Options are a contract between two parties about trading assets at a certain future time, this trading often involves the computation of a fair price of the underlying assets premium (market price). Usually, these computations are based on sophisticated models that can only be solved numerically. For instance, to price an European put option, we are asked to solve a Cauchy problem for a partial differential equation. In recent years, fast and accurate numerical methods have become essential tools for option pricing and more generally for mathematical finance. In this presentation, we will discuss some numerical methods for pricing some European options.

Uncertainty has always been a major concern to the economy and financial markets. The recent outbreak of the novel coronavirus is proof of how an unexpected event can bring disarray to the financial markets and the global economy, with this infectious disease outbreak hitting the world in an unprecedented manner. The present work attempts to analyze the impacts of market indicators on regulatory measures, mainly Value-at-Risk, studying in parallel the consequences of the pandemic.

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Associate professor at the Mathematics Department at FCT Nova,  with vast experience and research in the area of mathematical and numerical methods for inverse problems.

In 2016 she started her bachelor's degree in Mathematics at the University of Coimbra. After completing her bachelor’s degree, Catarina applied for the master's degree in Applied Mathematics at the Nova University of Lisbon, specializing in Financial Mathematics. Her master thesis was conducted in partnership with BNP Paribas' Global Markets Resources Team in Lisbon. Her work focuses on the study of the impact market movements have on the Value-at-Risk measure, relying on econometric models such as the Vector Autoregressive Model to study said relationship. After the internship at BNP Paribas, she started a new position at the Portuguese bank Caixa Geral de Depósitos, conducting credit risk analysis.