Monte Carlo valuation of worst-of auto-callable equity swaps

This thesis proposes a Monte Carlo valuation method for Worst-of Auto-callable equity swaps. The valuation of this type of swap usually requires complex numerical methods which are implemented in “black-box” valuation systems. The method proposed is an alternative benchmark tool that is relatively simple to implement and customize. The performance of the method was evaluated according to the variance and bias of the output and to the accuracy when compared to a leading valuation system in the market.

The Fed policy announcement effect on the equity market

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Return on equity: A comparison between companies in Portugal and Brazil: Similarities and differences

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

The impact of SFAS 123R on CEO equity compensation

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Determinants of venture capital and private equity investments in renewable energy: A cross-country study

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

EDP Renováveis: Utilities: Equity Investment Report

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

International Airlines Group: Equity Investment Report

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Iberdrola: Utilities sector: Equity Investment Report

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Jerónimo Martins, SGPS: Food retail: Equity Investment Report

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

ArcelorMittal: Metals & Mining: Equity Investment Report

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Millennium BCP: Portuguese banks: Equity Investment Report

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Sonae SGPS: Retail/Holding: Equity Investment Report

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Portugal Telecom: Telecom: Equity Investment Report

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Bayerische Motoren Werke: Automobiles: Equity Investment Report

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Portugal Telecom: Telecom: Equity Investment Report

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics