IBMEC Business School
Email: [initial of my first name + my full last name]@ibmecrj.br
1. "Decomposing and Simulating the Movements of Term Structures in Emerging Eurobonds Markets", Journal of Fixed Income , 1 (1998) 21-31. (with A. Duarte and C. Fernandes)
2. "Credit Spread Arbitrages in Emerging Eurobond Markets", Journal of Fixed Income , 2, (2000) 100-111. (with A. Duarte and C. Fernandes) pdf
3. "A Generalization of Principal Components Analysis for Non-Observable Term Structures in Emerging Markets", International Journal of Theoretical and Applied Finance , Vol. 6, 8, (2003) 885-903. (with A. Duarte and C. Fernandes) pdf4. " Time-Varying Risk Premia in Emerging Markets: Explanation by a Multi-Factor Affine Term Structure Model", International Journal of Theoretical and Applied Finance , Vol. 7, 7, (2004) 919-947. pdf
5. " Affine Processes, Arbitrage-Free Term Structures of Legendre Polynomials and Option Pricing", International Journal of Theoretical and Applied Finance , Vol. 8, 2, (2005) pdf
6. "Do Options Contain Information About Excess Bond Returns?", March (2006) (with J. Graveline and S. Joslin) pdf
7. " The Role of Fixed Income Options on the Risk Assessment of Bond Portfolios", May (2006) (with J. Valentim)
8. " Pricing and Hedging Brazilian Fixed Income Options ", May (2006) (with J. Valentim)
9. "A Latent Factor Approach to Identify the Market Price of Risk", December (2005). (with M. Fernandes and H. Lopes)
10. "Regime Shifting Models for Bond Yields and Credit Default Swaps", June (2005). (with M. Akat and G. Papanicolaou)
11. "Some Empirical Implications on a Parametric Arbitrage-Free Term Structure Model ", March (2005).
12. "Pricing and Modeling Credit Derivatives", February (2005). (with M. Akat and G. Papanicolaou)
13. " Alocacao de Carteiras com Risco de Credito", Brazilian Review of Finance, Vol. 1, 2, (2003) 301-339. (with R. Oliveira, in Portuguese) pdf
14. " Interest Rate Risk Measurement in the Brazilian Sovereign Market", Estudos Economicos, Vol. 34, 2, (2004) (with A. Duarte and C. Fernandes) pdf
15. "Stochastic Volatility Models and Option Pricing in Brazilian Stock Markets: An Empirical Investigation", Journal of Emerging Markets Finance , Vol. 4, 2, (2005), 169-206. (with S. Dana)
16. "A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models", Brazilian Review of Econometrics , Vol. 25, 1, (2005), 89-114. pdf