| 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 | 20 | 2004 |
| 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 |
| Neural network pricing of American put options RM Gaspar, SD Lopes, B Sequeira Risks 8 (3), 73, 2020 | 17 | 2020 |
| Trust in financial markets: The role of the human element RM Gaspar, PL Henriques, AR Corrente Revista brasileira de gestao de negocios 22, 647-668, 2020 | 12* | 2020 |
| Convexity adjustments RM Gaspar, A Murgoci Encyclopedia of Quantitative Finance 1, 363-368, 2010 | 12* | 2010 |
| Finite dimensional Markovian realizations for forward price term structure models RM Gaspar Stochastic Finance, 265-320, 2006 | 12* | 2006 |
| Portfolio insurance–a comparison of naive versus popular strategies J Costa, RM Gaspar Insurance Markets and Companies: Analyses and Actuarial Computations 5 (1 …, 2014 | 11* | 2014 |
| 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 |
| CDOs in the light of the current crisis RM Gaspar, T Schmidt FINANCIAL RISKS: NEW DEVELOPMENTS IN STRUCTURED PORDUCT & CREDIT DERIVATIVES …, 2009 | 9 | 2009 |
| Term structure models with shot-noise effects RM Gaspar, T Schmidt ISEG Advance Working Paper, 2007 | 9 | 2007 |
| On path–dependency of constant proportion portfolio insurance strategies J Carvalho, RM Gaspar, J Beleza Sousa REM Working Paper, 094-2019, 2018 | 8 | 2018 |
| Solvency II-an important case in applied VaR ADE Dos Reis, RM Gaspar, AT Vicente The VaR Modeling Handbook: Practical applications in alternative investing …, 2010 | 8* | 2010 |
| Investment analysis of autocallable contingent income securities R Albuquerque, RM Gaspar, A Michel Financial Analysts Journal 71 (3), 61-83, 2015 | 7 | 2015 |
| 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 |
| Investors’ perspective on portfolio insurance: Expected utility vs prospect theories RM Gaspar, PM Silva Portuguese Economic Journal 22 (1), 49-79, 2023 | 4* | 2023 |
Thorsten SchmidtProfessur für Finanzmathematik, TU ChemnitzVerified email at mathematik.tu-chemnitz.de
