João Luiz Chela
He holds a degree in Pure Mathematics from the São Paulo State University Júlio de Mesquita Filho (1999), a master's degree in Applied Mathematics from the São Paulo Júlio de Mesquita Filho State University (2002), a doctorate in Applied Mathematics from the State University of Campinas (2006) and a Post-doctorate in the Computing Department of Unifesp São José dos Campos-SP (2014). As the founder of CPEF (Center for Research in Financial Engineering), he was a financial market executive who passed by major banks in Brazil and at BMFBOVESPA. He has experience in Mathematics, Optimization, Financial Risks, Derivatives, Statistics and Big Data, with emphasis on Optimization, working mainly on the following topics: Optimization, Variable Inequations, Two Level Programming, Quantitative Methods, Financial Markets, Options, Risk of Market, Credit Risk and other Derivatives. He is currently a full-time professor at EAESP-FGV SP and at the Master's Degree in Economics at EESP-FGV SP.
Articles:
PACHECO, J.; CHELA, João Luiz; SALOME, G. Fraud Detection with Machine Learning - Model Comparison. International Journal of Business Intelligence and Data Mining, v. 1, p. 1, 2023
MIRAPALHETA, G.; MANOEL, A. U.; CHELA, João Luiz. Understanding Consumer Preferences Through Latent Spaces. Brazilian Journal of Development, v. 4, p. 1, 2021.
ZUPPO, C. P. I.; CHELA, João Luiz; MIRAPALHETA, G. A Business Based on Trust: the contribution of text mining as a big data technique to identify consumer insights to support the business of Airbnb / Uma Empresa Baseada na Confiança: a contribuição da mineração de texto como uma grande técnica de dados para identificar as percepções dos consumidores para apoiar o negócio da Airbnb. Brazilian Applied Science Review, v. 5, p. 932-954, 2021.
CHELA, João Luiz; GERONAZZO, A. Stress Test Techniques Using Drawdown Metrics: a Brazilian case study. International Journal of Financial Markets and Derivatives, v. 7, p. 315-336, 2020.
CHELA, João Luiz; ROSINA, R. Options Pricing Models of Interest Rate Index: a comparative of pricing methodologies applied to the Brazilian market. International Journal of Financial Markets and Derivatives, v. 7, p. 40, 2019.
CHELA, João Luiz; SALLES NETO, L. L.; CHAVES, A. A.; AZEVEDO, A. Efficient Frontier of Credit Risk using Monte Carlo Simulation. International Journal of Business Intelligence and Systems Engineering, v. 1, p. 261, 2019.
Herbert Kimura; CHELA, João Luiz; CAFASSO, P. A. L. Market Risk Based Capital for Brazilian Insurance Companies: a stochastic approach. Future Business Journal, v. 4, p. 206-218, 2018.
OZON, M. S.; CHELA, João Luiz; BERGMANN, D. R. Mensuração de Probabilidade Default e Qualidade de Crédito: uma aplicação no mercado brasileiro. Cadernos de Administração (PUCCAMP), v. 12, p. XX-PP, 2018.
FRANZERO, P. G.; CHELA, João Luiz. An Econometric Model to Forecast Equity Prices. Journal of Financial Innovation, v. 2, p. 1, 2016.
CHELA, João Luiz; SALLES NETO, L. L.; CHAVES, A. A.; AZEVEDO, A. Solution of the Urban Traffic Problem with Fixed Demand Using Inexact Restoration. International Journal of Mathematical Analysis, v. 8, p. 1907-1918, 2014.
CHELA, João Luiz; SALLES NETO, L. L.; CHAVES, A. A. Resolution of Credit Risk Optimization Problems using the Monte Carlo Simulation. International Journal of Information Technology and Management (online), v. 27, p. 140-148, 2014.
CHELA, João Luiz; KAMOGAWA, L. F. O.; ABRAHAO, J. C. Modelos Ortogonais para a Estimativa Multivariada de VAR (Value-at-risk) para Risco de Mercado: um estudo de caso comparativo. Revista de Economia Mackenzie (Impresso), v. 9, p. 71-91, 2012.
ANDREANI, R.; CASTRO, S.; CHELA, João Luiz; FRIEDLANDER, A.; SANTOS, S. A. An Inexact-Restoration Method for Nonlinear Bilevel Programming Problems. Computational Optimization and Applications, v. 43, p. 307-328, 2009.
Kimura, Kimura; Sasaki, Helcio Haruo; CHELA, João Luiz. Metodologia para Precificação de Credit Default Swaps. Revista de Economia Mackenzie (Impresso), v. 3, p. 4-23, 2009.