Mathematical Finance
Optimal Control
Time Series - Wavelet Analysis
Microdata Analysis
1. Dynamic programming for semi-Markov modulated SDEs, Optimization , 2022, (joint work with D. Pinheiro and S. Pinheiro).
2. Bank credit allocation and productivity: stylised facts for Portugal, Studies in Economics and Finance, 2021, (joint work with Márcio Mateus and Álvaro Pina).
3. Structural systemic risk: evolution and main drivers, Journal of Network Theory in Finance, 2020, (joint work with Vítor Oliveira).
4. Who would invest only in the risk-free asset?, International Journal of Financial Engineering Vol. 5, No. 3 (2018) 1850024 (14 pages), (joint work with D. Pinheiro, S.Z. Xanthopoulos, and A.N. Yannacopoulos).
5. Optimal Control of Stochastic Hybrid Models in the Framework of Regime Switches. In: Pinto A., Zilberman D. (eds) Modeling, Dynamics, Optimization and Bioeconomics II. DGS 2014. Springer Proceedings in Mathematics & Statistics, vol 195. Springer, Cham (2017), (joint work with E. Savku and G.W. Weber).
6. Contingent Claim pricing through a continuous time variational bargaining scheme, Ann. Oper. Res. 260: 95-112 (2018), (joint work with D. Pinheiro, S.Z. Xanthopoulos, and A.N. Yannacopoulos).
9. Using Wavelets to Decompose the Time-Frequency Effects of Monetary Policy, Physica A: Statistical Mechanics and its Applications 387: 2863 – 2878 (2008),
(joint work with Maria Joana Soares and Luís Aguiar-Conraria).