Concepedia

Claúdia Ribeiro

CR

Statistics

Publications

5

Citations

201

H-Index

5

Active since

2003

Affiliations

Universidade do Porto(Current)

Claúdia Ribeiro is an author at Universidade do Porto specializing in business, asset pricing, and engineering.

Top concepts

BusinessAsset PricingFinanceStatisticsEngineeringProbabilityOption PricingDecision TheoryStochastic SimulationUncertainty Quantification

Publications per year

2003–2009

5

Publications

5

Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge

Claúdia Ribeiro, Nick Webber · The Journal of Computational Finance · 2003 · 114 citations

Stochastic Simulation, Option Pricing, Engineering +15

A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge

Nick Webber, Claúdia Ribeiro · Computing in Economics and Finance · 2003 · 33 citations

Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility

Gonçalo Faria, Claúdia Ribeiro, João Correia-da-Silva · RePEc: Research Papers in Economics · 2009 · 23 citations · Full text

Asset Allocation, Portfolio Management, Portfolio Choice +17

Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes

Claúdia Ribeiro, Nick Webber · Applied Mathematical Finance · 2006 · 19 citations

Engineering, Lévy Processes, Monte Carlo Methods +25

A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge

Claúdia Ribeiro, Nick Webber · RePEc: Research Papers in Economics · 2004 · 12 citations · Full text

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