Author

Name:
Joao Guerra
e-mail:
jguerra@iseg.utl.pt
FCT research center:
Centro de Matemática Aplicada à Previsão e Decisão Económica - CEMAPRE (2015)
REBIDES institution:
Universidade de Lisboa - Instituto Superior de Economia e Gestão (2015)
Articles 2:

VIX Pricing in the rBergomi Model under a Regime Switching Change of Measure
Henrique Guerreiro, Joao Guerra
Quantitative Finance, vol. 23, 2023, p. 721-738.

Implied Risk Neutral Densities from Option Prices: Hypergeometric, Spline, Lognormal, and Edgeworth Functions
Andre Santos, Joao Guerra
Journal of Futures Markets, vol. 35, 2015, p. 655-678.

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