Português
| Teaching Year | Semester | Course Name | Degree(s) | Coordinator |
|---|---|---|---|---|
| 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 | Master Degree in Financial Mathematics (ISCTE/FCUL); | 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 | Master Degree in Financial Mathematics (ISCTE/FCUL); | 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 | Master Degree in Financial Mathematics (ISCTE/FCUL); | 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 | Master Degree in Financial Mathematics (ISCTE/FCUL); | 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 | Master Degree in Financial Mathematics (ISCTE/FCUL); | 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 | -- | Yes |
| 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 | Master Degree in Financial Mathematics (ISCTE/FCUL); | 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 (28)
Ongoing (10)
| Student Name | Title/Topic | Language | Status | Institution | Initial Year |
|---|---|---|---|---|---|
| Raquel Oliveira Coelho | Fair value of an interest value cap | Developing | Iscte | 2025 | |
| João Pedro Gonçalves Frazão do Rosário | The joint SPX/VIX calibration | Developing | Iscte | 2025 | |
| Sofia Barreto Baptista Basílio | Credit Risk Analysis of Green Bonds and comparison with Traditional Bonds | Developing | Iscte | 2025 | |
| Marta Filipa das Neves Antunes | This project addresses the valuation of an interest rate cap, a financial derivative used to limit exposure to fluctuations in interest rates in variable-rate financing contracts. The aim is to calculate the fair value of this cap on a specific date, based on the characteristics of the contracted financing and the observed interest rates. To achieve this, various theoretical interest rate models, such as the Black-Scholes model, will be explored and applied with the objective of mathematically formalizing the problem, selecting the most appropriate model, and gathering the necessary data for the practical implementation of the calculations. The study is particularly relevant in the context of financial risk management, enabling the company to accurately assess the effectiveness of its hedging strategies in mitigating interest rate variability. | Developing | Iscte | 2024 | |
| Lucas Briz Gonzalez Welter Ribeiro | Work Project | Developing | Iscte | 2024 | |
| 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 | |
| Cláudio dos Santos Machado | Implied risk-neutral distribution | Developing | Iscte | 2024 | |
| Miguel Natal de Brito Boto | Implied Risk Neutral Distribution: Mixtures of t-distributions | Developing | Iscte | 2024 | |
| José Miguel Mateus Serejo Rocha das Neves | Risk-neutral distributions implied from stochastic volatility jump-diffusion models | Developing | Iscte | 2024 |
Concluded (18)
| Student Name | Title/Topic | Language | Institution | Initial Year | Concluding Year |
|---|---|---|---|---|---|
| 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 (16)
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 |
| 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 | |
| Iva Bagic | Singue and Combined Option Trading Strategies. | Iscte | 2010 | 2011 | |
| Jorge Alexandre Rodrigues Domingues | Iscte | 2010 | 2011 | ||
| Luís Filipe Dôres Veiga | 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 |
| Cláudia Patrícia Gonçalves Simões | Euro Área Inflation-Linked Bonds Market: Analysis and immunization abilities. | Portuguese | Iscte | 2008 | 2010 |
| Diogo Monteiro da Costa Soares Justino | Hedging of Barrier Options. | Portuguese | Iscte | 2008 | 2010 |
| Aloísio Bragança Gomes Will | Ambidiesel - Produção de Combustíveis Alternativos. | Portuguese | Iscte | 2009 | 2010 |
| Fernando Manuel de Deus Infante | Basileia II: Análise das Implicações do Pilar 2 na Organização do Processo de Supervisão. | Portuguese | Iscte | 2008 | 2009 |
| Carina Sofia Ferreira da Silva | O Mercado Organizado de CO2 - Oportunidade de Investimento e Melhoria do Ambiente Compatíveis? | Portuguese | Iscte | 2008 | 2009 |
