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Jose DA FONSECA
Jose DA FONSECA
Auckland University Techonology
Verified email at aut.ac.nz - Homepage
Title
Cited by
Cited by
Year
Dynamics of implied volatility surfaces
R Cont, J Da Fonseca
Quantitative finance 2 (1), 45-60, 2002
5832002
Option pricing when correlations are stochastic: an analytical framework
J Da Fonseca, M Grasselli, C Tebaldi
Review of Derivatives Research 10 (2), 151-180, 2007
2302007
A multifactor volatility Heston model
J Da Fonseca, M Grasselli, C Tebaldi
Quantitative Finance 8 (6), 591-604, 2008
2212008
Hawkes process: Fast calibration, application to trade clustering, and diffusive limit
J Da Fonseca, R Zaatour
Journal of Futures Markets 34 (6), 548-579, 2014
1562014
Riding on the smiles
J Da Fonseca, M Grasselli
Quantitative Finance 11 (11), 1609-1632, 2011
842011
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
J Da Fonseca, M Grasselli, F Ielpo
Studies in Nonlinear Dynamics & Econometrics 18 (3), 253-289, 2014
722014
Hedging (co) variance risk with variance swaps
J Da Fonseca, M Grasselli, F Ielpo
International Journal of Theoretical and Applied Finance 14 (06), 899-943, 2011
542011
The α-hypergeometric stochastic volatility model
J Da Fonseca, C Martini
Stochastic Processes and their Applications 126 (5), 1472-1502, 2016
392016
Clustering and mean reversion in a Hawkes microstructure model
J Da Fonseca, R Zaatour
Journal of Futures Markets 35 (9), 813-838, 2015
362015
Deformation of implied volatility surfaces: an empirical analysis
R Cont, J da Fonseca
Empirical Science of Financial Fluctuations, 230-239, 2002
302002
Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market
J Da Fonseca, K Ignatieva
Available at SSRN 2773076, 2016
272016
A joint analysis of the term structure of credit default swap spreads and the implied volatility surface
J Da Fonseca, K Gottschalk
Journal of Futures Markets 33 (6), 494-517, 2013
252013
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
J Da Fonseca, K Ignatieva, J Ziveyi
Energy Economics 56, 215-228, 2016
242016
Valuing variable annuity guarantees on multiple assets
J Da Fonseca, J Ziveyi
Scandinavian Actuarial Journal, 1-22, 2015
242015
Higher Moment Risk Premiums for the Crude Oil Market: A Downside and Upside Conditional Decomposition
Y Xu, J Da Fonseca
21*2016
Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model
J Da Fonseca, R Zaatour
Journal of Futures Markets 37 (3), 260-285, 2017
202017
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
J Da Fonseca, A Gnoatto, M Grasselli
Operations Research Letters 43 (6), 601-607, 2015
192015
Pricing range notes within Wishart affine models
C Chiarella, J Da Fonseca, M Grasselli
Insurance: Mathematics and Economics 58, 193-203, 2014
192014
A flexible matrix Libor model with smiles
J Da Fonseca, A Gnoatto, M Grasselli
Journal of Economic Dynamics and Control 37 (4), 774-793, 2013
172013
Wishart multi-dimensional stochastic volatility
J da Fonseca, M Grasselli, C Tebaldi
Pôle universitaire Léonard de Vinci, 2005
172005
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