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ISEG  >  Matemática  >  JOÃO GUERRA


    1. N. Cantarutti,  J. M. E. Guerra, M. Guerra and M. R. Grossinho (2017), " Indifference pricing in a market with transaction costs and jumps", In:  Novel Methods in Computational Finance, Eds. M. Ehrhardt, M. Günther and E.J.W. ter Maten, Mathematics in Industry, Volume 25, pp. 31-46, Springer, September 2017. 
    2. A. Santos, J. M. E. Guerra and T. Neves (2017), " Performance and predictive power of risk-neutral densities and subjective probability density functions", International Review of Finance, to be published in 2017. 
    3. A. Santos and J. M. E. Guerra (2015), "Implied risk neutral densities from option prices: hypergeometric, spline, lognormal and edgeworth functions" , Journal of Futures Markets, 35, pp. 655-678.     
    4.  J. M. Corcuera and J. M. E. Guerra (2010), " Dynamic complex hedging in additive markets ", Quantitative Finance, 10, pp. 1023-1037.
    5.  J. Guerra and D. Nualart (2008), "Stochastic differential equations driven by fractional Brownian motion and standard Brownian motion", Stochastic Analysis and Applications , 26, pp. 1053-1075.
    6.  J. M. Corcuera, J. Guerra, D. Nualart, W. Schoutens (2006), "Optimal investment in Lévy markets", Applied Mathematics and Optimization , 53, pp. 279-309.
    7.  D. Nualart and J. Guerra (2005), "The 1/H variation of the divergence integral with respect to fractional Brownian motion for H>1/2 and fractional Bessel processes", Stochastic Processes and Their Applications , 115, pp. 91-115.
    8.  J. M. P. Carmelo, J. M. E. Guerra, J. Lopes dos Santos, A. H. Castro Neto (1999), "One-Particle Spectral Properties of 1D Mott-Hubbard Insulators", Physical Review Letters , 83, pp. 3892-3896.