Research interests: Volatility measurement and prediction. Performance evaluation. Option valuation using numerical methods. Value-at-risk. Market efficiency.
Researcher id — SSRN page — Google Scholar
Publications:
Areal, N.; Rodrigues, A. (forthcoming), “On the dangers of a simplistic American option simulation valuation method“, European Journal of Finance. DOI: http://dx.doi.org/10.1080/13518470903314428
Cortez, M.C.; Silva, F.; Areal, N. (2009), “The performance of European socially responsible funds“, Journal of Business Ethics, 87(4), pp. 573-588. DOI: http://dx.doi.org/10.1007/s10551-008-9959-x
Areal, N.; Rodrigues, A.; Armada, M. R. (2008), “On improving the least squares Monte Carlo option valuation method“, Review of Derivatives Research, 11(1-2), pp. 119-151. DOI: http://dx.doi.org/10.1007/s11147-008-9026-x
Portela, M.; Areal, N.; Sá, C.; Alexandre, F.; Cerejeira, J.; Carvalho, A.; Rodrigues, A. (2008), “Evaluating student allocation in the Portuguese public higher education system“, Higher Education, 56(2), pp. 185–203. DOI: http://dx.doi.org/10.1007/s10734-007-9097-x
Areal, N.; Taylor, S. (2002), “The realized volatility of FTSE-100 futures prices“, Journal of Futures Markets, 22(7), pp. 627-648. DOI: http://dx.doi.org/10.1002/fut.10018
Areal, N.; Armada, M. R. (2002), “The long-horizon returns behaviour of the Portuguese stock market“, European Journal of Finance, 8(1), pp. 93-122. DOI: http://dx.doi.org/10.1080/13518470110076303
Areal, N.; Armada, M. R. (1999), “Testes paramétricos e não paramétricos de reversão para a média da rendibilidade de índices do mercado accionista”, Revista de Administração Contemporânea, 3(2), pp. 7-28. Available at: http://anpad.org.br/periodicos/content/frame_base.php?revista=1
Working papers:
Cortez, M. C.; Silva, F.; Areal, N. (2009) “Socially Responsible Investing in the Global Market: The Performance of US and European Funds “. Available at SSRN: http://ssrn.com/abstract=1342469
Areal, N. (2008) “FTSE-100 Implied Volatility Index“. Available at SSRN: http://ssrn.com/abstract=1102135