Machine learning Vasicek model calibration with Gaussian processes JB Sousa, ML Esquível, RM Gaspar Communications in Statistics-Simulation and Computation 41 (6), 776-786, 2012 | 27* | 2012 |
On Recovery and Intensity's Correlation-A New Class of Credit Risk Models RM Gaspar, I Slinko Journal of Credit Risk 4 (2), 1-33, 2008 | 24* | 2008 |
General Quadratic Term Structures for Bond, Futures, and Forward Prices RM Gaspar SSE/EFI Working Papers Series in Economics and Finance, 2004 | 21 | 2004 |
Neural network pricing of American put options RM Gaspar, SD Lopes, B Sequeira Risks 8 (3), 73, 2020 | 18 | 2020 |
Quadratic portfolio credit risk models with shot-noise effects RM Gaspar, T Schmidt SSE/EFI Working Paper Series in Economics and Finance, 2005 | 18* | 2005 |
Trust in financial markets: The role of the human element RM Gaspar, PL Henriques, AR Corrente Revista brasileira de gestao de negocios 22 (03), 647-668, 2020 | 15* | 2020 |
Finite dimensional Markovian realizations for forward price term structure models RM Gaspar Stochastic Finance, 265-320, 2006 | 13* | 2006 |
Comment on “better to give than to receive” by Francis X. Diebold and Kamil Yilmaz RM Gaspar International Journal of Forecasting 1 (28), 67-69, 2012 | 11 | 2012 |
Credit risk modelling with shot-noise processes RM Gaspar, T Schmidt Available at SSRN 1588750, 2010 | 11 | 2010 |
Convexity adjustments RM Gaspar, A Murgoci Encyclopedia of Quantitative Finance 1, 363-368, 2010 | 11* | 2010 |
Portfolio insurance–a comparison of naive versus popular strategies J Costa, RM Gaspar Insurance Markets and Companies: Analyses and Actuarial Computations 5 (1 …, 2014 | 10* | 2014 |
Term structure models with shot-noise effects RM Gaspar, T Schmidt ISEG Advance Working Paper, 2007 | 10 | 2007 |
Solvency II-An Important Case in Applied VAR. ADE Dos Reis SSRN, 2009 | 9* | 2009 |
CDOs in the light of the current crisis RM Gaspar, T Schmidt ISEG-Departamento de Gestão, 2008 | 9 | 2008 |
On path–dependency of constant proportion portfolio insurance strategies J Carvalho, RM Gaspar, J Beleza Sousa REM Working Paper, 094-2019, 2018 | 7 | 2018 |
Investment analysis of autocallable contingent income securities R Albuquerque, RM Gaspar, A Michel Financial Analysts Journal 71 (3), 61-83, 2015 | 7 | 2015 |
Investors’ perspective on portfolio insurance: Expected utility vs prospect theories RM Gaspar, PM Silva Portuguese Economic Journal 22 (1), 49-79, 2023 | 6* | 2023 |
Interest rate theory and geometry T Björk, RM Gaspar Portugaliae Mathematica 67 (3), 321-367, 2010 | 6 | 2010 |
Historical VaR for Bonds-A New Approach J Beleza Sousa, ML Esquível, RM Gaspar, P Real Proceedings of the 8th Portuguese Finance Network Conference (Ed. by L …, 2014 | 5* | 2014 |
Expectation Hypothesis bias: Risk aversion versus Stochastic adjustment R França PQDT-Global, 2011 | 5 | 2011 |