Dr Leonardo Nogueira
Lecturer in Finance
E: l.nogueira@icmacentre.ac.uk
T: +44 (0)118 378 8239
Specialisms: Derivatives: Pricing and Hedging, Risk Management, Volatility Modelling, Stochastic Calculus, Trading Systems and Portfolio Optimisation
Biography
Leonardo obtained the MSc Financial Engineering and Quantitative Analysis and the PhD in Finance at the ICMA Centre. He previously graduated from the Federal University of Pernambuco in Recife, Brazil, with a BSc in Computer Science. Since 1998 Leonardo works for the Brazilian central bank, where he is currently responsible for the quantitative research of the foreign reserves department, and joined the ICMA Centre in 2006. His research interests include, but are not limited to, pricing and hedging of derivatives, risk management, volatility modelling, trading systems and portfolio optimization.
Publications
Alexander, C. and L. Nogueira (2007) ‘Model-Free Hedge Ratios and Scale-Invariant Models’ Forthcoming in Journal of Banking and Finance
Alexander, C. and L. Nogueira (2007) ‘Price Hedge Ratios for Homogeneous Claims on Tradable Assets’ Forthcoming in Quantitative Finance
Alexander, C. and L. Nogueira (2004) ‘Stochastic Local Volatility’ Proceedings of the 2nd IASTED International Conference on Financial Engineering and Applications - FEA 2004, MIT, Cambridge, USA
