José DA FONSECA
Names
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José |
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DA FONSECA |
Identifer
Contact
Affiliations
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Auckland University of Technology
/ Faculty of Business, Economics and Law
/ Auckland Centre for Financial Research
Research profile
author of:
- A flexible matrix Libor model with smiles (RePEc:arx:papers:1203.4786)
by Jos'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli - The $\alpha$-Hypergeometric Stochastic Volatility Model (RePEc:arx:papers:1409.5142)
by Jos'e Da Fonseca & Claude Martini - Stochastic Models of Implied Volatility Surfaces (RePEc:bla:ecnote:v:31:y:2002:i:2:p:361-377)
by Rama Cont & Jose da Fonseca & Valdo Durrleman - The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets (RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579)
by José Da Fonseca & Katrin Gottschalk - Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (RePEc:bpj:sndecm:v:18:y:2014:i:3:p:37:n:1)
by Da Fonseca José & Grasselli Martino & Ielpo Florian - A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000725)
by Da Fonseca, José & Malevergne, Yannick - A flexible matrix Libor model with smiles (RePEc:eee:dyncon:v:37:y:2013:i:4:p:774-793)
by Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino - On moment non-explosions for Wishart-based stochastic volatility models (RePEc:eee:ejores:v:254:y:2016:i:3:p:889-894)
by Da Fonseca, José - Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market (RePEc:eee:eneeco:v:56:y:2016:i:c:p:215-228)
by Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan - Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition (RePEc:eee:eneeco:v:67:y:2017:i:c:p:410-422)
by Da Fonseca, José & Xu, Yahua - Pricing guaranteed annuity options in a linear-rational Wishart mortality model (RePEc:eee:insuma:v:115:y:2024:i:c:p:122-131)
by Da Fonseca, José - Pricing range notes within Wishart affine models (RePEc:eee:insuma:v:58:y:2014:i:c:p:193-203)
by Chiarella, Carl & Da Fonseca, José & Grasselli, Martino - Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market (RePEc:eee:jbfina:v:99:y:2019:i:c:p:45-62)
by Da Fonseca, José & Ignatieva, Katja - Cross-hedging strategies between CDS spreads and option volatility during crises (RePEc:eee:jimfin:v:49:y:2014:i:pb:p:386-400)
by Da Fonseca, José & Gottschalk, Katrin - The α-hypergeometric stochastic volatility model (RePEc:eee:spapps:v:126:y:2016:i:5:p:1472-1502)
by Da Fonseca, José & Martini, Claude - A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (RePEc:hal:journl:halshs-03590382)
by José da Fonseca & Yannick Malevergne - A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread (RePEc:hal:wpaper:hal-04012277)
by José da Fonseca & Edem Dawui & Yannick Malevergne - A linear-rational multi-curve term structure model with stochastic spread (RePEc:hal:wpaper:hal-04407022)
by José da Fonseca & Komi Edem Dawui & Yannick Malevergne - Option pricing when correlations are stochastic: an analytical framework (RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180)
by José Fonseca & Martino Grasselli & Claudio Tebaldi - A joint analysis of market indexes in credit default swap, volatility and stock markets (RePEc:taf:applec:v:48:y:2016:i:19:p:1767-1784)
by José Da Fonseca & Peiming Wang - Volatility spillovers and connectedness among credit default swap sector indexes (RePEc:taf:applec:v:50:y:2018:i:36:p:3923-3936)
by José Da Fonseca & Katja Ignatieva - Riding on the smiles (RePEc:taf:quantf:v:11:y:2011:i:11:p:1609-1632)
by José da Fonseca & Martino Grasselli - Dynamics of implied volatility surfaces (RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60)
by Rama Cont & Jose da Fonseca - A multifactor volatility Heston model (RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604)
by JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi - Valuing variable annuity guarantees on multiple assets (RePEc:taf:sactxx:v:2017:y:2017:i:3:p:209-230)
by José Da Fonseca & Jonathan Ziveyi - A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface (RePEc:wly:jfutmk:v:33:y:2013:i:6:p:494-517)
by José Da Fonseca & Katrin Gottschalk - Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit (RePEc:wly:jfutmk:v:34:y:2014:i:6:p:548-579)
by José Da Fonseca & Riadh Zaatour - Clustering and Mean Reversion in a Hawkes Microstructure Model (RePEc:wly:jfutmk:v:35:y:2015:i:9:p:813-838)
by José Da Fonseca & Riadh Zaatour - Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model (RePEc:wly:jfutmk:v:37:y:2017:i:3:p:260-285)
by José Da Fonseca & Riadh Zaatour - Variance and skew risk premiums for the volatility market: The VIX evidence (RePEc:wly:jfutmk:v:39:y:2019:i:3:p:302-321)
by José Da Fonseca & Yahua Xu - Volatility of volatility is (also) rough (RePEc:wly:jfutmk:v:39:y:2019:i:5:p:600-611)
by José Da Fonseca & Wenjun Zhang - Semivariance and semiskew risk premiums in currency markets (RePEc:wly:jfutmk:v:41:y:2021:i:3:p:290-324)
by José Da Fonseca & Edem Dawui - Hedging (Co)Variance Risk With Variance Swaps (RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006784)
by José Da Fonseca & Martino Grasselli & Florian Ielpo