Jo~ao M. G. Amaro de Matos
Associate Dean
Director of the PhD Program
Private:
Rua Luisa Tody, 6 - 2o
1200-245
Lisbon
Portugal
Tel: +351.96.240.6397
Office:
Faculdade de Economia, Universidade Nova de Lisboa
R. Marqu^es de Fronteira, 20 1099-038
Tel: +351.21.382.2722
Fax: +351.21.387.3973
e-mail: [email protected]
http://docentes.fe.unl.pt/~amatos
Education
² Associate Professor, since 2005.
² Agrega»
c~
ao at the Faculdade de Economia da Universidade Nova de Lisboa. July 2003.
² Ph.D. in Management at The European Institute of Business Administration (INSEAD). Major in Finance. Thesis: Empirical Test of American Options. Chairperson:
Pierre Hillion. April 1995.
² Ph.D. in Physics at the Instituto de Fisica da Universidade de S~a o Paulo, SP, Brazil.
Thesis: Fluctuations in Curie-Weiss Models: Classical Disordered and Quantum Systems
(in Portuguese). Chairperson: Jos¶e Fernando Perez. Graduated com louvor e distin»c~
ao.
September 1988.
² M.Sc. in Physics, Instituto de Fisica da Universidade de S~ao Paulo, SP, Brazil. Dissertation: Fluctuations in Quantum Curie-Weiss Models (in Portuguese). Degree obtained
com distin»c~
ao. November 1984.
² B.Sc. in Business Administration., 1978 to 1983, Escola de Administra»c~a o de Empresas de S~ao Paulo da Funda»c~ao Get¶
u lio Vargas, S~ao Paulo, Brazil.
² B.Sc. in Physics, 1978 to 1982, Instituto de Fisica da Universidade de S~ao Paulo, Brazil
Academic Appointments
² Visiting Positions
{ Coppead, Rio de Janeiro, May-June, 2005.
{ Stockholm Business School, Stockholm University, May 2004-January 2006.
{ Graduate School of Economics, FGV, Rio de Janeiro, Brazil, since January 2003.
{ London School of Economics, 2002.
{ FEA, University of S~ao Paulo, Brazil, 2002.
{ HEC, Universit¶e de Gen¶eve, Switzerland, 2000 - 2001.
1
{
{
{
{
{
MIB School of Management, University of Trieste, Italy, since 2000.
INSEAD, Fontainebleau, France, 1998-2003.
Faculdade de Administra»c~ao, UFBA, Brazil, 1999.
Instituto Superior de Estudos Empresariais, University of Oporto. 1997-1998.
FEA, University of S~ao Paulo, Brazil, 1997.
² Other Positions
{
{
{
{
{
Assistant Professor at FEUNL, 1995-2004.
Teaching Assistant to Prof. Pierre Hillion, INSEAD, 1990 to 1994.
Research Assistant to Professor Lars Tyge Nielsen, INSEAD, 1990.
Post-Doctoral Position, 1988 to 1989, at UniversitÄa t Heidelberg.
Teaching Assistant from 1981 to 1983. EAESP-FGV, S~ao Paulo, Brazil.
Awards and Honours
² Research Fellowships:
{
{
{
{
FCT, 2004-2007, 2003, 2002;
Nova F¶orum, 2004,2002,2001;
FAPESP (Brazil), 2002,1997;
EGIDE (Portugal) 1994-1999.
² Post-Doctoral Fellowship:
{ CNPq (Brazil) 1988-1989.
² Doctoral Fellowships:
{ SPES (EEC) 1992-1994;
{ INSEAD 1989-1991;
{ FAPESP (Brazil) 1984-1988.
Refereed Publications
² Books
(2001) Theoretical Foundations of Corporate Finance, Princeton University Press.
² Chapter in Book
(2005) Fisica e Mercados Financeiros, in Fisica: Tend^encias e Perspectivas, pp.269-279, Ed.
Livraria da Fisica, S~ao Paulo, Brazil
2
² Articles
1. (forthcoming) Venture Capital as Human Resources Management, Journal of Economics
and Business, with Charles W. Calomiris and A. Gledson de Carvalho.
2. (forthcoming) Testing the Markov Property with Ultra High Frequency Financial Data,
Journal of Econometrics, with Marcelo Fernandes.
3. (2004) Social Norms and the Paradox of Elections' Turnout, Public Choice, Volume 121,
Issue 1-2, October, pp. 239 - 255, with Pedro Pita Barros.
4. (2003) The Manager as Change Agent: Organizational Design and Attitude Change, International Studies in Management and Organizations, Winter 2003-4, Vol. 38, No. 4,
with Luis Almeida Costa and Miguel Pina e Cunha.
5. (2003) Market Illiquidity and the Bid-Ask spread of Derivatives, European Journal of
Finance, Vol. 9, issue 5, 475-498, with Paula Ant~a o.
6. (2002) Towards an Organizational Model of Attitude Change, Computational and Mathematical Organization Theory, Vol. 8, No. 4, 315-335, with Luis Almeida Costa.
7. (2002) Market Power and Feedback E®ects from Hedging Derivatives, International Journal of Theoretical and Applied Finance, Vol. 5, No. 8, 845-875, with Jo~ao Sobral do
Ros¶ario.
8. (2001) Super-replicating Bounds on European Option Prices when the Underlying Asset
is Illiquid, Economics Bulletin, 7, 1-7, with Paula Ant~a o.
9. (2001). MSM Estimators of European Option Pricing Models on Assets with Jumps,
Mathematical Finance, 11, 189-203.
10. (1992) Fluctuations in the Curie-Weiss Version of the Ising Model with Random Field Erratum, Europhysics Letters, 18, 661-664, with J. F. Perez.
11. (1992) Random In¯nite-Volume Gibbs States for the Curie-Weiss Random Field Ising
Model, Journal of Statistical Physics, 66, 139-164, with A. E. Patrick and V. A. Zagrebnov.
12. (1992) Fluctuations in the Dilute Antiferromagnets - Curie-Weiss Models, Journal of
Physics A, 25, 2819-2830, with J. A. Ba^eta Segundo and J. F. Perez.
13. (1991) Fluctuations in the Curie-Weiss Version of the Random Field Ising Model, Journal
of Statistical Physics, 62, 587-608, with J. F. Perez.
14. (1988) Fluctuations in the Curie-Weiss Version of the Ising Model with Random Field,
Europhysics Letters, 5, 277-281, with J. F. Perez.
Working Papers (Available from http://docentes.fe.unl.pt/~amatos)
1. (2006) Maket Equilibrium and the Bid-Ask Spread of European Derivatives in Dry Markets, with Ana Lacerda.
3
2. (2005) Random Dry Markets and Statistical Arbitrage Bounds for European Derivatives.
Last Revision: February 2007, with Ana Lacerda.
3. (2004) Information Flow, Social Networks and the Fluctuations of Prices in Financial
Markets. Last Revision: February 2007.
4. (2004) Dry Markets and Superreplication Bounds for American Derivatives. Last Revision:
December 2006, with Ana Lacerda.
5. (2004) Correcting the Hedge of Brazilian Currency Options, with J. C. Kapotas and P. P.
Schirmer.
6. (2004) An Organizational Model of Attitude Change with Luis Almeida Costa.
7. (2004) O®spring E®ect in Asset Allocation. Last Revision: March 2006, with Bruno
Funchal.
8. (2002) On the Hedging Strategy of a European Option with Discrete Stochastic Dividends.
Last Revision: February 2005, with Ana Lacerda.
9. (2002) An Exact Approximation for a European Option on a Stock Paying Discrete Dividends. Last Revision: July 2004, with Bruno Ferreira and Rui Dil~ao.
10. (2002) Equilibrium Option Pricing with Illiquid Underlying: Monopoly and Competition
Between Market-Makers, with Paula Ant~ao.
11. (2002) Dry Equity Markets and the Bid-Ask Spread of Warrants, with Luis Filipe Zeferino.
12. (2001) Value, Imperfect Competition and Interest Rate Risk in Banking, with Paulo Pinho.
Works in Progress
1. How Small is the Corporate Governance World?, with Alexandre Gil.
2. The Small World of Scienti¯c Publications, with Jo~ao Mergulh~ao.
3. Strategic Asset Allocation for an Investor with a Child, with Bruno Funchal.
4. MSM Estimators of American Option Pricing Models.
5. A Model for Reversed LBO's, with S¶ergio Lagoa.
6. Going Public and the value of market's information, with S¶ergio Lagoa.
7. Arbitrage and Bankruptcy, with M¶ario P¶ascoa.
8. An Endogenous Model for Noise in Financial Markets, with Antonio Mele.
9. Education versus work in Strategic Asset Allocation, with Leonardo Pio Perez.
4
Conference Proceedings
1. Dry Markets and Superreplication Bounds of American Derivatives, with Ana Lacerda, in
the Proceedings of the IV Brazilian Finance Society Meeting, Rio de Janeiro, July 2004,
Proceedings of the Bachelier Society Meeting, Chicago, 2004.
2. O®spring E®ect in Asset Allocation, with Bruno Funchal, in the Proceedings of the IV
Brazilian Finance Society Meeting, Rio de Janeiro (2004).
3. Information Flow, Social Networks and the Fluctuations of Prices in Financial Markets,
in the Proceedings of the Latin American Meeting Econometric Society, Santiago de Chile
(2004); also in the Proceedings of the XXV Brazilian Econometric Society Meeting, Porto
Seguro, Brasil (2003).
4. Social Networks and the Paradox of Voting, with Pedro Pita barros, in the Proceedings of
the European Meeting Econometric Society, Venice, August (2002).
5. Organizational Structure, Information Flows and Attitude Change, with Luis Almeida
Costa, in the Proceedings of the Second International Conference of the Iberoamerican
Academy of Management (2001).
6. Testing the Markov Property with Ultra High Frequency Financial Data, with Marcelo
Fernandes in the Proceedings of the XXIII Brazilian Meeting of the Econometric Society,
Salvador, December (2001).
7. Option Markets and the Feedback E®ect in the Presence of Bid-Ask Spreads in the Underlying Asset, with Jo~ao do Ros¶ario in the Proceedings of the First Brazilian Finance Society
Meeting, S~a o Paulo, Eds. Antonio Zoratto Sanvicente and Marcos Eug^enio da Silva. July
(2001).
8. Equilibrium Option Pricing and Market Incompleteness Driven by Illiquidit, with Paula
Ant~ao in the Proceedings of the Bachelier Society Meeting, Creete, 2002, Proceedings of
the First Brazilian Finance Society Meeting, S~ao Paulo, Eds. Antonio Zoratto Sanvicente
and Marcos Eug^enio da Silva. July (2001).
9. Market Illiquidity and the Bid-Ask spread of Derivatives, with Paula Ant~ao in the Proceedings of the XXII Brazilian Meeting of the Econometric Society, Campinas, December
(2000).
10. MSM Estimators of European Option Pricing Models on Assets with Jumps, in the Proceedings of the XIX Brazilian Meeting of the Econometric Society, Recife, December
(1997).
11. MSM Estimators of American Options Pricing Models, in the Proceedings of the XIV
Latin American Meeting of the Econometric Society, Rio de Janeiro, August (1996).
12. Gibbs Measures for the Curie-Weiss Random Field Ising Model, with A. E. Patrick and V.
A. Zagrebnov in Proceedings of the Fifth Vilnius Conference on Probability Theory and
Mathematical Statistics, Eds. B. Grigelionis, Yu Prohorov, V. Sazonov and V. Statulevicius. VSP, Utrecht, Holand, (1990).
5
Academic Presentations
² Conferences
2007
{ Encontro Luso Brasileiro de Finan»cas, Fortaleza, Brazil, March: Information Flow,
Social Networks and Volatility of Prices in Financial Markets.
2006
{ EFMA Conference, June 28-July 1, Universidad Complutense, Madrid: Random Dry
Markets and Statistical Arbitrage Bounds for European Derivatives;
{ 4th INFINITI Conference on International Finance, Dublin, Trinity College, 12-13
June 2006: Information Flow, Social Networks and Volatility of Prices in Financial
Markets.
{ 9th Conference of the Swiss Society for Financial Market Research, April 7, ZÄurich,
SWX Swiss Exchange: Random Dry Markets and Statistical Arbitrage Bounds for
European Derivatives.
2005
{ XXVI Brazilian Econometric Society Meeting, Natal, Brazil, December: Random
Dry Markets and Statistical Arbitrage Bounds for European Derivatives;
{ ASSET Meeting, Crete, October: Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets;
{ World Meeting Econometric Society, London, August: An Organizational Model of
Attitude Change.
2004
{ XXVI Brazilian Econometric Society Meeting, Jo~ao Pessoa, Brasil, December: Dry
Markets and Superreplication Bounds of American Derivatives;
{ Stochastic and Finance International Conference, Lisbon, September: Information
Flow, Social Networks and the Fluctuations of Prices in Financial Markets;
{ IV Brazilian Finance Society Meeting, Rio de Janeiro, July: O®spring E®ect in Asset
Allocation;
{ IV Brazilian Finance Society Meeting, Rio de Janeiro, July: Dry Markets and Superreplication Bounds of American Derivatives;
{ Latin American Meeting Econometric Society, Santiago de Chile, July: Information
Flow, Social Networks and the Fluctuations of Prices in Financial Markets;
{ Encontro Nacional de Gest~ao de Riscos, S~ao Paulo, April: Corporate Hedging.
2003
6
{ XXV Brazilian Econometric Society Meeting, Porto Seguro, Brasil, December: Information Flow, Social Networks and the Fluctuations of Prices in Financial Markets;
{ European Meeting Econometric Society, Stockholm, August: Organizational Structure, Information Flows and Attitude Change.
2002
{ European Meeting Econometric Society, Venice, August: Social Networks and the
Paradox of Voting;
{ Bachelier Finance Society, Crete, Greece, June: Equilibrium Option Pricing and
Market Incompleteness Driven by Illiquidity;
{ North-American Meeting Econometric Society, UCLA, June: Equilibrium Option
Pricing and Market Incompleteness Driven by Illiquidity.
2001
{ XXIII Brazilian Econometric Society Meeting, Salvador, Brasil, December: Equilibrium Option Pricing and Market Incompleteness Driven by Illiquidity;
{ Second International Conference of the Iberoamerican Academy of Management,
Mexico City, December: Organizational Structure, Information Flows and Attitude
Change;
{ I Brazilian Finance Society Meeting, S~ao Paulo, July: Equilibrium Option Pricing
and Market Incompleteness Driven by Illiquidity;
{ I Brazilian Finance Society Meeting, S~ao Paulo, July 2001, Guest speaker in the
mini-course: Theoretical Foundations of Finance;
{ I Brazilian Finance Society Meeting, S~ao Paulo, July: Option Markets and the Feedback E®ect in the Presence of Bid-Ask Spreads in the Underlying Asset;
{ SPiE, Portuguese Society of Research in Economics, Lisbon, June: Equilibrium Option Pricing and Market Incompleteness Driven by Illiquidity;
{ 8th International Conference in Forecasting Financial Markets, London, June: Option
Markets and the Feedback E®ect in the Presence of Bid-Ask Spreads in the Underlying
Asset;
{ European Finance Management Association Meeting, Paris, June: Option Markets
and the Feedback E®ect in the Presence of Bid-Ask Spreads in the Underlying Asset.
2000
{ SBE, XXII Brazilian Econometric Society Meeting, Campinas, December: Market
Illiquidity and the Bid-Ask Spread of Derivatives;
{ SPiE, Portuguese Society of Research in Economics, Oporto, June: Market Illiquidity
and the Bid-Ask Spread of Derivatives;
{ Portuguese Finance Network, Braga, June: Market Illiquidity and the Bid-Ask Spread
of Derivatives;
7
{ SPiE, Portuguese Society of Research in Economics, Oporto, June: The Equilibrium
Dynamics for an Endogeneous Bid-Ask Spread in Financial Markets.
1997
{ XIX Brazilian Meeting of the Econometric Society, Recife, December: MSM Estimators of European Option Pricing Models on Assets with Jumps.
1996
{ Latin American Meeting of the Econometric Society, Rio de Janeiro, August: MSM
Estimators of American Options Pricing Models.
1994
{ AFFI Conference, (French Finance Association), Tunis, June: MSM Estimators of
American Options Pricing Models.
² Seminars
2005
{ Queen Mary, University of London, August: An Organizational Model of Attitude
Change;
{ RiskControl, Rio de Janeiro, June: Random Dry Markets and Statistical Arbitrage
Bounds for European Derivatives;
{ Ibmec, S~ao Paulo, June: Random Dry Markets and Statistical Arbitrage Bounds for
European Derivatives.
2004
{ PUC, Rio de Janeiro, March: Information Flow, Social Networks and the Fluctuations
of Prices in Financial Markets;
{ Ibmec, S~ao Paulo, February: Information Flow, Social Networks and the Fluctuations
of Prices in Financial Markets;
{ EPGE-FGV, Rio de Janeiro, March: Information Flow, Social Networks and the
Fluctuations of Prices in Financial Markets.
2003
{ Ibmec, Rio de Janeiro, June: Information Flow, Social Networks and the Fluctuations
of Prices in Financial Markets.
2002
{ EPGE-FGV, Rio de Janeiro, May: Social Networks and the Paradox of Voting.
{ School of Economics of the Universidade de S. Paulo, Brazil, May: Equilibrium Option Pricing and Market Incompleteness Driven by Illiquidity;
8
{ London School of Economics, February: Equilibrium Option Pricing and Market
Incompleteness Driven by Illiquidity.
2001
{ EPGE-FGV, Rio de Janeiro, July: Equilibrium Option Pricing and Market Incompleteness Driven by Illiquidity.
2000
{ Graduate School of Economics (EPGE), FGV, Rio de Janeiro, December: Organizational Structure, Information Flows and Attitude Change.
{ School of Economics, University of Lausanne (DEEP), November: Organizational
Structure, Information Flows and Attitude Change;
1999
{ School of Economics of the Universidade Nova de Lisboa, Portugal, December: Organizational Structure, Information Flows and Attitude Change.
1997
{ School of Economics of the Universidade de S. Paulo, Brazil, August: MSM Estimators of European Option Pricing Models on Assets with Jumps.
1994
{ Faculdade de Economia, Universidade Nova de Lisboa, Portugal, March: MSM Estimators of American Options Pricing Models;
{ Nijenrode University, Breukelen, Holand, March: MSM Estimators of American Options Pricing Models;
{ E.S.S.E.C., Cergy Pontoise, France, February: MSM Estimators of American Options
Pricing Models;
{ H.E.C., Jouy-en-Josas, France, January: MSM Estimators of American Options Pricing Models.
1992
{ Instituto de Fisica, Universidade de S. Paulo, Brazil, December: Phase Transitions
in Financial Models.
1989
{ Ecole Polytechnique, Lausanne, Switzerland, July: Fluctuations in the Curie-Weiss
Version of the Random Field Ising Model.
{ Catholic University, Leuven, Belgium, June: Fluctuations in the Curie-Weiss Version
of the Random Field Ising Model;
9
{ Laboratory of Theoretical Physics, Dubna, U.S.S.R., April: Fluctuations in the CurieWeiss Version of the Random Field Ising Model;
1988
{ Sonderforschungsbereich 123 UniversitÄat Heidelberg, Germany, December: Fluctuations in the Curie-Weiss Version of a Spin-Glass Model.
Research Interests
² Finance, Probability Theory and Stochastic Processes.
² Financial markets' modelling in discrete and continuous time.
² Econometric methods applied to Finance.
² Asset pricing and incomplete markets.
Teaching Experience
² Undergraduate: Corporate Finance, Options, Investments
² MBA: Corporate, Investments, Risk Management, International Finance, Probability and
Statistics
² Executive Education: Options, Risk Management, Continuous-Time Finance
² PhD: Asset Pricing Theory, Measure Theory, Continuous-Time Finance, Corporate
Dissertation Committees
As Advisor:
² Ariel Gurreiro (MSc) A Social Interaction Model for the relation between Price Volatility
and Transaction Volume, work in progress.
² Jo~ao Mergulh~a o (PhD) Essays on Market Microstructure, work in progress.
² Nuno Miguel Barateiro Gon»calves Silva (PhD) The Impact of Derivatives on the Underlying's Bid-Ask Spread, Work in progress.
² In¶acia Pimentel Pacheco Pereira (MSc) The Voting Paradox and Social Networks: an
Empirical Analysis. February 2007.
² Ana Lacerda (PhD) Risk Premia of American Options in Dry Markets. November 2006.
² S¶ergio Lagoa (MSc) A Model for Reversed LBO's. FEUNL, Lisbon. September 2004.
10
² Luis Filipe Zeferino (MSc) Dry Equity Markets and the Bid-Ask Spread of Warrants.
FEUNL, Lisbon. December 2002.
² Paula Ant~a o (PhD): Market Illiquidity and the Pricing of Derivatives. FEUNL, Lisbon.
December 2002.
² Jo~ao Sobral do Ros¶ario (MSc): The Feedback e®ect in Pricing of Options written on an
asset with a Bid-Ask Spread. September 2001.
² Cl¶audia Alexandra Gon»calves Correia Ribeiro (MSc): Iliquidez no Mercado de Op»c~o es
Ex¶oticas.(Illiquidity in the Exotic Options' Market - The Case of Barrier Options in the
Portuguese Market). Faculdade de Economia da Universidade do Porto, Oporto. March
1999.
² Paula Cristina C^a ndido Geada (MSc): Inova»c~oes Financeiras no Mercado Portugu^es. (Financial Innovations in the Portuguese Market). FEUNL, Lisbon. March 1998
As Member of the Juri:
² Rui Jorge Caru»co Barroso de Moura (PhD), Op»c~oes e Jogos: Intersec»c~a o das Op»c~oes Reais
com a Teoria de Jogos na Modela»c~ao Din^amica de Investimentos em Ambiente de Incerteza
e Competitividade. ISEG, Lisbon, April 2006.
² Diana Carina Ribeiro Guimar~aes Bon¯m (MSc), Credit Risk Drivers:Evaluating the Contribution of Firm Level Information and Macroeconomic Dynamics, FEUNL, Lisbon, 2006.
² Miguel Atan¶asio Lopes Carvalho (MSc), Non-constant Time Discounting and Asset Pricing. ISEG, Lisbon, 2005.
² Diogo C^o rte-Real Alarc~ao J¶udice (MSc), Modelos de Optimiza»c~ao Financeira e o Value at
Risk. Escola de Gest~a o do Porto, Universidade do Porto, May 2004.
² Eduardo Bopp (MSc) Negocia»c~ao com Informa»c~ao Diferenciada e o seu Efeito Sobre o
Retorno de Activos: Evid^encia Emp¶irica na Am¶erica Latina. EPGE-FGV, Rio de Janeiro,
March 2003.
¶
² Aldo Henrique Treu Ramos (MSc). Resolu»c~ao Otima
de Pre»cos: o Caso Brasileiro, EPGEFGV, Rio de Janeiro, February 2003.
² Luis Alberto Ferreira de Oliveira (MSc): The Quality Option inmplicit in Treasury Bond
Futures Contracts: A Theoretical and Empirical Assessment. ISCTE, Lisbon, December
2002.
² Andr¶e Br¶as (MSc): Algoritmos Gen¶eticos: Aplica»c~a o aos Mercados de Capitais em Portugal. ISEG, Lisbon. 2002.
² Jorge Constantin Kapotas (MSc): FEA-USP, S~ao Paulo, Brazil. 2002.
² Osvaldo Jos¶e Gon»calves Oliveira (MSc): Op»c~o es Reais e Exporta»c~oes. ISEG, Lisbon. 2000.
11
² Paula Cristina A. M. Albuquerque (PhD): Ensaios sobre a Microestrutura do Mercado de
C^ambios Portugu^es. ISEG, Lisbon. July 2000.
² Jos¶e Miguel Lameiras Cardoso Correia Gaspar (MSc): Aspectos de Valoriza»c~ao de Empresas a Prop¶o sito de uma Aquisi»c~ao Alavancada. FEUNL, Lisbon. July 1999.
² Luis Carlos Antunes Barroso (MSc): An¶alise Multicrit¶erio: Uma aplica»c~ao µa avalia»c~ao do
risco de cr¶edito banc¶ario de m¶edio-longo prazo a empresas. Universidade Lusiada, Lisbon.
July 1999.
² Nelson Manuel de Pinho Brand~ao da Costa Areal (MSc): Revers~a o e Avers~ao para a M¶edia
da Rendibilidade de Indices de Ac»c~oes no Mercado Accionista Portugu^es. Universidade do
Minho, Braga. September 1997.
² Carlos Frederico Azevedo Cardoso Pereira Bettencourt (MSc): A Simulation-Based Analysis of Passive and Active Bond Portfolio Management Using Protective Put Strategies.
FEUNL, Lisbon. September 1996.
² Pedro Coragem Palma Fernandes (MSc): Lucros Inesperados e Rendibilidade no Mercado
de Capitais Portugu^es. ISEG, Lisbon. September 1996.
² Domingos Lopes de Miranda (MSc): Testes Multivariados do CAPM com Variabilidade dos
Pr¶emios de Risco e Risco ao Longo do Tempo. Universidade do Minho, Braga. December
1995.
Institutional Contribution
² Associate Dean for International Relations, since July 2005.
² Director of the PhD Programme, since December 2004.
² Director of the Undergraduate Programme in Business, at the School of Economics of
Universidade Nova de Lisboa. From April 1996 until October 22, 2001.
² Director of the Case Studies Programme, at the School of Economics of Universidade Nova
de Lisboa. From April 1997 until 2001.
² Scienti¯c Coordinator of the Post-Graduation Risk Management Course (course o®ered by
Nova Forum in colaboration with the Derivatives Exchange in Oporto and with IDEFE).
² Member, Pedagogical Council of the School of Economics of Universidade Nova de Lisboa.
1995-2000.
Professional Services
² Organizer, Nova Summer School in Finance, Modern Dynamic Asset Pricing Models, with
Prof. Pietro Veronesi, July 2007.
12
² Organizer of the First Encontro Luso-Brasileiro de Finan»cas, Fortaleza, Brazil, 2007
² Organizer, Nova Summer School in Finance, Foundations of Market Microstructure, with
Prof. Utpal Bhattacharya, July 2006.
² Co-editor of a special number of International Studies in Managent and Organization.
² Member, Editorial Board
{ Review of Financial Markets
{ Revista Brasileira de Finan»cas
{ Revista de Economia Mackenzie
² Referee for Mathematical Finance, Journal of Applied Economics, Economics of Planning,
Revista Brasileira de Econometria, Finance, Portuguese Economic Journal, International
Journal of Theoretical and Applied Finance.
² Member, Selection Committee
{ Encontro Luso Brasileiro de Finan»cas, Fortaleza 2007.
{ CLADEA - Consejo Latinoamericano de Escuelas de Administraci¶o n, Chile 2005
{ Brazilian Econometric Society Meeting, Natal 2005
{ Ibero-American academy of Management, Lisbon, 2005
{ Brazilian Finance Society Meeting, Rio de Janeiro 2004
{ Portuguese Finance Network Meeting, Lisbon 2004
{ Brazilian Finance Society Meeting, S~ao Paulo 2004
{ Latin American Summer Meeting of the Econometric Society, Panama, 2003
{ Brazilian Finance Society Meeting, S~ao Paulo 2003
¶
{ Portuguese Finance Network Meeting, Evora
2002
{ SPiE, Portuguese Society of Research in Economics Meeting, Oporto 2000
Personal Details
Portuguese citizen. Single, born January 15, 1961 in Lisbon, Portugal. Fluent knowledge of
English and French. Working knowledge of Italian, Spanish and German.
Updated April 16, 2007
13