Português
| Teaching Year | Semester | Course Name | Degree(s) | Coordinator |
|---|---|---|---|---|
| 2025/2026 | 2º | Exotic Options | -- | Yes |
| 2025/2026 | 1º | Risk Theory for Non-Life Insurance | -- | Yes |
| 2025/2026 | 1º | Dissertation in Mathematical Finance | -- | Yes |
| 2025/2026 | 1º | Master Project in Mathematical Finance | -- | Yes |
| 2025/2026 | 1º | Investments | Bachelor Degree in Finance and Accounting; | Yes |
| 2025/2026 | 1º | Models of the Term Structure of Interest Rates | Master Degree in Financial Mathematics (ISCTE/FCUL); | Yes |
| 2024/2025 | 2º | Liability Management | Post Graduation Program in Financial Markets and Risk Management; | Yes |
| 2024/2025 | 2º | Fixed Income Markets | Other programme in Applied Online Post Garduate in Corporate Finance; | Yes |
| 2024/2025 | 2º | Investments | Bachelor Degree in Management; | Yes |
| 2024/2025 | 2º | Exotic Options | -- | Yes |
| 2024/2025 | 1º | Risk Theory for Non-Life Insurance | -- | Yes |
| 2024/2025 | 1º | Dissertation in Mathematical Finance | -- | Yes |
| 2024/2025 | 1º | Investments | Bachelor Degree in Finance and Accounting; | Yes |
| 2024/2025 | 1º | Models of the Term Structure of Interest Rates | Master Degree in Financial Mathematics (ISCTE/FCUL); | Yes |
| 2023/2024 | 2º | Financial Modelling | -- | Yes |
| 2023/2024 | 2º | Fixed Income Markets | Other programme in Applied Online Post Garduate in Corporate Finance; | Yes |
| 2023/2024 | 2º | Investments | Bachelor Degree in Management; | Yes |
| 2023/2024 | 2º | Exotic Options | -- | Yes |
| 2023/2024 | 1º | Risk Theory for Non-Life Insurance | -- | Yes |
| 2023/2024 | 1º | Dissertation in Mathematical Finance | -- | Yes |
| 2023/2024 | 1º | Investments | Bachelor Degree in Finance and Accounting; | Yes |
| 2023/2024 | 1º | Models of the Term Structure of Interest Rates | Master Degree in Financial Mathematics (ISCTE/FCUL); | Yes |
| 2022/2023 | 2º | Dissertation in Mathematical Finance | -- | Yes |
| 2022/2023 | 2º | Liability Management | Post Graduation Program in Financial Markets and Risk Management; | Yes |
| 2022/2023 | 2º | Fixed Income Markets | Other programme in Applied Online Post Garduate in Corporate Finance; | Yes |
| 2022/2023 | 2º | Investments | Bachelor Degree in Management; | Yes |
| 2022/2023 | 2º | Exotic Options | -- | Yes |
| 2022/2023 | 1º | Risk Theory for Non-Life Insurance | -- | Yes |
| 2022/2023 | 1º | Dissertation in Mathematical Finance | -- | Yes |
| 2022/2023 | 1º | Asset Pricing II | Doctorate Degree (PhD) in Finance; | No |
| 2022/2023 | 1º | Investments | Bachelor Degree in Finance and Accounting; | Yes |
| 2022/2023 | 1º | Investments | Master Degree in Finance; | No |
| 2022/2023 | 1º | Models of the Term Structure of Interest Rates | Master Degree in Financial Mathematics (ISCTE/FCUL); | Yes |
| 2021/2022 | 2º | Dissertation in Mathematical Finance | -- | Yes |
| 2021/2022 | 2º | Fixed Income Markets | Other programme in Applied Online Post Garduate in Corporate Finance; | Yes |
| 2021/2022 | 2º | Investments | Bachelor Degree in Management; | Yes |
| 2021/2022 | 2º | Exotic Options | -- | Yes |
| 2021/2022 | 1º | Dissertation in Mathematical Finance | -- | Yes |
| 2021/2022 | 1º | Investments | Bachelor Degree in Finance and Accounting; | Yes |
| 2021/2022 | 1º | Models of the Term Structure of Interest Rates | Master Degree in Financial Mathematics (ISCTE/FCUL); | Yes |
| 2020/2021 | 2º | Dissertation in Mathematical Finance | -- | Yes |
| 2020/2021 | 2º | Liability Management | Post Graduation Program in Financial Markets and Risk Management; | Yes |
| 2020/2021 | 2º | Fixed Income Markets | Other programme in Applied Online Post Garduate in Corporate Finance; | Yes |
| 2020/2021 | 2º | Investments | Bachelor Degree in Management; | Yes |
| 2020/2021 | 2º | Programming | -- | Yes |
| 2020/2021 | 2º | Exotic Options | -- | Yes |
| 2020/2021 | 2º | Stochastic Calculus in Finance I | -- | Yes |
| 2020/2021 | 2º | Partial Differential Equations in Finance | -- | Yes |
| 2020/2021 | 2º | Stochastic Calculus in Finance II | -- | Yes |
| 2020/2021 | 1º | Investments | Bachelor Degree in Finance and Accounting; | Yes |
| 2020/2021 | 1º | Financial Investments | -- | Yes |
| 2020/2021 | 1º | Numerical Methods | -- | No |
| 2020/2021 | 1º | Models of the Term Structure of Interest Rates | Master Degree in Financial Mathematics (ISCTE/FCUL); | Yes |
| 2020/2021 | 1º | Measure Theory | -- | Yes |
| 2019/2020 | 2º | Dissertation in Mathematical Finance | -- | Yes |
| 2019/2020 | 2º | Investments | Bachelor Degree in Management; | Yes |
| 2019/2020 | 2º | Programming | -- | Yes |
| 2019/2020 | 2º | Exotic Options | -- | Yes |
| 2019/2020 | 2º | Stochastic Calculus in Finance I | -- | Yes |
| 2019/2020 | 2º | Partial Differential Equations in Finance | -- | Yes |
| 2019/2020 | 2º | Stochastic Calculus in Finance II | -- | Yes |
| 2019/2020 | 1º | Investments | Bachelor Degree in Finance and Accounting; | Yes |
| 2019/2020 | 1º | Financial Investments | -- | Yes |
| 2019/2020 | 1º | Numerical Methods | -- | Yes |
| 2019/2020 | 1º | Models of the Term Structure of Interest Rates | Master Degree in Financial Mathematics (ISCTE/FCUL); | Yes |
| 2019/2020 | 1º | Measure Theory | -- | Yes |
Teaching Activities
Supervisions
Ph.D. Thesis (10)
Ongoing (3)
| Student Name | Title/Topic | Language | Status | Institution | Initial Year |
|---|---|---|---|---|---|
| Domingos da Silva Ferreira | ANÁLISE DA PARIDADE PUT-CALL EM OPÇÕES SOBRE OS ÍNDICES DE ACÇÕES: PSI-20 E IBEX-35 | English | Developing | Iscte | 2001 |
| Rui Manuel M dos Anjos Alpalhão | NACIONALIZAÇÕES, INDEMINIZAÇÕES E PRIVATIZAÇÕES EM PORTUGAL: ANÁLISE DAS TRANSFERÊNCIAS DE RIQUEZA E REESTRUTURAÇÕES EMPRESARIAIS | English | Developing | Iscte | 2000 |
| Paulo Miguel M Gama Gonçalves | A PREVISÃO DOS RETORNOS EM ACÇÕES UTILIZANDO VARIÁVEIS FUNDAMENTAIS: PORTUGAL (1989-1999) | English | Developing | Iscte | 2000 |
Concluded (7)
| Student Name | Title/Topic | Language | Institution | Initial Year | Concluding Year |
|---|---|---|---|---|---|
| Fernando Correia da Silva | Caps, floors and collars on continuous flows and investment decisions | English | Iscte | 2020 | 2023 |
| Mário Jorge Correia Fernandes | Three Essays on Modeling Energy Prices with Time-Varying Volatility and Jumps | Iscte | 2018 | 2021 | |
| Pedro Miguel Silva Prazeres | Essays on Options Princing, with Apllications on Interest Rates, Equities and Credit Derivatives | Iscte | 2013 | 2017 | |
| João Pedro Ruas | English | Iscte | -- | 2013 | |
| João Pedro Bento Ruas | Three Essays on the Valuation of American-Style Options | English | Iscte | 2011 | 2013 |
| Luís Alberto Ferreira de Oliveira | Theoretical and Empirical Essays Onthe Heath-jarrow-morton Framework | Iscte | -- | 2007 | |
| Paulo Miguel Marques Gama Gonçalves | Essays on International Equity Markets | English | Iscte | -- | 2005 |
M.Sc. Dissertations (26)
Ongoing (5)
| Student Name | Title/Topic | Language | Status | Institution | Initial Year |
|---|---|---|---|---|---|
| José Miguel Mateus Serejo Rocha das Neves | Risk-neutral distributions implied from stochastic volatility jump-diffusion models. | English | Delivered | Iscte | 2024 |
| Raquel Oliveira Coelho | Trabalho de Projeto | Developing | Iscte | 2025 | |
| João Pedro Gonçalves Frazão do Rosário | The joint SPX/VIX calibration | Developing | Iscte | 2025 | |
| Maria Leonor Cabral Campello Aboim de Barros | Accounting for nonlinear dependencies in asset returns to measure market risk | Developing | Iscte | 2024 | |
| Catarina Isabel Marcos Mota | PRICING BARRIER OPTIONS UNDER THE HESTON MODEL USING THE COS METHOD | Developing | Iscte | 2024 |
Concluded (21)
| Student Name | Title/Topic | Language | Institution | Initial Year | Concluding Year |
|---|---|---|---|---|---|
| Miguel Natal de Brito Boto | Numerical and Theoretical Analysis of Lognormal and Location-Scale t Mixture Models for Risk-Neutral Density Recovery | English | Iscte | 2024 | 2025 |
| Cláudio dos Santos Machado | Implied Risk-Neutral Distribution: Parametric approaches | English | Iscte | 2024 | 2025 |
| Sofia Barreto Baptista Basílio | Credit Risk Analysis of Green Bonds and comparison with Conventional Bonds | English | Iscte | 2025 | 2025 |
| Mafalda Amaro Caneira | the variance risk premium | English | Iscte | 2024 | 2024 |
| André Filipe Assunção Damásio | Risk premium for futures on the VIX-squared under the Eraker-Wu (2017) model | English | Iscte | 2023 | 2023 |
| Ana Marisa Silva Sousa | Calibration of the Jarrow and Yildirim (2003) for the determination of the price of TIPS bonds | Portuguese | Iscte | 2022 | 2023 |
| Daniel Alexandre Velho Ferreira | Pricing after the IBOR era | English | Iscte | 2022 | 2022 |
| Claudio Alberto Salinas Tejerina | Do the SPX and VIX co-jump? | English | Iscte | 2021 | 2021 |
| João Luís Gomes Ferreira Campos Andrada | Implied Volatility Surface - Parametric Representation | Portuguese | Iscte | 2018 | 2018 |
| Ricardo Manuel Santos Oliveira Tomaz | The Market Value of Corporate Votes: Another Approach. | English | Iscte | 2015 | 2017 |
| João Miguel Sousa Machado Castilho Borges | Impacto da Politica do Quantitative Easing num Portfólio de Investimento | Portuguese | Iscte | 2015 | 2017 |
| Inês Sofia Morais Ferreira | Opções sobre commodities | Portuguese | Iscte | 2015 | 2016 |
| Bruno Filipe Soares dos Santos Sousa | Credit Valuation Adjustment | English | Iscte | 2015 | 2016 |
| Ricardo Nuno Santos Aleixo de Matos | Stochestic Volatility Jump-diffusion Models us time-changed levy Processes | English | Iscte | 2013 | 2014 |
| Pedro Simões Oliveira | The corvolution method for princing American options under levy processes | English | Iscte | 2013 | 2014 |
| Igor Viktorovich Kravchenko | Barrier Option Pricing Via Heston Model | English | Iscte | 2011 | 2013 |
| Sara Alexandra da Costa Veloso | O Modelo Fiscal de Avaliação de Prédios Urbanos e o Ciclo Económico do País | Portuguese | Iscte | 2011 | 2013 |
| Jorge Miguel Fernandes Nascimento | Dimensão e especificação de volatilidades e correlações para lognormal LIBOR market models: uma avaliação empírica | English | Iscte | 2004 | 2004 |
| Maria Isabel Lopes Soares | Kalman filtering of affine term structure models with macro state variables | English | Iscte | 2004 | 2004 |
| Sofia Nú Oliveira | Empirical analysis of the primary market for range notes | English | Iscte | 2003 | 2003 |
| Luís Alberto Ferreira de Oliveira | The quality option implicit in treasury bond futures contracts: a theoretical and empirical assessment | English | Iscte | 2002 | 2002 |
M.Sc. Final Projects (17)
Ongoing (1)
| Student Name | Title/Topic | Language | Status | Institution | Initial Year |
|---|---|---|---|---|---|
| Marta Filipa das Neves Antunes | Evaluation of an Interest Rate Cap: Methodology, Implementation, and Results | Portuguese | Delivered | Iscte | 2024 |
Concluded (16)
| Student Name | Title/Topic | Language | Institution | Initial Year | Concluding Year |
|---|---|---|---|---|---|
| Sabrina Maria Bastos Serralva | Assessment of the Fair Value of an Interest Rate Cap for Financial Risk Management in a Company | English | Iscte | 2024 | 2024 |
| Margarida Dinis Silvestre | Pateo Wine Bar & Heritage Shop | English | Iscte | 2011 | 2012 |
| Sara Isabel Poço Ramos | Decomposição, Avaliação e Hedging de um Produto Estruturado | Portuguese | Iscte | 2011 | 2012 |
| Tiago Miguel Vargas Tavares | Modelos de Taxa de Juro após a Crise de Crédito e Liquidez | Portuguese | Iscte | 2011 | 2012 |
| Iva Bagic | Singue and Combined Option Trading Strategies. | Iscte | 2010 | 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. | Iscte | 2010 | 2011 | |
| William Hilebrand | The Valuation of Callable Defaultable Bonds. | Iscte | 2010 | 2011 | |
| Luís Filipe Dôres Veiga | Iscte | 2010 | 2011 | ||
| Jorge Alexandre Rodrigues Domingues | Iscte | 2010 | 2011 | ||
| Filipa Isabel Ferreira Alcaide | Covered Bond Market - Is Legislation Impact Measurable? | English | Iscte | 2008 | 2011 |
| Maria da Graça Teixeira Duarte de Aguiar Câmara | O Efeito Smile - Uma Aplicação ao DAX. | Portuguese | Iscte | 2009 | 2010 |
| Diogo Monteiro da Costa Soares Justino | Hedging of Barrier Options. | Portuguese | Iscte | 2008 | 2010 |
| Cláudia Patrícia Gonçalves Simões | Euro Área Inflation-Linked Bonds Market: Analysis and immunization abilities. | Portuguese | Iscte | 2008 | 2010 |
| Aloísio Bragança Gomes Will | Ambidiesel - Produção de Combustíveis Alternativos. | Portuguese | Iscte | 2009 | 2010 |
| Carina Sofia Ferreira da Silva | O Mercado Organizado de CO2 - Oportunidade de Investimento e Melhoria do Ambiente Compatíveis? | Portuguese | Iscte | 2008 | 2009 |
| Fernando Manuel de Deus Infante | Basileia II: Análise das Implicações do Pilar 2 na Organização do Processo de Supervisão. | Portuguese | Iscte | 2008 | 2009 |
