Research and Downloads

(Last Update: 03/2008)

 

My main interest is on mathematical finance and, in particular, forward price models, interest rate models, stochastic volatility models and credit risk models.

 

In this website I present my past and current research organized within PROJECTS.

Each project can be characterized by the same board subject, but most of the times originated several different publications with various co-authors. Through this website you can download only the working paper publications, but you can find exact references to all publications.

Presentations not marked with “*” have been done by myself.

 

 

ONGOING PROJECTS:

 

 

 

FINISHED PROJECTS:

 

 

 

 

ONGOING PROJECTS:

 

 

·         CDOs AND OTHER STRUCTURED CREDIT RISK PRODUCTS

Presented at

    • Financial Risks International Forum: New Developments in Structured Products and Credit Derivatives (Paris, 03/2008)

 Publications

    • Gaspar, R.M. and T. Schmidt (2008), “On the pricing of CDOs”, in Credit Derivatives (Ed. P.U.Ali and G.Gregouriou) McGraw-Hill.
    • Carvalho, L. and R.M. Gaspar, “Default correlation implied from portfolio credit derivatives”, in progress.

 

·         IMPLIED VOLATILITY TERM STRUCTURES

Presented at

    • Quantitative Finance 2008 (Sydney, 12/2007)
    • CEMAPRE Seminar Series at ISEG (Lisbon, 11/2006)
    • SCRA 2006 - Interdisciplinary Mathematical & Statistical Techniques (Tomar, 09/2006)
    • 4th International Conference of the Portuguese Finance Network (PFN), 2006 (Porto 07/2006)

 Publications

    • Gaspar, R.M. (2008) “Implied Volatility and Forward Price Term Structures”, Advance Working Paper Series ISEG, n.1/2008.

 

·         ON CONVEXITY AND OTHER ADJUSTMENTS

Presented at

    • Bachelier Finance Society 5th World Congress (London, 07/2008)*

*Presentation By A.Murgoci

 Publications

    • Gaspar, R.M. and A. Murgoci, “On Convexity Adjustments – the non Gaussian case”, in progress.

 

·         THE LONG END OF TERM STRUCTURES

Presented at

    • Portuguese Finance Network, 5th Finance Conference (Coimbra, 07/2008)*

*Presentation By A.Brito

 Publications

    • Brito, A. and Gaspar, R.M. “Performance of Interest Rate Term Structures Models and their Long-run Properties”, in progress.

 

 

 

 

 

FINISHED PROJECTS:

 

 

  • GENERAL QUADRATIC TERM STRUCTURES – FOR BONDS, FORWARDS AND FUTURES PRICES

 

Presentations

    • 10th Anniversary Finance Meeting CEMAF/ISCTE (Lisbon 03/2005) 
    • Econometric Institute and Tinbergen Institute Seminar (Rotterdam 02/2005)
    • Bachelier Finance Society - Third World Congress (Chicago 07/2004)
    • Workshop on Mathematical Finance for young researchers (Berlin 01/2004)
    • Math Finance Seminar at FCT-UNL (Lisbon 01/2004)
    • SSE Lunch Seminar (Stockholm 09/2003) 
    • 7th Conference CEMAPRE (Lisbon 09/2003) 

Publications

 

 

·         IMPORTANCE OF RECOVERY IN CREDIT RISK MODELS

Presentations

    • LuBraFin 2008, 2nd International Meeting (Funchal, 02/2008)
    • 20Th Australasian Finance and Banking Conference (Sydney, 12/2007)
    • Bachelier Finance Society 4th World Congress (Tokyo, 08/2006)*
    • Credit Risk Workshop for young Researcher (London, 05/2006)
    • 1st AMaMef conference (Antalya, 04/2006)

*Presentation By I.Slinko

Publications

 

 

·         ON FINITE-DIMENSIONAL REALIZATIONS OF FORWARD PRICES

 

Presentations

o    Workshop Stochastic Analysis and Applications in Finance (Leipzig 04/2005)

o    Stochastic Finance 2004 (Lisbon 09/2004)

Publications

    • Gaspar, R.M. (2004) On Finite-Dimensional Realizations of Forward Prices, SSE/EFI Working Paper Series, n. 569. 
    • Gaspar, R.M. (2005), “On FDR of Forward Price models”, in Stochastic Finance (Ed. M.R.Grossinho, A.N.Shyriaev, M.L.Esquível and P.E.Olivera) Chapter 10, Springer Verlag, ISBN: 0387282629.

 

·         QUADRATIC SHOT-NOISE TERM STRUCTURE MODELS 

Presentations

    • Conference of the German Mathematician's Association (Bonn, 09/2006)*
    • Cottbus Workshop on PDEs and Financial Mathematics (Cottbus, 05/2006)*
    • Department of Mathematics, Leipzig University (Leipzig, 01/2006)
    • Quantitative Methods in Finance (Sydney 12/2005)
    • ISEG, Universidade Nova de Lisboa (Lisbon 07/2005)
    • Linha de Analise Numerica e Aplicacoes Seminar, Universidade de Coimbra (Coimbra 12/2005)

*Presentations By T.Schmidt

 Publications