Biography
Interesso-me por Matemática Financeira, nomeadamente modelos de volatilidade, bem como por diversos tópicos de Matemática Aplicada como Cálculo Estocástico.
Education
| 2015 | MAST, Matemática, Matemática Cambridge University (United Kingdom) |
| 2014 | Bachelor, Matemática, Matemática Faculdade Ciências, Universidade Lisboa (Portugal) |
Publications & Citations
Working Papers
| Year | Title / Publication | Link |
|---|---|---|
| 2024 | Pseudo rough vol-of-vol through Markovian approximation REM Working Paper |
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| 2021 | Least squares Monte Carlo methods in stochastic Volterra rough volatility models Working Paper REM (Research in Economics and Mathematics) - ISEG (School of Economics and Management) /Universidade de Lisboa |
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Paper presented at academic or professional meetings
| Year | Title / Publication | Link |
|---|---|---|
| 2022 | VIX pricing in the rBergomi model under a regime switching change of measure, In Lisbon Young Mathematicians Conference 2022 (LYMC 2022), 13-14 April 2022 |
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| 2022 | VIX pricing in the rBergomi model under a regime switching change of measure, In International Conference on Computational Finance 2022, June 6 -10 |
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| 2021 | Least Squares Monte Carlo Methods in Stochastic Volterra Rough Volatility Models |
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Journal article
| Year | Title / Publication | Link |
|---|---|---|
| 2023 | VIX pricing in the rBergomi model under a regime switching change of measure Quantitative Finance |
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| 2023 | Least squares Monte Carlo methods in stochastic Volterra rough volatility models Journal of Computational Finance |
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Pedagogical paper to provide full practical support to a course
| Year | Title / Publication | Link |
|---|---|---|
| 2022 | Análise Matemática 2 - Aulas Práticas |
Teaching
2024/2025
| Semester | Course | Degree | Coordinator |
|---|---|---|---|
| 1º | Stochastic Finance in Continuous Time | Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Matemática Financeira - Mathematical Finance | No |
Professional Experience
| Name / Description | Date | Organization |
|---|---|---|
| Cientista de Dados |
2017 - 2019 | |
| Analista de Negócio (Estatística) |
2015 - 2017 |