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Cláudia Nunes

Institutional Address

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

Phone: +351965694036 | Email:


Assistant Professor, Instituto Superior Técnico, Universidade de Lisboa


Statistics and Stochastic Processes

Principal Area

Mathematical Finance, Stochastic Processes


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


Papers in International Journals

Guerra, Manuel; Nunes, Cláudia; Oliveira, Carlos (2016) Exit option for a class of profit functions. International Journal of Computer Mathematics.
Hagspiel, V.; Huisman, K.. J. M.; Nunes, Cláudia (2015) Optimal technology adoption when the arrival rate of new technologies changes . European Journal of Operational Research: 243(3), 897–911.
Azevedo-Pereira, Jose; Couto, Gualter; Nunes, Cláudia (2013) Some Results on Relocation Policies. European Journal of Finance: 19(7-8), 779-790.
Couto, G.; Nunes, Cláudia; Pimentel, P. (2012) High-speed rail transport valuation and conjecture shocks. European Journal of Finance, 1-15.
Azevedo-Pereira, J.; Couto, G.; Nunes, Cláudia (2010) Optimal timing of relocation. International Journal of Managerial Finance: 6(2), 143-163.
Antunes, Nelson; Nunes, Cláudia; Pacheco, António (2005) Functionals of Markovian Branching D-Bmaps. Stochastic Models: 21(2-3), 261-278.
Mateus, P.; Morais, M. C. ; Nunes, Cláudia; Pacheco, António; Sernadas, A.; Sernadas, C. (2003) Categorical foundations for randomly timed automata. Theoretical Computer Science: 308(1-3), 393-427.

Papers or Chapters in Edited Books

Nunes, Cláudia; Pacheco, António (2004) Cadeias Markov moduladas (Markov modulated chains). In P.M.M. Rodrigues, E.L. Rebelo and F. Rosado, editors, Estatística com Acaso e Necessidade: Edições SPE, Lisboa, 529-540.
Nunes, Cláudia; Pacheco, António (2002) Sojourn and passage times in Markov chains. In G. Latouche and P. Taylor, editors, Matrix-Analytic Methods Theory and Applications: World Scientific, New Jersey, 311-332.
Nunes, Cláudia; Pacheco, António (2001) Estimação dos estados da cadeia de Markov de um MMPP (State estimation of the Markov chain of an MMPP). In P. Oliveira and E. Athayde, editors, Um Olhar Sobre a Estatística: Edições SPE, Lisboa, 238-247.
Nunes, Cláudia; Pacheco, António (1998) Martingalas: uma ferramenta em inferência estatística (Martingales and statistical inference). In M. Souto de Miranda and I. Pereira, editors, Estatística: A Diversidade na Unidade: Edições Salamandra, Lisboa, 393-403.

Communications in Conference Proceedings

Nunes, Cláudia; Pacheco, António (2008) Statistical models to predict electricity prices. Proceedings of 5th IEEE International Conference on the European Electricity Market Location, Lisbon, Portugal, May 28-30 , 1-6.
Antunes, Nelson; Nunes, Cláudia; Pacheco, António (2006) Sojourn time of elastic flows under perturbation of unresponsive traffic. Procs. Second Conference on Next Generation Internet Networks – Traffic Engineering, Valencia: Spain, April 3-5.
Antunes, Nelson; Nunes, Cláudia; Pacheco, António (2002) A queueing network with Markov modulated input. Procs. Second Euro-Japanese Workshop on Stochastic Risk Modelling for Finance, Insurance, Production and Reliability, Chamonix: France, September 18-20, 15-24.
Nunes, Cláudia; Pacheco, António (1999) Stability for input-output systems. Proceedings of ASMDA99 - Applied Stochastic Models and Data Analysis: Quantitative Methods in Business and Industry Society. InstitutoNacional de Estatística, Lisboa, 410-415.
Nunes, Cláudia; Pacheco, António (1998) Parameter estimation in MMPPs. Proceedings of the 2nd International Symposium on Semi-Markov Models: Theory and Applications - Compiègne, December 9-11, 1998. Included in the section "Statistical Estimation II".
Nunes, Cláudia; Pinto, J.R. Caldas; Pacheco, António (1998) Two-dimensional forgetting factor. Proceedings of the 3rd Portuguese Conference on Automatic Control - CONTROLO´98, Coimbra September 9-11, 513-517.


Workshop: Stochastic Analysis and Numerical Approximations in Mathematical Finance (2014-12-16)