Members > PhD Members

Cláudia Nunes

Institutional Address

Instituto Superior Técnico (IST)
Av. Rovisco Pais 1
1049-001 LISBOA


Phone: +351965694036 | Email: cnunes@math.tecnico.ulisboa.pt

Position

Associate Professor, Instituto Superior Técnico, Universidade de Lisboa

Area

Statistics and Stochastic Processes

Principal Area

Mathematical Finance, Stochastic Processes

Qualifications

  • Msc in Applied Mathematics, IST
  • PhD in Mathematics, IST

Papers in International Journals

Papers or Chapters in Edited Books

Communications in Conference Proceedings

 Supervisions

 

Pos-Doc students:

  •  Verena Hagspiel, 10/2011-07/2012, Projecto SANAF
  • Daniel Schwartz, 09/2012-07/2013, Projecto SANAF

PhD students

  • Gualter Couto, PhD in Management (joint supervision with José Azevedo-Pereira), ISEG, May 2006
  • Rita Pimentel, PhD in Statistics and Stochastic Processes (joint supervision with Raquel Gaspar), IST, April 2018
  • Carlos Oliveira, PhD in Mathematics (joint supervision with Manuel Guerra and Peter Kort), IST, May 2018.

Master students

  • Ana Medeiros, "Investment Decisions Upon Innovative Technological Products", Master in Mathematics and Aplications, - IST, 2018 
  • Miguel Ribeiro, "Volatility Models in Option Pricing", Mestrado em Física Tecnológica, IST, 2018
  • Francisco Almeida, "Optimal Stopping time involving polynomial profit Functions", Master in Mathematics and Aplications, - IST - IST, 2017.
  • Jo\~ao Duro, "Analysis of the Optimal Exercise Time of an American Call Option for Jump-Diffusions", Master in Mathematics and Aplications, - IST - IST, 2017.
  • Bárbara Simões, "Study of the switching problem with abandonment option: an Application to Petroleum Production", Master in Mathematics and Aplications, - IST - IST, 2017.
  • Daniela Oliveira, "Writing a pricer in a recombining tree for CDS Options using a HJM model(Cheyette)", Master in Mathematics and Aplications, - IST - IST, 2017.
  • Rongjiao Ji, "Modeling Implied Volatility", Master in Mathematics and Aplications, - IST - IST, 2017.
  • Hugo Pinto, "Investment in Clean Energy: a Real Options Approach", co-orientado pelo Dr. Daniel Schwarz, Master in Mathematics and Aplications, - IST - IST, 2014.
  • Inês Leitão, "Investment under two sources of uncertainty - strategic decisions in offshore petroleum production" , co-orientado por Prof. Verena Hagspiel (NTNU-Noruega),  Master in Mathematics and Aplications, - IST - IST, 2014.
  • Pedro Jesus,  "Investment in R\&D centers in the Technology Adoption problem", co-orientado por Prof. Verena Hagspiel (NTNU-Noruega), Master in Mathematics and Aplications, - IST- IST, 2012.
  • Pedro Pólvora, "Optimal Value of a Firm Investing in Exogeneous Technology", co-orientadora, orientado por Prof. Manuel Guerra, ISEG, Master in Mathematical Finance, - IST, ISEG, Setembro 2012.
  • Verónica Martins, "Optimal Technology Adoption when the Arrival Rate of New Technology Changes: Further Results and Extensions", co-orientado por Prof. Verena Hagspiel (NTNU-Noruega), Master in Mathematics and Aplications, - IST - IST, 2012.
  • Francisco Macedo, "Investment Policies in Competitive Products: Further Results and Extensions", co-orientado por Prof. Peter Kort (Tilburg University - Holanda), Master in Mathematics and Aplications, - IST - IST, 2012.
  • Nuno Calaim, "Optimal Investment Policy in Competitive Products",  co-orientado por Prof. Peter Kort (Tilburg University - Holanda), Master in Mathematics and Aplications, - IST - IST, 2011.
  • Débora Ricardo, "Generalizações do Movimento Geométrico Browniano com Saltos", Master in Mathematics and Aplications, - IST - IST, 2011.
  • Daniel Peixeiro, "Models of forecast of electricity prices", Master in Mathematics and Aplications, - IST - IST, 2009.
  • Sílvia Nobre, "First Passage Times in Ito Processes Considering a Jump Scenario - Applications in Finance", Master in Mathematics and Aplications, - IST- IST, 2008. 
  • Bruno Silva, "Análise de Opções Reais no Processo de Relocalização", Master in Mathematics and Aplications, - IST - IST,  orientação conjunta com Prof. Gualter Couto (co-orientador, Universidade dos Açores), Novembro de 2007.
  • Tânia Marques e Silva, "Statistical Models to Predict Electricity Prices", Master in Mathematics and Aplications, - IST- IST, orientação conjunta com Prof. António Pacheco (co-orientador, IST), Abril de 2007.

 

Seminars

Investment in Energy (2019-06-06) Anfiteatro Abreu Faro (Complexo Interdisciplinar)
Workshop: Stochastic Analysis and Numerical Approximations in Mathematical Finance (2014-12-16)