Publications

Published Papers

Reproducibility in Management Science. (with Miloš Fišar , Ben Greiner , Christoph Huber , Elena Katok , Ali I. Ozkes and others) Management Science. Forthcoming Link 

Price Transparency in OTC Equity Lending Markets: Evidence From a Loan Fee Benchmark (with  Fabio Cereda,  Fernando Chague, Rodrigo De Losso, and Bruno Giovannetti) (Link) - v.143 (1), (2022) Journal of Financial Economics

Market-Power and Baking Regulations. Evidence by RDD application over Brazilian Banking Market. - v. 202, (2021) Economics Letters . link 

Securities Lending and Short Selling (with  Fernando Chague, Rodrigo De Losso, and Bruno Giovannetti)  Review of Business Management. v. 22 , (2020) .  Link

Detection and analysis of occurrences of spoofing in the Brazilian capital market (with Luisa Mendonça) Journal of Financial Regulation and Compliance  - forthcoming - (Link)

Does the Lending Rate Impact ETF's Prices? (With Marco Avellaneda) Brazilian Review of Econometrics, v. 38 (2)  Link

Pricing Interest Rate Derivatives Under Monetary Policy Changes (With Marco Avellaneda). International Journal of Theoretical and Applied Finance. 21(6), (2018) Link

Estimating “hedge and auction” liquidation costs in central counterparties: a closeout risk approach (with Luis Vicente and Fernando Cerezetti) Journal of Financial Market Infrastructures 6 (1), 1–26 (2017); Link

Well-Connected Short-Sellers Pay Lower Loan Fees: A Market-Wide Analysis. (with Fernando Chague, Rodrigo De-Losso and Bruno Giovannetti) Journal of Financial Economics, ; v. 123(3) Link

Systematic Multi-Period Stress Scenarios with an Application to CCP Risk Management. Journal of Banking & Finance, v. 67, p.119–134 (2016); Link

A Monte Carlo Multi-Asset Option Pricing Approximation for General Stochastic Processes. (with Juan Arismendi) Chaos, Solitons and Fractals, v.88, p. 75-99; Link

Short-sellers: Informed But restricted (with Fernando Chague, Rodrigo De-Losso and Bruno Giovannetti). Journal of International Money and Finance, v. 47, p. 56-70 (2015); Link

Estimating Doubly Stochastic Poisson Process With Affine Intensities by Kalman Filter. (with  A. Simonis) Statistical Paper, v. 16 (3), p. 723-748 (2015).  Link

 Generating Interest Rate Stress Scenarios (in Portuguese with Mariela Fernandez). Brazilian Review of Finance – p. 413 - 436: Vol. 9 - number 3 – September 2011; Link 

Pricing Volatility Derivatives (in Portuguese). Brazilian Review of Finance –p 203-228 : Vol. 4 – number 2 – December 2006. Link