Gestão de Activos e Passivos



Caracterização geral





Professor responsável

João Pedro Vidal Nunes


Semanais - A disponibilizar brevemente

Totais - A disponibilizar brevemente

Idioma de ensino

Português. No caso de existirem alunos de Erasmus, as aulas serão leccionadas em Inglês


Interest rate risk immunization

  1. Multi-period immunization
  2. ALM

 Futures on bonds

  1. Definitions
  2. Conversion factors
  3. Cheapest-to-deliver
  4. Pricing
  5. Hedging

Traded options on short-term interest rates

  1. Description
  2. Pricing under stock-style margining
  3. Pricing under Futures-Style margining
  4. Hedging of interest rate risk

Over-the-counter options on interest rates

  1. Market model
  2. Caps, floors e collars
  3. Swaptions


  • Martellini L., P. Priaulet, and S. Priaulet (2003). Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies (1st Ed), John Wiley & Sons.
  • Hull, J. (2014). Options, Futures, and Other Derivatives (9th Edition). New York: Pearson Prentice Hall.
  • Jha S. (2011). Interest Rate Markets: A Practical Approach to Fixed Income (1st Edition), Wiley.
  • Veronesi (2011). Fixed income securities: valuation, risk, and risk management. John Wiley & Sons.

Método de ensino


Método de avaliação

Português. Em caso de existirem alunos ou professores estrangeiros, as aulas serão dadas em Inglês. 


The course will be based on 15 lectures, 2 per week. During classes, real-life examples based on traded products and on financial data collected from the Bloomberg system will be presented. A wide variety of teaching methodologies will be employed, including theoretical expositions, problem solving activities, and open class discussions.


Cursos onde a unidade curricular é leccionada: