Commodity Prices under Alternative Jump Processes and Fat Tails Dynamics. 11th International Conference of the Portuguese Finance Network., Ciência-IUL
Dias, J. C., Ildefonso, J., Nunes, J. & Ruas, J. (2021). Repeated Richardson Extrapolation and Static Hedging of Barrier Options under the JDCEV Model. 11th International Conference of the Portuguese Finance Network., Ciência-IUL
Gloria, C. M., Dias, J. C. & Cruz, A. (2021). Pricing Levered Warrants under the CEV Diffusion Model. 11th International Conference of the Portuguese Finance Network., Ciência-IUL
Kravchenko, I., Kravchenko, V. V., Torba, S. M. & Dias, J. C. (2019). A Numerical Method Based on Transmutation Operators for (Free) Boundary Problems Arising in Mathematical Finance. XXIV Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL
Dias, J. C. (2019). A Note on the Loss of the Martingale Property under the CEV Process. XXIV Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL
Dias, J. C. (2019). A Note on the Loss of the Martingale Property under the CEV Process. VI Workshop on Computational Data Analysis and Numerical Methods., Ciência-IUL
Dias, J. C., Larguinho, M. & Braumann, C.A. (2018). Entry and Exit Decisions under Uncertainty for a Generalized Class of One-Dimensional Diffusions. 10th International Conference of the Portuguese Finance Network., Ciência-IUL
Dias, J. C. & Nunes, J. (2018). Valuation of Lookback Options and Turbo Warrants on Defaultable Stocks. 12th Workshop on Statistics, Mathematics and Computation., Ciência-IUL
Dias, J. C. & Nunes, J. (2018). Valuation of Lookback Options and Turbo Warrants on Defaultable Stocks. 10th International Conference of the Portuguese Finance Network., Ciência-IUL
Ruas, J., Nunes, J. & Dias, J. C. (2018). Early Exercise Boundaries for American-style Knock-Out Options. 10th World Congress of the Bachelier Finance Society., Ciência-IUL
Dias, J. C., Kravchenko, I. V. , Kravchenko, V. V. & Torba, S. M. (2018). Generalized Exponential Basis for Efficient Solving of Homogeneous Diffusion Free Boundary Problems: Russian Option Pricing. 10th World Congress of the Bachelier Finance Society., Ciência-IUL
Dias, J. C., Kravchenko, I. V. , Kravchenko, V. V. & Torba, S. M. (2018). Pricing Double Barrier Options on Homogeneous Diffusions: A Neumann Series of Bessel Functions Representation. 10th International Conference of the Portuguese Finance Network., Ciência-IUL
Dias, J. C., Laureano, L. & Nunes, J. (2017). Corporate Security Valuation under a Barrier Option Framework with State-Dependent Volatility. 5th Paris Financial Management Conference., Ciência-IUL
Leite, J., Dias, J. C. & Nunes, J. (2017). Computation of Three Discrete Distribution Mixtures of Continuous Distributions: Stability Analysis. 11th International Conference on Computational and Financial Econometrics., Ciência-IUL
Leite, J., Dias, J. C. & Nunes, J. (2017). Cálculo Computacional de Misturas Discretas de Distribuições Contínuas: Revisão do Método de Benton e Krishnamoorthy. XXIII Congresso da Sociedade Portuguesa de Estatística., Ciência-IUL
Kravchenko, I. V. , Kravchenko, V. V., Torba, S. M. & Dias, J. C. (2017). Application of the Transmutation Operators to Parabolic Free Boundary Problems. A Numerical Method. INFORMS Annual Meeting., Ciência-IUL
Proença, C., Dias, J. C. & Neves, E. (2017). Determinants of Sovereign Debt Ratings: Effects of the Crisis. XVI Congresso Internacional de Contabilidade e Auditoria., Ciência-IUL
Dias, J. C. & Nunes, J. (2017). Valuation of Lookback Options and Turbo Warrants on Defaultable Stocks. 2nd International Conference on Computational Finance., 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., Larguinho, M. & Braumann, C.A. (2016). Pricing and Hedging Bond Options and Sinking-Fund Bonds under the CIR Framework. 23rd International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management., Ciência-IUL
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., 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
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. & 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
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. & 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. & 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. (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. (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. 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. SIAM Conference on Financial Mathematics & Engineering., 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). 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. (2011). Double Barrier Options Valuation under Multifactor Pricing Models. 21st Annual Derivatives Securities and Risk Management Conference., 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., 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). 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). 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. & 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. 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
Academic Management Roles
Membro (Docente) (2022, 2026)
Director (2022, 2026)
Presidente (2022, 2026)
Membro (Docente) (2021, 2023)
Vice-Presidente (2021, 2023)
Membro (Docente) (2021, 2023)
Director (2021, 2022)
Membro (Docente) (2019, 2021)
Membro (Docente) (2019, 2021)
Director (2019, 2021)
Membro (2018, 2022)
Membro (Docente) (2018, 2022)
Membro (Docente) (2018, 2022)
Director (2017, 2019)
Director (2015, 2017)
Director (2015, 2015)
Membro (2014, 2018)
Membro (Docente) (2014, 2018)
Membro (Docente) (2014, 2018)
Director (2013, 2015)